Keylane’s ALM Projection Model

Keylane |

It is expected that the Danish Financial Supervisory Authority will issue guidelines in March 2018 on how to quantify the provisions for solvency purposes under “Solvency II compatible methods” in order for Denmark to follow the European standards in the area.

2017 was a significant ALM year at Keylane. We welcomed our first customer on Keylane’s proprietary ALM Projection Model already in spring 2017, and in collaboration with existing and new customers as well as through a comprehensive prototype process, we have further enhanced the model. Keylane’s ALM Projection Model is now ready to meet life and pension companies’ future need for a calculation platform in the Danish and European markets.

Stay ahead of legislative requirements with
Keylane’s ALM Projection Model

More than just a risk management tool

Keylane’s ALM Projection Model has been developed both as a decision-making tool to support the strategic choices of life and pension companies, and as a production-ready tool for determining provisions and bonuses.

The solution consists of three elements:

  1. Cashflows for modelling customer obligations
  2. ESG (Economic Scenario Generator) for deterministic or stochastic modelling of the assets provided by Keylane’s independent business partner Copenhagen Simulations
  3. A projection engine that links assets and liabilities with customer-specific business rules, applicable law and industry standards to a complete ALM solution

Thus, the ALM solution embraces assets, liabilities and customer-specific projections at all levels – customers’ deposits and assets, policies, contribution groups or the entire company’s balance.

With this solution in hand, the life and pension companies have countless application possibilities:

  • ORSA report and process – the board’s risk assessment
  • Testing of bonus strategies and determining the deposit interest
  • Quantification of investment strategy, establishment of risk appetite and the prudent person principle
  • Support for consolidated decision-making
  • Existing and future legislative requirements such as stochastic provisions and bonusses, reserves for unguaranteed products and determining of future profit margin

More information

Please contact Chief Actuary Mads Brostrøm Storgaard mads.storgaard@keylane.com if you would like to hear more about Keylane’s ALM Projection Model and how you stay ahead of legislative requirements.