Institutions like insurance companies and pension funds face a world of severe competition in which return is of primary importance. However, return and risk always stick together. Risk is disliked and carefully looked at, not only by the institutions but also by the regulator. In order to meet the return requirements of the policyholders on the one hand and to stay in line with the solvency requirements of the regulator on the other hand an integrated approach in which both risk and return are taken into account is necessary. The outcome of this approach is a balanced policy in which return is attractive and risk is acceptable. Asset Liability Management (ALM) is the appropriate tool to design such a policy. One of the basic problems is how to quantify risk.