Chapter 21 and 22 Glossary

Question 1

Asset liability modelling

Answer 1

A form of actuarial projection which analyses future flows of investment income against liability outgo.

Question 2

Dynamic financial analysis

Answer 2

A phrase given to any form of actuarial modelling in financial services

Question 3

Value at Risk

Answer 3

In financial mathematics and financial risk management, Value at Risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, probability and time horizon, VaR is defined as a threshold value such that the probability that the mark-to-market loss on the portfolio over the given time horizon exceeds this value (assuming normal markets and no trading) is the given probability level. VaR can be applied to various quantities, including the profit level of an insurer in order to determine capital requirements.