First-Principles Modeling of Life/LTC Hybrid Products in AXIS

The attachments in this article are intended to familiarize the user with the features available to model a Life and Long Term Care hybrid product in AXIS using first-principle modeling. This is a *LIVE* document and dataset, which means that the content and attachments are being updated during the continuing development of this functionality. We recommend you check this KB regularly online to obtain the latest version.

AXIS Link to Moody’s Analytics Structured Finance API (June 2024)

AXIS now supports a dynamic link to Moody’s Analytics Structured Finance API, which provides CUSIP-level cashflow projections for structured assets such as RMBS, CMBS and ABS. This service requires a separate license from Moody’s Analytics.

AXIS Expands Use of Category Reports (February, 2008)

New and powerful applications of Category Reports have been introduced in AXIS 12.2 to increase your flexibility in building customized Calendar Year Reports and to enable more control over the runtimes and storage impact of AXIS batches according to their purpose.

Assumption Sets in AXIS (October, 2016)

GGY has been working hard to prepare AXIS for the future demands of new financial reporting and capital frameworks. One important element in the AXIS design strategy is a fundamental change in the way sets of actuarial assumptions are arranged and stored within the Cell object. This change enables more sets of assumptions to be defined and permits more flexible use of each assumption set. The change also impacts the user experience with the Cell interface and any process that creates or updates Cell contents as part of AXIS model maintenance. Assumption Sets have been introduced in AXIS 2017.05.01. This article elaborates on the changes and on the steps that AXIS users should consider for implementing the Assumption Set feature in AXIS. Further information has been provided through a Webinar and training will be available to help clients prepare for the change.

Context Sensitive Assumption Screens (June, 2013)

Assumption screens in AXIS are being reworked to become context sensitive. As a result, some of the input fields will now only be shown in the context in which their values are required.

Changes to Maintained Versions (November, 2015)

Important change to AXIS Maintained Versions, starting in November 2015 with version 20159904

Policy Audit Reports

This article contains a Policy Audit Reports sample and basic information about the reports.

Introduction of Basis Reference Technique in AXIS

In AXIS 2021.04.00, the new Basis Reference Technique has been introduced under a beta feature code for the purpose of client investigation and feedback. The Basis Reference Technique (BRT) introduces a structural change in AXIS that improves the ability to define, manage, control, review and report larger and more granular sets of actuarial assumptions used in production models. The technique will be especially useful for efficiently managing large sets of actuarial assumptions used for the new valuation frameworks that are subject to frequent update (eg. IFRS 17, US PBA, and US GAAP TI)

Sobol Sequences (July, 2014)

GGY has introduced an option to use the Quasi Monte-Carlo Sobol sequence instead of random numbers when generating real-world or risk-neutral scenarios with HWLN and G2++ and LN models.

Semi Monte-Carlo (July, 2014)

GGY has developed a new variance reduction method for Monte-Carlo simulations for use with real-world and risk-neutral scenario generators. The new method, called Semi Monte-Carlo (SMC), is based on combining numeric integration with Monte-Carlo simulation.

AXIS FormulaLink Module

AXIS FormulaLink was officially released with AXIS version 2017.15.01. This module offers a set of features and tools in AXIS and AXIS EnterpriseLink for advanced programmability in AXIS Formula Tables, Dataset Formulas and EnterpriseLink Scripted Jobs.

Fixed Scenario Format Scheduled to be Removed August 2020

In September 2016, we notified AXIS users that the Fixed Scenario Format would be removed from AXIS. This note is to inform you that in August 2020 we will permanently remove the Fixed Scenario Format.

Stochastic Log Volatility Market Model (C3 Phase III) (December, 2010)

This article describes the sample AAA SLV Model made available in the attached dataset (version 12.6.99.003) and how to use it in generating stochastic scenarios. The dataset contains a Dynamic Scenario set, a Scenario Generator, and the sample AAA SLV Model which generates interest rate scenarios. The sample model is based on the attached AAA Economic Scenario Work Group report on the Stochastic Log Volatility interest rate scenario generator.

