AXIS StochasticTools Module

The AXIS StochasticTools Module has two main components, ScenarioTools and Stochastic Processing, which together are designed to allow you to seamlessly integrate scenario generation and analysis, scenario-based processing and stochastic analysis into your AXIS applications.

ScenarioTools

ScenarioTools allows you to specify Market Models, generate scenarios and analyze the resulting scenarios and related projections.

With ScenarioTools you have flexibility to define scenario formats tailored to your modeling needs, including any number of yield curves and equity markets, multiple currencies, and more. You can generate scenarios deterministically or stochastically by selecting from a growing number of available Market Models, by specifying your own User-Defined model using AXIS script, or by linking directly to the Moody's Scenario Generator (for more info: www.moodysanalytics.com/product-list/real-world-scenario-generator).

The Valuation Scenario Formula Table can be used to create deterministic scenarios such as those required by regulations including New York Regulation 126 (NY7) and the Bermuda Scenario Based Approach (SBA).

Scenarios can be generated on the fly during stochastic processing. This is particularly useful for the determination of principles-based reserves and capital requirements at future dates within a projection. Scenarios and projection results can be analyzed to produce statistical results and risk metrics such as CTE and OAD.

Stochastic Processing

Stochastic Processing provides you with powerful tools to perform reserve and capital calculations based on stochastic risk measures and to model and analyze scenario sensitive products using AXIS Block and Embedded Block technology. Thousands of scenarios can be completed in relatively short timeframes thanks to extensive optimization of the scenario processing code and selective use of relevant reporting lines compared to normal projections.

Highlights of the Stochastic Processing component include:

  • Extremely fast run times for intensive stochastic work
  • Powerful reporting and analysis tools, including easy-to-vew 3-dimensional cash flow results, calculation of percentiles and CTEs, and so much more
  • Stochastic-on-deterministic and stochastic-on-stochastic functionality, with full stochastic reserve and capital calculations at future projection dates
  • High scalability when combined with Distributed Processing
  • Support for scenario based regulatory reporting requirements including:
    • C3 Phase 1 and C3 Phase II
    • VM-20, VM-21, VM-22
    • LICAT fore Segregated Funds
    • Bermuda Monetary Authority SBA
    • Valuing embedded options for IFRS 17 and US GAAP
  • Calculation of Greeks and Option Values and modeling hedging programs for embedded derivatives in products such as VA, EIA and EIUL, RILA