Web-based training for Formula Tables is now online. General Asset is also partially online--get a head start now!

Stochastic models are becoming more sophisticated. Learn about the new Embedded Block feature in AXIS that will make these bears easier to tame.

We've been pumping up our Earnings By Source functionality. See how much we offer. Now including EBS for US GAAP.

The new Canadian accounting standard 3855 is going to affect all companies. See how this will affect your AXIS runs. Includes useful links to learn more about this standard that becomes effective October 1, 2006.

So you have a pile of historical index data, and a Regime Switching Lognormal (RSLN) model in your hands. What now? Learn about our new feature that will calibrate your RSLN model parameters to the historical data.

Phil has discovered the greatest thing since sliced bread! Learn about GridLink and how it will revolutionise your processing and handle your biggest headaches with the click of a button.

 

 

Welcome to Inside AXIS, our newsletter aimed at giving you, our client, tips and information that can help in your daily work. Articles can be quickly accessed using the menu bar on the left hand side of your screen. You can also also scroll down the screen to read the articles, including useful links.

We hope you have found our web-based training modules useful as both training and reference material. So far we have had hundreds of clients successfully complete the sessions, and come out more knowledgeable about how AXIS works.

In addition to our General Overview and General Liability sessions, we have now added training for Formula Tables. Formula tables allow users to program their own algorithms and develop table data while maintaining compatibility with AXIS - even as you upgrade to newer versions of the system. The training covers basic programming as well as how to make the best use of these tables.

We also have the initial part of the course for General Asset completed and available online. The entire training module is expected to be completed by the end of August. Until it is complete, users can still attend the scheduled training at GGY. But feel free to get a head start or a quick overview of the asset module and check it out on our website now!

Whether for CALM, DCAT, or C3 Phase 2, running projections containing multiple scenarios dynamically generated over time seems to be the way things are headed.

Our new Embedded Block feature allows a "stochastic-on-deterministic" approach as scenario testing can now be performed at future "pivot" points within a financial projection.

Basically it works this way: The model is projected along a deterministic path to a pivot point where, using the Embedded Block functionality, a set of scenarios is generated, results are reprojected for each scenario and a scenario based reserve is re-calculated for that pivot. Several pivot points can be embedded into the regular Fund level results giving stochastically calculated reserves throughout the projection.

AXIS users can then get "stochastic-on-stochastic" results by using a batch feature to run the stochastic-on-deterministic projections over multiple scenarios.

As computing power gets better, larger stochastic-on-stochastic runs will become feasible. And we can say that since AXIS is one of the fastest systems out there, we will be one of the first to give reasonable run times for large blocks of business and scenarios.

This functionality is currently available for Beta testing--and will be in full release under feature code later this year. Clients will need to be licensed for the Stochastic Processing module to take advantage, and an additional license to the ScenarioTools module will allow scenarios to be generated on-the-fly at each pivot point.

For more information on this exciting development, please contact David Gilliland.
Prompted by Sarbanes-Oxley (SOX), other regulatory requirements, or simply good business management, Earnings By Source (EBS) or Source of Earnings has been occupying the minds of many actuaries. EBS is a powerful tool that can assist the actuary in understanding the buildup of the reserves and the breakdown of any profit or loss.

AXIS offers extensive EBS functionality together with a complete suite of Vendor Defined Reports. Major functionality that has been released over the last year includes:

  • EBS for the Disability Module
  • Support for policy changes through the use of Miscellaneous On/Off transactions
  • Vendor Defined Fund Based Reserve Movement Analysis Report
  • Additional policy movement transactions
As well, with the June 2006 release, EBS for USGAAP FAS 60 has been activated under Beta mode for the Regular and Disability modules.

So keep an eye out as we are continually adding EBS functionality to AXIS, including more transaction codes and extending EBS functionality to areas that were not previously covered.

There are so few new items of interest in the actuarial world that we are now borrowing some from the accountants! AXIS will be offering new options for reporting asset statement values in accordance with Section 3855.

The key change will be the addition of two switches in the Book Value section of the Asset and Reinvestment cells.

One switch will provide added flexibility in the treatment of unrealized gains and losses by offering the following options:

  • 0 - Not recognized -- for HTM assets held at amortized cost.
  • 1 - Recognized in the OCI -- for AFS assets held at fair value.
  • 2 - Recognized in income -- for HFT assets held at fair value.
  • 3 - Amortized -- for the existing equity method.

The second switch will define the treatment of realized gain and losses by offering the following options:

  • 0 Recognized immediately in income – for Section 3855 reporting
  • 1 Amortized – for the existing method

Together these two switches will provide flexibility to calculate statement values using either the new methods or the existing methods, in separate runs.