New Initial Asset Position Functionality (March, 2016)

In AXIS version 2016.08.01, we have changed the Asset Generate functionality to make it more flexible and transparent to the user. This document outlines the changes as well as the rules for converting existing Funds and Batches to this new functionality. The conversion process is fairly complex, so it is recommended that users review the “Conversion Details” section of this article before converting their datasets.

Flexible Scenario Format

The Flexible Scenario Format allows the user to create customized scenarios based on his/her particular modeling requirements. Starting in version 2021.08.00 the legacy fixed scenario format is no longer supported in AXIS. The new design is more flexible, efficient and can hold more information than the legacy 29-column Fixed Scenario Format. This article provides an overview of the Flexible Scenario design available in AXIS versions 2013.04.01 and later.

Market Value Details Reports (September, 2013)

This article describes the Market Value Details reports, which are available in AXIS beginning in version 2014.02.02. These reports are a valuable tool that can be used to help reconcile market value calculations in Asset Cells or Reinvestment Cells for any valid projection date or reinvestment date. The reports include cashflows projected on a market value basis, discount rates, the PV of cashflows at these discount rates, and details on the scenario that is referenced if market value cashflows are scenario dependent. The reports are available when running a cell interactively or as an output of a batch. An Excel tool and AXIS dataset are attached to illustrate how to reconcile to the Market Value Details reports for a sample bond Asset Cell. Examples are attached in both fixed and flexible scenario format.

Valuing Bonds with Embedded Options (August, 2009)

This article explains how bonds with embedded options are priced using the Black-Derman-Toy (BDT) interest rate tree in AXIS.

Updates to US GAAP ASU 2018-12 History Structure (November, 2020)

This article discusses the changes made to the US GAAP ASU 2018-12 History structure, starting in version 2020.32.00, as well as the steps the user should take to update their current set up for the new structure on conversion.

New Yield Curve Method (November, 2017)

In version 20181202 of AXIS we have changed the data structures and code used for storing and manipulating yield curves. For applications of AXIS which use yield curves, this may change results in some cases.

Update to AXIS GridLink Requirements

Moody’s Analytics is pleased to announce the imminent release of the next generation of AXIS GridLink. The new version is fully redesigned to support a variety of deployment options from on-premises, fixed-size grid farms to fully scalable cloud-based environments. It introduces a range of enhancements to existing functionality, many new features, and is designed to be a platform for future expansion of hybrid and fully cloud-based implementations.

Spread Lock (October, 2019)

A new financial instrument has been added to the Asset Module in AXIS: the Spread Lock. A spread lock is a contract that “locks in” the forward differential between the yield from the Swap Curve and the yield on a treasury bond. This differential will be referred to as the “swap spread” for the rest of this document. Hence, a spread lock allows investors to lock in a pre-determined swap spread for a forward starting swap without any up-front fee payment. This was introduced as a beta feature in 2015 and is now available as a regular feature.

Stochastic Credit Migration (January, 2019)

AXIS version 2019.13.01 includes new features for stochastic credit risk modeling. With these features, changes in assets' credit ratings and defaults can be simulated as discrete, all-or-nothing random events. These simulations can be integrated with existing AXIS models, and items such as projected cash flows, market values and capital requirements can depend on simulated ratings changes and defaults. In this way AXIS provides a unified stochastic modeling framework that includes credit risk as well as interest rate risk, equity risk and insurance risk.

Prescribed Mortality Improvement Rates for Canadian Valuation (2017) (December, 2018)

This article provides guidance for modelling the Canadian Institute of Actuaries (CIA) recent prescribed mortality improvement rates and margins in AXIS. It also provides examples in the attached AXIS dataset.

Common Starting Asset Target (CSAT) Iterative Convergence for VM-20 (March, 2017)

In the Embedded Block, powerful new functionality has been introduced in AXIS version 2017.13.01 to allow iteratively converging the starting assets in the block projections to within a specified tolerance of a user-defined output target such as the reserve. This “Common starting asset target” (CSAT) functionality is particularly beneficial for implementing VM-20 valuations, but it may become valuable in the future for other proposed reserve methodologies as well.

