In addition to its award winning Replicating Portfolio methodology for internal models, Algorithmics' Solvency II solution comprises a full suite of applications within Algo Risk, including standard formula calculation, advanced aggregation techniques and capital allocation measures reflecting capital fungibility rules, and now a new Curve Fitting capability.

Curt Burmeister, Vice President of Risk Solutions at Algorithmics, said: "Leading up to the go live date for Solvency II, insurers in Europe are in search of practical solutions for calculating their Solvency Capital Requirement. By offering Curve Fitting methodology along with Replicating Portfolios and the Standard Formula, our Solvency II solution now offers insurers a range of options for calculating their Solvency Capital Requirement, whatever their size or required level of sophistication."

Using the Curve Fitting methodology, clients can fit both parametric and non-parametric curves to a given set of liability values simulated under a small number of joint stresses of underlying risk factors. The resulting fitted curve can then be used to approximate the simulated values of the liabilities under multiple capital or risk simulations. In addition, clients have full flexibility in defining the functional form of the parametric curves that fits the data as well as a host of diagnostic analytics to validate the results.

Dr Andy Aziz, Executive Vice President of Risk Solutions at Algorithmics, added:"The addition of the new Curve Fitting capability to our Solvency II solution further demonstrates Algorithmics' commitment to research and development to continue to deliver innovative solutions to the wider insurance community. Irrespective of size and complexity, insurance companies now have a real choice in how they choose their models for calculating their Solvency Capital Requirement under Solvency II."