Production and rooting of computer systems and internal models
Alef produced
- a system of asset-liability management and embedded value computation, for Alleanza Assicurazioni, Cisalpina Previdenza, Reale Mutua, SAI, Sara, Unipol Gruppo Finanziario
- a system for the computation of non-life insurance reserves for the Fondiaria-SAI Group, the Reale Mutua Group and Unipol Gruppo Finanziario
- a system for the computation of safety capital (risk capital), for the Fondiaria-SAI Group, for the RAS Group, for the Reale Group, for Unipol Gruppo Finanziario
- a system for the computation for measuring agency profitability (performance management), for Alliance
- a system for the computation for index-linked policies for Roma Vita, for the Fondiaria-SAI Group, for Reale Mutua, for FinecoVita, for CNP Capitalia Vita, for Poste Vita, for Groupama
- a system for the computation for expected return for Alleanza, for Italiana, for La Venezia, for MAA Vita, for Novara Vita, for Piemontese, for Po Vita, for Reale Mutua, for Fondiaria-SAI, for Sara, for Roma Vita
- a system for controlling the risks of securities portfolios to cover the reserves, for INA
- a system for the design and management of minimum guaranteed pension funds for SAI and Fondiaria Assicurazioni
- a system for the evaluation of structured contracts, for Generali Asset Management
- a system for treasury management and financial risk control, for Omnitel
- an asset-liability management system for the Banca del Piemonte
- a system for the control and management of securities portfolios, for Itainvest-DevelopmentItalia
- a system for the evaluation of cap and floor on interbank rate, for Financial Development
- a system for monitoring the value of postal savings bonds and the remuneration of mortgages, for the Cassa Depositi e Prestiti
- the “software package for the procedure for calculating technical provisions” of the supplementary pension fund of th Bank of Italy
Provision of and assistance with the use of internal Solvency II models
- Alef provided calculation systems for the application of the standard formula, the standard formula with undertaking specific parameters (USP) and for the internal model, “Solvency II compliant” (for life and non-life classes), to the Fondiaria-SAI Group, the Reale Mutua Group, the UnipolSai Group, the Cattolica Group, the Sara Group and Sace BT; it is responsible for assisting their use.
- Alef has created the IT process – for the Cattolica Group, the Reale Mutua Group, the Sara Group, Sace BT – for the production of characteristic quantities of the “quantitative reporting templates” (QRT).
- Alef has created the IT process – for the Cattolica Group, the Sara Group, for CF Assicurazioni – for the production of characteristic quantities of the “own risk and solvency assessment” (ORSA).
- Alef provided assistance in the process of pre-application of internal models to Reale Group, Sace BT and UnipolSai Group.
Consultancy
In compliance with ISVAP circulars 451 and 551,Alef has assisted CNP Unicredit Vita, the Fondiaria-SAI Group, the Reale Mutua Group and Poste Vita in the activities of monitoring the prices of index-linked policies.
Alef has carried out and continues to carry out activities in support of the risk management function, as defined in Circular 577 and then in ISVAP Regulation 20 (IVASS)
- Since 2005 for Sara Assicurazioni, Sara Vita, Sara Life, Ala
- Since 2006 for SaceBT
- Since 2007 for Construction Insurance and CF Insurance.
From 1998 to 2000 Alef assisted Isveimer Liquidation in the liquidation of the internal Fip in the framework of the “Banco Napoli law”
From 2003 to 2005 Alef assisted the production of the Financial Management Report of the Pegaso Pension Fund, for the measurement of value, yield and risk in support of the activities of the Board of Directors related to the financial management of the fund.
From 2005 to 2008 Alef measured counterparty risk on the portfolio of Eurizon’s index-linked policies.
From 2008 to 2010 Alef carried out the measurement and control of the risks of the real estate funds of Serenissima Sgr, as part of the activities of the Risk management function.
Alef has acted as a consultant for Alleanza Assicurazioni, AMICE, ANIA, Assicurazioni Internazionali di Previdenza, Banca del Piemonte, Banca d’Italia, Banca di Roma, Cassa depositi e prestiti, Cisalpina Previdenza, Darag, Eurizon, Fondiaria Assicurazioni, Generali Asset Management, Gruppo Zurigo, HSBC Bank, Ibm-Semea, IMI, INA, INASgr, Isveimer, Itainvest, Mefop, Munich Re, Omnitel, Poste Vita, RAS, Reale Mutua, RomaVita, Sace, SaceBT, SAI, Sara, Sviluppo Finanziaria, Towers-Perrin Tillinghast, Unipol Gruppo Finanziario.
From 1992 to 2007 Alef collaborated with the “Centro di Finanza Matematica” of the “Amici della Scuola Normale Superiore di Pisa” Association
In 1993 and 1994 has been a partner of Ibm Semea in developing dedicated IT solutions for banking.