GridLink - New Batch Type "Grid Job Set" (February, 2017)

A new AXIS batch type "Grid Job Set" has been introduced. This batch type is designed as a solution to address scalability limits.

New Version Numbering (August, 2016)

Please be advised that we are changing our version numbering system, as we will no longer be following a monthly release scheme with semi-monthly incremental versions.

Credit Default Swaps in AXIS (June, 2016)

AXIS now supports credit default swaps (CDSs) in the Asset module as beta feature 462. This article covers the background to CDSs and modeling them in AXIS.

AXIS Enhancements For 2014 CIA Revisions To Economic Reinvestment Assumptions (March, 2015)

This article provides a summary of the AXIS enhancements related to the revisions in the Actuarial Standards Board Document 214047 “Final Standards – Revisions to Economic Reinvestment Assumptions within the Practice-Specific Standards on Insurance Contract Valuation: Life and Health (Accident and Sickness) Insurance (Section 2300 and Subsection 1100)” released in May 2014. For each item below, the relevant sections of the CIA Standards are shown in brackets.

Hull-White & Heston Market Model (July, 2014)

AXIS has the Hull-White & Heston market model. It can be used to generate real-world and risk-neutral stochastic scenarios for Monte Carlo simulation. It can be used to price equity index option using closed form approximation. This market model can be calibrated. The user can do sensitivity testing on the parameters to see the calibration quality.

Multiple Interest Markets Feature Code Available for Use (December, 2013)

AXIS now allows users to model multiple Interest Rate Markets in a single economic scenario! This functionality was under Beta Feature Code #349, but is now available for use in the 20140501 version of AXIS.

New Features In The OAD Analyzer (January, 2013)

The OAD Analyzer batch in AXIS has new flexible functionality giving you a very powerful risk management tool within AXIS. The batch can now be used to calculate an Option-Adjusted Spread to calibrate the present value of asset cashflows to their inforce or calculated market values. This OAS can then be used in discounting on the asset and liability side to produce Market-Consistent Option-Adjusted Duration and Convexities for a segment of assets and liabilities. These durations and convexity will be calculated in aggregate. The user-defined partial duration bands have been extended to support up to 12 bands that can extend out to 50 years. This partial rate duration feature in this batch has become a very useful tool for illustrating the granular duration & convexity profile of your assets and liabilities, as well as a powerful risk management tool for monitoring the gaps between them.

GGY AXIS Announces Achievement of Microsoft’s Gold Independent Software Vendor (ISV) Partner Accreditation (October, 2012)

GGY AXIS is pleased to announce achievement of Microsoft’s Gold Independent Software Vendor (ISV) Partner accreditation. Attaining this competency demonstrates expertise in developing applications based on Microsoft solutions. Equipped with exclusive training, the latest software, and support on Microsoft SQL Server, Windows Server, Windows 7 and Microsoft cloud services, such partners are equipped to develop innovative solutions to meet their customers’ needs.

Dataset Comparator (August, 2011)

The powerful new Dataset Comparator tool performs a quick and accurate comparison of two datasets, by scanning all the objects and links between objects in one dataset and matching them to the objects and links in the other dataset. It generates a comparison report presented with an intuitive interface for easy examination of the differences found between objects in one dataset and those same objects in the other dataset.

Mortality Improvement for Canadian Valuation and MCCSR (May, 2011)

This article describes enhancements in AXIS that can be used to incorporate mortality improvement according to recent revisions made to the Canadian Institute of Actuaries’ (CIA’s) Standards of Practice and the Office of the Superintendent of Financial Institutions (OSFI’s) Minimum Continuing Capital and Surplus Requirements (MCCSR) Guideline. The enhancements described in this article are in the Regular life module, Universal life module, Participating life module and Annuity module.

