Variable Annuity Valuation Case Study

Improve Model Runtime by 10x and Reduce Compute Cost by 85%

The Montoux platform enabled a tier 1 insurer to improve their variable annuity model runtime by 10x while simultaneously reducing their compute costs by 85%.  

The Problem

Montoux is working with a Tier 1 US life insurer that is struggling with computationally intensive variable annuity (VA) modeling.

The customer requires some models to run daily and all models run at least weekly. The heavy loads from stochastic models, and short turnaround times, means there is little margin for error for run failures. The depth of analysis is limited given limited capacity for investigating sensitivities and scenarios.

Run times & costs with the existing system mean daily runs only include 2% of model points and fewer
sensitivities leading to lower confidence in outcomes.

The customer’s challenges are:

• Computationally intensive VA model runs
• Long model run times with short deadlines
• Limited capacity to dive deeper into results


How does Montoux’s Actuarial Modeling Platform enable the customer to achieve these outcomes?

Montoux’s platform provides a modern modeling environment (Model Canvas) along with an efficient and purpose-built scripting language (Model Script). The platform also includes a high performance modeling engine (Hyper Scale) that allows for near instantaneous access to as much computing power as required for the modeling jobs. The combination of these factors allows models to be run in a fraction of the time and at a significant cost reduction, enabling daily and weekly model runs

In-built governance and controls, like roles based access permissions and audit logs, also help to reduce risk and improve auditability and compliance.

Benefits to Our Customer

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10x improvement in model run speed

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85% reduction in compute cost

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Much more easily run models daily and weekly

Reduces risk of erroneous hedging

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