Asset–liability modelling in the quantum era. (26th July 2021)

• Record Type: Journal Article
• Authors: Berry, T.; Sharpe, J.
• Is Part Of: British actuarial journal. Volume 26(2021)
• Publication Date: 2021-07-26
• Subjects: Quantum computing -- optimisation -- Solvency II -- matching adjustment -- insurance -- insurer -- asset–liability management -- ALM; Actuarial science -- Periodicals; Insurance, Life -- Periodicals; Periodicals; Periodicals; 368.010941
• DOI: 10.1017/S1357321721000076
• Languages: English
• ISSNs: 1357-3217

Abstract

Abstract: This paper introduces and demonstrates the use of quantum computers for asset–liability management (ALM). A summary of historical and current practices in ALM used by actuaries is given showing how the challenges have previously been met. We give an insight into what ALM may be like in the immediate future demonstrating how quantum computers can be used for ALM. A quantum algorithm for optimising ALM calculations is presented and tested using a quantum computer. We conclude that the discovery of the strange world of quantum mechanics has the potential to create investment management efficiencies. This in turn may lead to lower capital requirements for shareholders and lower premiums and higher insured retirement incomes for policyholders.