Life Insurance | Case Study | Insurance Risk Management | Straterix
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Life Insurance

Protecting net interest income

The problem

  • The client needed to protect net interest income while  guaranteeing returns 
  • Risks were hedged only against a single, most intuitive market scenario
  • Needed hedging strategies against a broad spectrum of adverse scenarios

THE SOLUTION

  • Straterix’s Reverse Scenario functionality was applied to the company’s asset and liability profile 
  • A full distribution of net interest income results was generated on a multitude of scenarios
  • All scenarios leading to adverse outcomes were analyzed

The business case

  • The company only had protection against a scenario with multiple defaults in their investment portfolio
  • The CRO needed to verify the strategy and determine whether additional actions were necessary

The results

  • The company adjusted their hedging and re-investment strategy, based on  discovery of a full set of adverse scenarios,
  • In addition to better hedging coverage, the insurance company improved investment results