It will also be possible to report assets at Fair Value and continue to display the old amortized cost value in a single run. The Statement Value will be equal to the Market Value (which will be used to define the Fair Value in AXIS) but will be displayed broken down into accumulated unrealized gains/losses and the “amortized cost basis.” The “amortized cost basis” will be the same as the existing definition of book value in AXIS. This can be useful for a number of purposes, for example as a means of calculating investment expenses as a percent of book value on a basis consistent with the current calculations, rather than basing them on the more volatile Fair Value in the statement.

Other features to be added to AXIS include the ability to track accumulated OCI (Other Comprehensive Income) and new options to calculate the taxable investment income adjustment. We are assuming that the definition of taxable investment income will not change, so there will be new options in the Taxation section of the Asset and Reinvestment cells to calculate the timing differences between taxable income and section 3855 income.

The Regime Switching Lognormal (RSLN) Model has shown to be a welcome development in the world of stochastic modelling--the multiple regimes allow for those high volatility periods to be reflected along with the "normal" periods. AXIS's ScenarioTools already has support for this model, but now we have added the ability to fit the parameters of the RSLN model to observed historical data.

In this new feature for ScenarioTools, parameters of the Regime Switching Lognormal Model (RSLN model) with several assets (funds) are fit to the set of observed historical data by the method of maximum likelihood. Unlike other software available on the market, AXIS finds the best fitting parameters for multiple components (asset types) and allows a varying number of observations in a historical data for different components. The optimization calculates the local maximum of the likelihood using a specially designed combination of Zeidel and ravine methods.

Now once a solution has been obtained, AXIS provides tools to search for a better (higher) likelihood value in the neighbourhood of the generated set of parameters. One option is to shock the parameters up and down by a user-defined quantity. Another option is to shock all the parameters by a random value with the user-defined distance from the generated point. The likelihoods of all the shocked sets of parameters are calculated and compared to the likelihood of the generated set. This can help give a sense of the validity of the local maximum likelihood.

With these powerful tools in hand, ScenarioTools users can now easily calibrate their RSLN model parameters to the observed historical data.

Do any of these situations sound familiar?

  • The AXIS jobs I’m running are taking too long
  • I can’t use my computer for other task while AXIS is running
  • I have to log onto a server to run AXIS. IT or Audit claims this is a security risk
  • I have to stay logged on to the servers to keep my job running
  • I’m competing for resources on a server or processor farm
  • I’m always running around starting up helpers and targeting them
  • I need to run a string of jobs one after another
  • I’m having trouble finding the right AXIS versions on my server
  • I can’t monitor the production job I’m running when I’m away from my desk
  • Sometimes we have too many helpers running at once on one machine
  • I am confused about how many helpers I am supposed to run on a given machine

We developed the GridLink module to solve problems like these and many more. We introduced GridLink in November 2005 and it has already revolutionised the way many of our users work. One user writes “GridLink is working wonderfully for us. I don't know how we operated without it before.”

In fact the most revealing indicator is that nobody who has had a free GridLink trial has said no, and users who started with one license have quickly expanded their use once they have seen just how smoothly and efficiently things run with GridLink.

So what is GridLink and how does it work?

GridLink brings the power and ease of use of Grid Computing to AXIS Distributed Processing. It allows you to set up a processor farm and share that farm efficiently with any number of users.

  • You do not need to log onto a server
  • You can submit batch jobs to the farm from your own computer
  • You can disconnect your PC or notebook from the network if you like
  • You can use your PC for any other task once the job is submitted, or even turn it off
  • You can monitor the progress of your job from any AXIS workstation as if it were running on your PC
  • You can even see the warning and error messages produced while the job is still running
  • All the run information of jobs that you submitted to the farm is logged and documented
  • You can assign priorities to your jobs
  • You never need to start up or target an AXIS Helper
  • GridLink manages a single queue of jobs submitted by one or multiple users
  • GridLink makes optimal use of the farm processors for maximum throughput
  • Multiple GridLink licenses allow multiple queues on a single farm, with load balancing between the queues
  • GridLink will automatically restart a failed Helper
  • GridLink includes all the benefits of AXIS Distributed Processing including Fault Tolerance, Local Caching and Dynamic Load Balancing
  • GridLink will save you a lot of time and effort
  • You can install new versions of AXIS onto your farm using GridLink, without logging onto the servers
  • GridLink can restore/backup/compact large network datasets 10 times faster than your local AXIS

Sounds like this is the greatest thing since sliced bread, eh? Well I think perhaps it is. Please call me and I will be very pleased to show you more details.