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. Without consistent modeling, the effectiveness of hedging strategies can be diminished: the liability group uses one model to produce 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.
The Numerix Leading Hedge suite enables you to effectively manage and hedge complex life and annuity products and investment portfolios through efficient stochastic models and a flexible framework for representing any financial instrument through customizable payoff scripts.
What are Numerix Leading Hedge Solutions?
Key Benefits of the Leading Hedge Suite of Insurance Solutions
Fast computation methods
Industry-leading asset model library
Transparent deal definitions
Grid and cloud computing enabled
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