As part of its iWorks Prophet actuarial modeling solution, SunGard has launched an updated insurance asset-liability management (ALM) capability as part of its Asset Liability Strategy (ALS) library to help give insurers an improved view of risk related to their assets and liabilities.
The offering helps insurers make more effective investment decisions at a time when many of them are rebalancing their asset portfolios to enhance business results.
"SunGard's iWorks Prophet's ALS library is helping us build flexible solutions that allow our existing liability models to become dynamic asset-liability models. The ALS models are used in Solvency calculations and are an integral part of our risk management framework. The ALS Library helps give us the power to more fully understand the risks we face and better manage the business to strive for optimal results." - James Knight, vice president and actuary, Actuarial Modeling Group, MetLife
"SunGard's iWorks Prophet ALS library goes beyond 'tick-the-box' compliance to help companies build more sophisticated risk models that include their assets, liabilities, capital requirements and the complex interplays between them." - John Winter, director of product management, SunGard's iWorks Risk Management solutions
The iWorks Prophet ALS library helps insurers meet stochastic ALM requirements, such as modeling the impact of management decisions and policyholder reaction. It provides them with a framework for performing business stress testing and the ability to create comprehensive models aligned with current and evolving regulatory reporting requirements, such as the Risk Management and Own Risk and Solvency Assessment (RMORSA) in the U.S., and Solvency II in Europe. For U.S. insurers, the ALS library now covers a comprehensive range of assets, including mortgage-backed securities and collateralized mortgage obligations, which are receiving renewed interest as investment instruments.