Since 2007, it has been providing consultancy services to the Bank of Italy’s Asset Management Service on the management of the supplementary pension fund reserve.
Since 2016 it has been supporting the actuarial function (in the life classes) of the Reale Mutua Group.
Actuarial control
Since 2006 Alef has been acting as the appointed actuary for the life classes of the Gruppo Reale Mutua; from 2013 for the life and non-life business of the Cattolica Group. The activities were completed in 2016, following the new regulations.
Certifications
Alef
- certified the value of the policy portfolios for SAI in the transaction of merger with Fondiaria
- certified the embedded value of the Group’s life insurance Land-based SAI
- was advisor of the sale of Isveimer loans, denominated in lire
- has been responsible for the restructuring and liquidation of the supplementary fund of Pension Isveimer
- has drafted the market risk analysis section of the Form 20F for the purposes of the Security Exchange Commission regulations, for the INA
- certified embedded value for Cisalpina Previdenza
- has evaluated structured contracts, for INA Sgr, for Generali Asset Management, for Po Vita, for Poste Vita and RomaVita, for CNP Capitalia Vita, for Sara, for Banca del Gottardo, for HSBC Bank, for ABN Amro, for Reale Mutua
- certified hedge accounting (IAS39) for Fidis derivative contracts Retail Italy
Assistance with verifications for Solvency II
In 2007 and 2008 Alef collaborated with ISVAP and ANIA to provide technical support for the calculations
- to Italian insurance companies
- in the implementation of the third and fourth “quantitative impact studies” (QIS3, QIS4), as part of the Solvency II project.
In 2010 he collaborated with ANIA for QIS5; in 2011 for the evaluation of the results of the stress test promoted by EIOPA.
In 2013, it assisted the Cattolica Group, the Reale Mutua Group, and the Unipol Group in the implementation of the “impact assessment” promoted by EIOPA
In 2017 and 2018 he assisted Reale Mutua and Sace BT in the checks of the so-called “Var-asset” and in 2019 in the “Market and credit risk comparative study YE 2018”, required by the IVASS
The corporate culture project
As a partner of the “Amici della Scuola Normale Superiore di Pisa” Association has developed the software procedures for a series of courses:
- “The management of interest rate risks” (1992)
- “The management of financial risk in insurance” (1995)
- “Asset-liability management in banking” (1996)
- “Pension funds financial management” (1997)
- “Embedded value in life insurance” (2001-2002)
- “CPPI strategies in life insurance” (2004).
- “Stochastic models in the life insurance balance sheet” (2005)
- “System of internal controls and risk management” (2006)
In 1999 Alef has produced an IT educational system named “Fare e formare l’artigianato delle tecnologie”. The system
- is structured in modular and compatible courses
- aimed to transfer the financial and actuarial principles to banks financial firms and insurance companies
- is based on the use of theoretical frameworks, of computational technologies, schemes of application to capital markets and business management
Alef IT educational technology has been used
- in 2002 “A Course on Finance of Insurance”, sponsored by the Groupe Consultatif Actuariel Europeen and organized by the Italian Institute of Actuaries
- in 2006, 2007 and 2008 for courses on “Modelli per il risk management”, on “L’esperienza del QIS3, verso Solvency II” sponsored by IRSA and ANIA
In 2007 was launched the training project “The internal model IDS of Reale Mutua. Features for a corporate risk culture – life and non-life lines of business” in the Reale Mutua Group,
In 2009 was launched the training project “The internal model of SaceBT – Principles and techniques of Solvency II. Organisation and governance” in the Sace Group
The projects were set up – in accordance with ISVAP Circular 577 and then Regulation 20 – in the following way: “The internal model of SaceBT – Principles and techniques of Solvency II. in the form of a computer laboratory, for the establishment of the computing system and the effective use of the information.
At the Bank of Italy
- In 2011, a training course was held on “Global asset allocation”
- in 2012 the course on “Controlling interest rate risk and credit risk”
- in 2013 the course on “The demographic risk. Measurement techniques, management tools”
- in 2015 the course on “Using the Kalman filter. Bayesian VAR models”.
In 2016, a course was held on “The logic of Solvency II. The principles, the governance, processing processes” at Sace BT.
In 2017 and 2018 courses were held on the “Internal Model” and the “Own Risk and Solvency Assessment” at the Reale Group.
In 2018, courses were held on “Best Estimate Evaluation and Solvency Capital Requirement Measurement” at Sara Assicurazioni.
In 2019 courses were held at Reale Group on “The G2N ++ model”, “The Duffie-Singleton model”, “The model for lapse risk”, “The model for mortality risk”
“The Least Squares Monte Carlo technique”, “The expenses model”, “The model for policyholder behaviour”, “Processes and IT architecture of the IDS system”