SunGard Modeling Solution Helps Insurers Improve Risk Transparency

Insurers can receive an improved view of risk related to their assets and liabilities through the launch of SunGard's updated insurance asset-liability management capability. The iWorks Prophet Asset Liability Strategy (ALS) library helps insurers make investment decisions at a time when many carriers are rebalancing their asset portfolios to enhance business results.

James Knight, vice president and actuary for MetLife's actuarial modeling group believes SunGard's ALS library is helping MetLife build flexible solutions that allow the carrier's existing liability models to become dynamic asset-liability models. 

"The ALS models are used in solvency calculations and are an integral part of our risk management framework," says Knight. "The ALS Library helps give us the power to more fully understand the risks we face and better manage the business to strive for optimal results."

The iWorks Prophet ALS library helps insurers meet stochastic ALM requirements, such as modeling the impact of management decisions and policyholder reaction, according to SunGard.  It provides them with a framework for performing business stress testing and the ability to create comprehensive models aligned with current and evolving regulatory reporting requirements, such as the Risk Management and Own Risk and Solvency Assessment (RMORSA) in the U.S., and Solvency II in Europe.  

"iWorks Prophet goes beyond 'tick-the-box' compliance to help companies build more sophisticated risk models that include their assets, liabilities, capital requirements, and the complex interplays between them," says John Winter, director of product management, SunGard's iWorks Risk Management solutions.

For U.S. insurers, the ALS library now covers a comprehensive range of assets, including mortgage-backed securities and collateralized mortgage obligations, which are receiving renewed interest as investment instruments.