Alexis Bailly leads a team of analysts and compliance professionals delivering Moody’s Analytics compliance services and solutions to insurers, pension funds and asset managers throughout EMEA. The team focuses on risk management, Solvency II, ORSA, ALM, strategic asset allocation, IFRS17, business planning, retail portfolio optimization, robo-advice and investment governance. Alexis joined Moody’s in 2011, after serving with Barrie & Hibbert, Towers Watson and Zurich Financial Services.
Institutions are transforming their analytic capabilities to move beyond static reports that explain what happened in the past, to more modern analytics that can explain why an event occurred and what is likely to happen in the future.
This article reviews the analysis of an asset optimization problem where risk is defined by the capital required under Solvency II principles, and where the portfolio performance is defined by the net asset value at time T=1.
Asset optimization which focuses only on the distributional characteristics of an investment portfolio will fail to achieve an optimal portfolio from the perspective of value creation for a life insurance firm. In this paper we show how this issue can be resolved through the application of Least Squares Monte Carlo techniques.