Dynamic Target Allocation Table (December, 2010)

AXIS offers a new functionality, introduced in version 12.7.03.001, that allows the user to vary the target allocation in a Reinvestment Strategy dynamically based on market conditions in the scenario.

GGY AXIS Announces Support for Microsoft Windows HPC Server 2008 R2 (September, 2010)

GGY AXIS is pleased to announce support for Microsoft Windows HPC Server 2008 R2, released today.

Hedge Projection Module (April, 2010)

GGY proudly announces that the AXIS Hedge Projection Module is now available as part of AXIS 12.6 effective with the April, 2010 release. With this new module, you can simulate a dynamic hedging program within your financial projections of VA and Seg Fund business. Furthermore, the projected statutory reserves and required capital will also reflect the benefits of the projected hedging strategy. Fully integrated within AXIS, the Hedge Projection Module supports pricing, valuation and projection applications incorporating a variety of risks, building on existing AXIS annuity models and adding sophisticated hedge projection capabilities.

Cell Level Scenario Reserve (February, 2010)

This new feature in the Stochastic Processing module allows policy level reserves to be calculated as a statistical measure of “initial total asset requirement” determined under a selected set of scenarios. Currently, this new feature is available for reserve calculations in the Annuity module.

Enhanced Tax Accounting Basis (October, 2009)

The Taxes section in the Asset and Reinvestment cells have been expanded and renamed to the Tax Accounting Basis section in AXIS version 12.5.02.001. This new feature provides the user additional flexibility for calculating the taxes at the Asset and Reinvestment cell levels by calculating the Tax Accounting Basis in a separate projection.

SSAP 43 Prospective Approach Amortized Cost Basis Method (August, 2009)

The Asset module offers a “SSAP 43 prospective approach” amortized cost basis method in accordance with NAIC reporting.

Portfolio Earned Rate Asset Base and the Cause of Warning Message #3715 (June, 2009)

This article describes the different asset base definitions in portfolio earned rate calculation, and what causes warning message #3715.

Dynamic Reinvestment Strategy (April, 2009)

This article shows how to use the Reinvestment category formula table in Asset/Reinvestment cells to apply dynamic reinvestment strategy.

2005 Seg Fund Guarantee Capital Model (March, 2009)

This article describes the “2005 Seg Fund Guarantee Capital Model” (hereon referred to as “the Model”) and how to use AXIS Script functions to create a User Defined Stochastic Generator in AXIS (version 12.5.99.008 in Fixed Scenario Format and version 2013.09.01 in Flexible Scenario Format). A sample AXIS Dataset containing the Model is attached.

2008 MCCSR Seg Fund Capital Requirements (February, 2009)

OSFI revised the rules for segregated fund guarantee capital requirements, effective for 2008 year-end. Both the Annuity Module and Stochastic Processing module have been enhanced to assist in the determination of the segregated fund guarantee capital requirement.

Scenario-Linked Yield Spread Table (December, 2008)

Starting with version 12.3.03.001, AXIS now offers the functionality that allows you to apply scenario-dependent yield spread tables as adjustments to arrive at the Adjusted Yield Curve.

Result Comparator Enhanced (August, 2008)

The Result Comparator compares exported data, and it can also compare stored cell results. It is a useful tool that enables you to automatically detect changes in projections and other results, instead of looking at the exported data or manipulating it outside of AXIS.

More Features Added to GridLink (February, 2007)

Coincident with the release of AXIS 12.0 in February, 2007, a new version of GridLink has also been released with two exciting new features: Active Backup Functionality and System Batch Support.

Multiple Life Joint Life Policies in Universal Life (February, 2007)

In the February, 2007 release of AXIS 12.0 new functionality to support the valuation and modeling of in force multiple life joint life policies including up to 10 lives was added to the Universal Life module.

Risk Classes and Rules Tables (February, 2007)

With the release of AXIS 12 in February 2007, the beta has been removed from the functionality in AXIS supporting Risk Classes and Rules Tables, allowing these powerful new objects to be used by anyone, without special feature code authorization.