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A-Team Insight Blogs

Moody’s Analytics Releases Enterprise Version of Solvency II Solution for Life Insurers

Moody’s Analytics has released an enterprise version of its B&H Proxy Generator, which is designed to help life insurers perform fast asset and liability calculations for Solvency II Internal Model and Own Risk and Solvency Assessment purposes. The enterprise version, V3.0, can be deployed centrally and accessed by multiple users, expanding on V2.0, which is a desktop expert user tool.

B&H Proxy Generator V3.0 avoids the problem of not being able to perform calculations fast enough for capital calculations and risk-based decisions because of the run times of asset liability management systems by including proxy functions that can be used to model the full distribution of an insurer’s balance sheet and reduce reliance on full asset liability management cash flow models. The solution has been designed specifically to support life insurers in multi-site environments and can manage the calibration of proxy functions across multiple portfolios of assets and liabilities.

Colin Holmes, senior director at Moody’s Analytics Insurance Solutions, explains: “With Solvency II back on track, embedding a robust modelling capability into business operations is key. The B&H Proxy Generator supports Internal Model and Own Risk and Solvency Assessment requirements, enabling senior management to assess the impact of risks on its balance sheet and capital position quickly.”

The B&H Proxy Generator integrates the Economic Scenario Generator acquired by Moody’s Analytics with Barrie + Hibbert in 2011. With over 100 life insurance clients already using the Economic Scenario Generator, the company expects a number of these to extend their product use to the B&H Proxy Generator as the January 2016 regulatory deadline for Solvency II compliance approaches. Some users of B&H Proxy Generator V2.0 are also expected to migrate to V3.0, while the company’s expertise in liabilities with options and guarantees should attract additional clients.

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