Transamerica implemented a new Future Greeks functionality within the Numerix Leading Hedge platform—enabling nested stochastic projections. Transamerica has adopted this technology for future valuations and scenario generation. The ability to project Future Greeks for liabilities supports calculating future hedge performance in financial reports.
Already an established user of the Numerix CrossAsset pricing and risk engine and Numerix Leading Hedge insurance solution, Numerix provides Transamerica with a scalable, modern infrastructure for Variable Annuity (VA) liability valuation and hedging.
"This new module enabled Transamerica to reduce end-to-end run time from 40 hours to 6 hours while improving modeling precision. In addition, Leading Hedge is setting the stage for additional uses for nested stochastic projections." — Hunt Blatz, Vice President and Head of Model development at Transamerica Investments & Retirement