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Description

Insurance ALM: Matching Assets and Liabilities, Projecting and Steering the Margin

Match investment portfolios to insurance liabilities and steer the financial margin over the long term

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

An insurer carries long-dated commitments whose settlement pattern depends on policyholder behaviour and claims experience. The investments backing those commitments have their own horizons and their own exposure to interest rates. When the two fall out of step, the financial margin and the coverage of liabilities deteriorate together.

Two days to establish the fundamentals of asset-liability management in insurance: characterising liabilities, matching, projecting cash flows and steering policyholder profit sharing. Unlike the banking approach, the exercises draw a clear distinction between life and non-life insurance.

Learning objectives

  • Characterise the commitments of a life and non-life liability portfolio
  • Project liability cash flows and measure their duration
  • Build an asset allocation matched to insurance commitments
  • Measure the effect of an interest rate shock on assets and on liabilities
  • Analyse the role of policyholder profit sharing in ALM steering
  • Identify the indicators monitored by the investment committee

What makes this programme different

The exercises explicitly distinguish life insurance from non-life insurance
Cash flow projections are built on a simplified portfolio provided to participants
Interest rate shock effects are simulated and then discussed in session

Programme

1Characterising insurance liabilities

Understanding what has to be covered

  • Distinguish life from non-life commitments
  • Identify the guarantees and options granted to policyholders
  • Project expected benefit and claims cash flows
  • Measure the duration and convexity of liabilities

2Asset portfolio and matching

Aligning two time horizons

  • Position the asset classes and how they behave
  • Build an allocation matched to insurance commitments
  • Address liquidity and realisation constraints
  • Understand the effects of recognising unrealised gains

3Interest rate shocks and sensitivity

Testing the resilience of the balance sheet

  • Measure the effect of a rise and then a fall in interest rates
  • Analyse surrender risk in a rising rate environment
  • Assess reinvestment risk in a low rate environment
  • Build consistent stress scenarios

4Steering the margin

Making trade-offs over time

  • Understand how the financial margin is formed
  • Manage policyholder profit sharing and reserves
  • Connect technical results with investment results
  • Prepare the indicators for the investment committee

Who is it for

Actuaries · asset managers · management controllers and finance department executives within insurance undertakings.

Prerequisites

Familiarity with insurance mechanisms and the basics of financial markets.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.