Life and pensions ALM system of the year: Conning

The long-term investment nature of the life insurance and pensions industries requires consistent and trusted risk management. Conning proved to be a standout vendor in this space and secured the Life and pensions ALM system of the year award at the Risk Technology Awards 2024

Conning’s asset-liability management (ALM) product, FIRM^® Portfolio Analyzer, is a robust stochastic simulation tool designed to meet the unique requirements of risk analysis in the insurance and pensions industry.

Mark Saunders, Conning

The product enables firms to project the full range of possible outcomes across investment, liability and capital management strategies, providing the visibility they need to optimally assess and manage the risks to their businesses.

The platform produces analysis on a stochastic basis using an integrated technology – GEMS^® Economic Scenario Generator. GEMS generates probabilistic distributions of possible future states of the global economy and financial markets, including the unexpected, but plausible, outcomes that are critical to assessing risk.

Its core strengths include not only standard asset classes, but also bespoke asset classes that can be readily and confidently introduced in a consistent and economically dynamic manner. The range of derivatives on offer – covering inflation, interest, credit, equity and foreign exchange – exceeds that of previous ALM products.

The analyser also stands out for its modular platform, where different modules can work either as a cohesive whole or independently. The modular approach ensures the platform can react to emerging trends and deliver features with tangible benefits to investors.

FIRM’s Allocation Optimizer tool incorporates a range of objective functions – risk and reward measures – for evaluating strategic initiatives, from simple market‑value or economic factors to incorporating the impact of liability effects, accounting results and regulatory capital considerations.

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The Allocation Optimizer provides superior functionality to model how each potential investment strategy would impact the insurance company’s earnings, balance sheet and solvency position across tens of thousands of stochastic scenarios. It provides a basis to visualise, articulate and validate the investment risk of the company, aiding a consensus view within management.

Conning recently introduced a neural network approach to the Allocation Optimizer tool for modelling liabilities sensitive to portfolio return and/or inflation. Other developments include improvements to the recalibration tool, allowing users to reparametrise GEMS economic models to fit their internal capital market assumptions.

Judges said:

• “Strong focus on modelling, good level of detail on changes made – innovative use of neural nets for liability modelling. And a good testimonial.”
• “Good examples of developments in the last year, such as the neural network approach to FIRM’s Allocation Optimizer tool for modelling liabilities sensitive to portfolio return and/or inflation.”
• “Good product description and excellent testimonials.”
• “Strong methodology.”

Mark Saunders, managing director of Conning, says:

“We are delighted to receive the Life and pensions ALM system of the year award for the FIRM^® Portfolio Analyzer. This award is a fantastic recognition of the hard work our team put into developing our software, and would not be possible without the continued support and invaluable feedback our clients provide.”

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