Capital generation and return metrics in Europe
Despite its ease of calculation, capital generation and return—measured as a change in eligible own funds—may not be the most useful metric.
Over the last decade, alternative asset classes have drawn significant attention among life insurance and pension companies as part of their strategic asset holdings, in addition to traditional investments such as government and corporate bonds or equities. In this context, this paper explores:
Alternative asset classes: Why and what to model, and considerations for risk management
Challenges for companies in the alternative asset space include building an internal model and accounting for regulatory treatment for capital set aside.