Insurance

Insurance

At Numerix, we understand the unique challenges facing today’s insurance companies, and offer a range of solutions to meet them. As insurance-industry best practices evolve, more companies are realizing the need for a consistent capital market model framework for both liability and asset management groups — despite the fact that each side has very different system requirements.

Without consistent modeling, the effectiveness of hedging strategies can be diminished: the liability group uses one model to produce the Greeks, while the asset manager uses a different model to value the assets that are hedging these liabilities. Using our comprehensive library of models and methods, companies can institute a consistent pricing framework across all areas of their business, enhancing the effectiveness of hedges.

What Does Numerix Do?

  • Pricing (pre-/post-trade) for any type of OTC derivative or structured product, from simple "vanilla" deals to exotics
  • Greeks (first and second order), even for structured notes
  • Cashflows
  • Scenario analysis, including the ability to shift multiple market factors simultaneously
  • VaR (Historical, Stressed, Monte Carlo)
  • Potential future exposure (PFE)
  • Credit valuation adjustments (CVA)
  • Economic scenario generation (ESG)

Numerix Capabilities

  • A comprehensive library of market-tested models 
  • A unique hybrid model framework for structured notes
  • Consistent pricing and Greeks for both assets and liabilities, enabling more-effective hedging 
  • Rapid and flexible product design, including the use of payoff scripts to model the latest product features emerging in the VA marketplace (target volatility funds, indexed GMWBs for Life)
  • Generate consistent economic scenarios for the entire enterprise, capturing correlation between risk factors
  • Grid enabled for fast pricing and risk computations, pre-integrated with Windows HPC Server 2008
  • Advanced Monte Carlo simulations (including one for capital testing, price discovery and fair value calculations)
  • Scenario analysis and portfolio attribution
  • Manage counterparty credit exposure with PFE and CVA 
  • Consistent modeling and pricing policies across all business units
  • Scalable and flexible infrastructure
 

Variable Annuities: Advanced Pricing and Hedging Strategies

- Correlation in models
- The impact of model selection
- Ultra-fast Monte Carlo VaR for GMXBs
- Rapid product design

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