Core concepts

mSII is an unique flexible platform for modeling any insurance products from simple life insurance products with one stochastic variable to complex savings based life insurance products with multiple risk sources, optionalities and dependencies.

The mSII has a stochastic definition language with stunning expression power, yet simple syntax. Using the language, user defines insurance product terms, stochastic model and company balance sheet items and decision rules in MATLAB®.

Insurance risk is fully modeled by using contract level simulation

  • Insurance risk is not trivialized to deterministic cash flows at any stage
  • Contracts are defined as cash flow agreements where cash-flows depend on stochastic events

Risks are defined as stochastic processes

  • Stochastic models for both claims and customer behavior
  • Customer behavior can depend on external variables like capital markets 

Numerical simulation with full information

  • No deterministic assumptions
  • No aggregation of contracts
  • No simplifications in contract terms

Basics

mSII is a MATLAB based simulation engine

  • Additional toolbox that turns MATLAB into insurance simulation engine
  • Further analysis can be built on MATLAB or results can be exported
  • External data can be easily imported

mSII provides desired response times by using distributed computing

  • Multi core / multi CPU / multi workstation (LAN)
  • Cloud computing 

Contract level simulation is the key to simplification

  • In each scenario all cash flows are known
  • When cash flows are known, no option theory is needed
  • Or in other words options are priced with Monte Carlo – automatically

General benefits

Saves a lot of actuarial work and money

  • No need for complex option theory
  • No need for insurance portfolio models

Better information

  • Full and accurate distributions for cash-flows, NPVs
  • No model risk due to combining deterministic and stochastic analysis
  • Better understanding on portfolio's CF and NPV distributions

New possibilities

  • Accurate pricing tools for product development
  • Accurate pricing tools for portfolio valuation (MCEV, M&A)
  • Efficient yield curve hedging (with Economic Scenario Generator)
  • Company level planning models can be brought to new level