Variable Annuity Valuation Case Study
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.
10x improvement in model run speed
85% reduction in compute cost
Much more easily run models daily and weekly
Reduces risk of erroneous hedging