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Reserve and liability modelling

NAVI

Establishing a valid and realistic risk profile of their business and fully understanding their company’s risk exposure are some of the biggest challenges life insurers face today.

Up to now, a full and flexible valuation of complex life insurance liabilities required a nested stochastic approach, involving millions of scenarios and unbearable runtimes.

But today, insurers can utilise innovative solutions such as liability proxy models, which serve the following purposes:

  • Calculation of Solvency Capital Requirement
  • Daily updates of key liability figures
  • Liability forecasts and as-if analyses

Milliman STAR Solutions - NAVI® is a powerful software solution based on Least Square Monte Carlo (LSMC). NAVI’s proxy modelling techniques help life insurance companies enhance their risk modelling by dramatically reducing calculation time within a flexible and robust process.

NAVI offers the following features:

  • Automation: NAVI offers a highly automated and robust calibration process. The choice of different statistical models allows user to optimise the calibration method and adapt it to the very nature of the liabilities
  • Auditability: NAVI allows for full auditability of results. All outcomes can be visualised and tracked back to their input.
  • Self-assessment of risks: Insurance companies will not only see the metrics but will understand the interaction, the context and the relationship between their risks.
  • Speed: NAVI has powerful and fast calculation capacities which dramatically reduce run times and allow it to perform complex calculations of large data volumes. Results are accurate and are obtained in a fraction of the time that traditional tools need.
  • Visuals: NAVI is not simply a black box which outputs metrics. It offers full functionality that allows users to understand and visualise where the results come from and how reliable they are. Incorrect input can thus be detected.
  • Process reliability and confidence: All processes are documented and can be controlled, tracked to their inputs and visualised. This is an extremely practical feature for the calculation of updated liability values as NAVI helps to document how it was calculated.

NAVI not only helps insurers gain faster calculation of Solvency II metrics and updated liability figures but also enhances risk modelling and risk aggregation. The ability to quickly update liability values and economic capital forecasts will become a part of the strategic business decision making by improving insight into the risks and behaviour of liabilities.

Resources

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We’re here to help you break through complex challenges and achieve next-level success.

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We’re here to help you break through complex challenges and achieve next-level success.

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