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KCAC All Day Seminar: PBA – Update and Software Considerations

KCAC All Day Seminar: PBA – Update and Software Considerations. Presenter: Chris Peek, Principal Actuarial Resources Corporation June 21, 2010. Agenda. PBA. High Volatility. Risky Benefits. Solvency II. Danger Assumption Quicksand. Stochastic Modeing. Technology 101.0000000129.

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KCAC All Day Seminar: PBA – Update and Software Considerations

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  1. KCAC All Day Seminar: PBA – Update and Software Considerations Presenter: Chris Peek, Principal Actuarial Resources Corporation June 21, 2010

  2. Agenda

  3. PBA High Volatility Risky Benefits Solvency II Danger Assumption Quicksand Stochastic Modeing

  4. Technology 101.0000000129 PBA Challenges

  5. Technology 101.0000000129 1,000 scenarios Dynamic assumptions Model Size Limitations Availability of Asset Information Runtimes!

  6. Technology to the Rescue Big Job!

  7. Advancing Hardware • Hardware improvements • Multi-core processors • Quad-Cores available today • 32+ Cores coming soon! • Fast hard drives (Solid State!) • Fast network connectivity • Expanded RAM memory capacity • More RAM slots per machine • Bigger RAM chips

  8. Advancing Software • Multi-threaded applications • Ability to run a single scenario across multiple cores • 64-Bit processing • Increases amount of available RAM memory for model • In-memory dynamic runs far more efficient when remaining outside of virtual memory (disk memory)

  9. Example Stochastic Process • Potential PBR Scenario • 1,000 Simulations • 30 Year Projection • 250,000 Liability Model Points • Integrated ALM Model

  10. Processing Environments • Bank #1 – 25 Dual Processor, Dual Core Servers, 32-Bit Operating System, 12 GB Ram, Single-Threaded Application • Bank #2 – 25 Dual Processor, Dual Core Servers, 64-Bit Operating System, 24 GB Ram, Single-Threaded Application • Bank #3 – 25 Dual Processor, Dual Core Servers, 64-Bit Operating System, 24 GB Ram, Multi-Threaded Application

  11. Bank #1 – 25 Dual Processor, Dual Core Servers, 32-Bit Operating System, 12 GB Ram, Single-Threaded Application Potential RAM Utilization Physical RAM Virtual Ram • 100 Cores available for run • Single Threaded Application: Each server receives 4 individual simulations

  12. Bank #2 – 25 Dual Processor, Dual Core Servers, 64-Bit Operating System, 24 GB Ram, Single-Threaded Application Potential RAM Utilization Physical RAM Virtual Ram • 100 Cores available for run • Single Threaded Application: Each server receives 4 individual simulations

  13. Bank #3 – 25 Dual Processor, Dual Core Servers, 64-Bit Operating System, 24 GB Ram, Multi-Threaded Application Effectively 24 GB for this run Potential RAM Utilization Physical RAM • 100 Cores available for run • Multi-threaded Application: Each server receives 1 individual simulation

  14. Technology 101.0000000129 GRID Solutions Cloud Computing Software as a Service Grid Enabled vs. Grid Native

  15. Experience Analysis VM 50 and VM 51 Perform studies in conjunction with valuation This is a process not a project Reconciliation to other financial measures Increase the scope of studies beyond mortality and lapse

  16. Experience Analysis Develop Prudent Estimate Assumptions Credibility of Results Sensitivity Tests More frequent updating of “current” assumptions for pricing and GAAP

  17. Reporting Key Reporting Requirements

  18. Reporting

  19. Reporting Tools in Use OLAP Data Cubes • OLAP = OnLine Analytical Processing • Excellent drill-down features • Useful for managing large data sets • Slice and dice output “realtime” • Functions with both database and excel structures • Dynamic charting and graphing

  20. Reporting Tools in Use

  21. Reporting – Logs and Reconciliation

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