Algorithmics, a recognized leader in enterprise risk management solutions, recently announced that its Algo Risk solution has been enhanced to incorporate insurance liabilities along with investment assets for enterprise risk analysis.
Variable annuities are currently being modeled in an Algo Risk implementation for a large international insurance company.
"We developed this offering in response to the insurance industry's need to manage economic and regulatory capital, explore alternative hedging strategies, and develop an enterprise risk strategy encompassing both assets and liabilities," commented Dr. Andrew Aziz, vice president of market risk and buy-side solutions for Algorithmics. "The speed of new product innovation and a rapidly changing regulatory and ratings environment has forced insurance firms to look beyond the traditional systems for calculating risk, and that is where Algo Risk comes in. Algo Risk is the first enterprise risk solution for the insurance industry that addresses risk oversight, portfolio management, and liabilities modeling, leveraging a single platform."
Algo Risk is an enterprise risk management solution that combines true product lifecycle planning with tactical day-to-day analytics. Based on the award winning Mark-to-Future architecture, Algo Risk provides stochastic valuation models for variable annuities with both living and death benefits. The models are easily customized to cover dynamic lapses and partial withdrawals. Coupled with the existing asset models and what-if functionality, the solution provides risk managers with new way to analyze the risk in their variable annuity portfolios. Algo Risk provides the ability to develop a flexible and proprietary risk management framework in accordance with an organization's own methodology for product development, pricing of new products, hedging and projection, valuation, and attribution reporting.