Ensuring modeling excellence from conceptual design to robust implementation
Our broad experience and expertise in developing insurance risk and capital models combined with an up-to-date knowledge of regulatory requirements makes us a reliable partner for developing SST and Solvency II models.
Non-life
We advise our clients on adequate modeling of different non-life risks (or lines of business), including cat risks. The scope typically includes reserves, new and planned business, where development and earning patterns play a key role. Aggregation of non-life risks requires selection of appropriate dependence models and their calibration. Reinsurance and intra-group transactions are modeled to obtain net exposure of individual legal entities.
Market-Consistent Valuation of Life Liabilities
The aim is to estimate the distribution of market-consistent values of life liabilities at the solvency capital horizon. The prevailing methods used are curve fitting, replicating portfolios, and least squares Monte Carlo. These regression techniques perform at different levels of adequacy and precision. We advise our clients on the appropriate choice of the methodology and its implementation.
Valuation of life contracts is typically achieved by using tools such as MoSes or Prophet. These tools require economic scenarios as inputs to perform valuations of economy-dependent cash flows. Our scenario generator Sceneco provides consistent sets of real-world and risk-neutral scenarios to accomplish this.
ALM and Risk Aggregation
We advise our clients on modeling of the economic balance sheet distributions by legal entity. This is achieved by aggregation of assets and net liabilities for each legal entity encompassing underwriting, market and credit risks. The dependencies within and between these risk types are modeled and calibrated with appropriate dependence models. In view of regulatory compliance, models are aligned with respective regulatory guidelines.
Regulatory and economic capital, as well as expected values of relevant balance sheet items, are derived from the economic balance sheet distributions. This includes the allocation of the capital to legal entities, lines of business, and risk factors.