AXIS StochasticTools Module
The AXIS StochasticTools Module has two main components - ScenarioTools and Stochastic Processing - designed to allow you to seamlessly integrate stochastic functionality into your AXIS applications.
ScenarioTools allows you to specify Market Models, generate scenarios and analyze the resulting scenarios and related projections. With ScenarioTools you can generate scenarios by selecting from a growing number of available Market Models for interest rates, equities or combinations or specify your own User-Defined model using AXIS script. Deterministic scenarios can also be defined using Valuation Scenario Formula Tables used to generate prescribed scenarios used in applications such as Canadian Asset Liability Method (CALM) and the New York Regulation 126 (NY7).
Scenarios can be generated on the fly during stochastic processing. This is particularly useful for the determination of principles-based reserves and capital requirements. Scenarios and projection results can be analyzed to produce statistical results and risk metrics such as CTE and OAD.
Stochastic Processing provides you with powerful tools to model and analyze scenario sensitive products using AXIS Block and Embedded Block technology. Thousands of scenarios can be completed in relatively short timeframes because of extensive optimization of the scenario processing. Highlights of the Stochastic Processing component are:
- Extremely fast run times for intensive stochastic work
- Powerful reporting tools to analyze results
- Easy-to-view 3-dimensional cashflow results
- High-level reporting function for calculating percentiles, CTEs, and so much more
- C3 Phase II functionality for Variable Annuities, including the Standard Scenario calculation
- Actuarial Guideline 43 functionality for Variable Annuities, including the Standard Scenario calculation
- MCCSR functionality for Segregated Fund reserves and capital
- Stochastic-on-deterministic functionality, with full stochastic reserve and capital calculations at future projection dates
- High scalability when combined with Distributed Processing