SCR Calculator User Manual

Version Last modified 2024-3-21


The SAA Form is designed for asset allocation optimisation and investment strategy value appraisal from balance sheet perspective.

It aims to work out the best allocation plan for each of a range of target return levels, minimising risk (measured by volatility) and subject to a set of user-defined constraints. Constraints can involve rating, duration, SCR, ESG and other ad hoc measures. Such optimisations involve advanced maths and can be difficult to perform in a spreadsheet. To integrate such calculation with insurance-regimes is even more challenging. Hence this module.

A typical use case is to start from a specific investment allocation, and:

  • Perform a constrained optimisation to observe the efficient frontier based on current investible universe.
  • Introduce one or two new strategies and re-run the optimisation, to observe how much the efficient frontier has expanded.
  • Compare different candidate strategies this way, and decide which one provides the most risk/return/capital value-add.
  • Add more constraints to reflect our allocation policy, and gradually arrive at a concrete, practical allocation plan.

It includes a powerful constraint-defining facility and is suitable for use by not only insurance investors, but also pension funds, sovereign funds, family offices etc. where a set of institutional asset allocation targets and constraints apply.

The tool is suitable for sales pitchbook building. The set of PowerPoint charts that it can produce are highly expressive, industry-standard charts, and are otherwise quite time-consuming to build by hand.

The tool is also suitable for a live demo. Since the optimisation process is instant, outputs are more credible than static outputs presented in a pitchbook printed with a few days' delay.