General description of system
ADVISE - is an advanced, stochastic, Monte Carlo simulation tool designed to meet the unique requirements of insurance risk analysis for life insurance, non-life (property & casualty), and reinsurance companies.
Using ADVISE, companies can project the full range of possible outcomes to give them visibility they need to properly assess and manage risks. ADVISE combines the power of complete business logic in liabilities, investments, accounting and economic scenarios for comprehensive, enterprise-wide modelling with the flexibility of a toolkit or spreadsheet.
This scalable software platform delivers whole-company modelling with the ability to incorporate management decisions and business rules to better reflect real-world actions. Additionally, ADVISE offers sophisticated analytics, an integrated economic scenario generator, GEMS and board-quality reporting; it supports multi-entity modelling for companies with complex business structures and provides the functionality for aggregation, analysis and interpretation of model output that is essential for comprehensive risk management.
GEMS - Economic Scenario Generator Product Suite
GEMS economic scenario generators are technologically advanced ESGs that enable users to simulate future states of the global economy and financial markets. They employ some of the latest, most innovative ideas in the market today from practitioners and academics so companies can navigate the new economy with more precision than ever before. Significantly different from other ESGs on the market, GEMS ESGs produce empirically validated realistic economic behaviour, resulting in scenario distributions with more realistic tails (rare events), which provide greater visibility into potential risks a company might face.
There are four GEMS product options available:
GEMS Online (http://gems.dfa.com) - enables online access to simulated economic and financial scenarios as well as analytics produced from the GEMS economic scenario generator (ESG). With no software to install, users are able to purchase prepackaged scenarios in the online Scenario Store or build their own to meet specific needs. GEMS Online includes a full range of variables such as government bonds, corporate bonds, common stock indices, currency exchange rates, inflation indices, GDP and unemployment. Analytics provided in GEMS Online enable users to easily compare simulated scenarios to the historical record to validate the quality of the underlying models. Common applications for GEMS Online: economic capital modelling, Solvency II, market consistent embedded value (MCEV) calculations, stochastic liability and capital valuations, and product design.
GEMS Scenario Master - a general purpose ESG - provides advanced modelling and estimation technology, and is the baseline from which the other GEMS ESGs are built. GEMS - Scenario Master features best-in-class capabilities for modelling interest rates, inflation, corporate credit risk, equity markets and foreign exchange. Additionally it provides the ability to model factors such as GDP and unemployment, and includes asset aggregation at the individual security level. GEMS Scenario Master provides all the essential elements required to feed existing models for economic and financial risk modelling. It is ideal for Solvency II, economic capital modelling, MCEV calculations, stochastic liability and capital valuations and product design. Capable of producing both real-world and risk-neutral scenarios. GEMS Scenario Master is installed on a customer's premises.
GEMS Portfolio Analyzer - an ESG for asset management - is specifically designed for users who need to model multiple investment portfolios. GEMS - Portfolio Analyzer includes all the capabilities in GEMS Scenario Master with added functionality to handle applications such as strategic/dynamic asset allocation, variable annuity hedging, pension management strategies and risk attribution. Portfolio managers can take advantage of the rich set of financial instruments available in GEMS Portfolio Manager such as floating-rate notes, interest-rate swaps, interest-rate derivatives, inflation-linked derivatives and equity derivatives for their modelling needs. Additionally, GEMS Portfolio Analyzer enables companies to model different trading strategies and is the only ESG on the market with the ability to model asset aggregation at the portfolio level. Capable of producing both real-world and risk-neutral scenarios. GEMS Portfolio Analyzer is installed on a customer's premises.
GEMS Enterprise Modeler - an ESG for whole-company modelling - is the most comprehensive of the GEMS products. It includes all the functionality of GEMS Portfolio Analyzer and adds capabilities for asset aggregation at the entity level, as well as the ability to do investment and capital management within several accounting/regulatory regimes. GEMS Enterprise Modeler can be used for many modelling applications such as multi-entity risk management, financing and accounting-driven decisions, risk diversification strategies and reverse stress-testing. Capable of producing both real-world and risk-neutral scenarios. GEMS Enterprise Modeler is installed on a customer's premises.
Functions performed
ADVISE and GEMS are used for financial risk management, asset/liability management, economic capital modelling, reinsurance optimization, calculating market consistent embedded values, strategic planning, Solvency II, risk aggregation analyses and performance management.
Specific Solvency II features
Highlights include:
- Detailed asset modelling with a comprehensive set of asset classes including a rich selection of derivatives for more complete modelling capabilities.
- Uniquely strong on "use test" with a linear programming-based decision module that supports user-friendly development of optimal management strategies and assessing alternatives. Supports all stochastic modelling applications: reinsurance, investment management, product development, strategy/planning, corporate finance, etc.
- Complete approach to statistical quality tests including: financial options and guarantees, future management actions, modelling dependencies and an integrated state-of-the-art ESG with comprehensive back-testing.
- Calibration standards supported by an integrated finance/accounting/tax/regulatory module that includes alternative accounting environments and benchmark portfolio capabilities.
- Integrated whole-company model that enables the modelling of both assets and liabilities and the interplay between them. Also supports multi-entity modelling for companies with complex business structures.
- Extensive analytical and reporting capabilities.
Specifications
Designed for maximum modelling flexibility and fully scalable, ADVISE and GEMS can run on a single PC up to a full grid computing environment, depending on a client's needs. The high-performance software supports both 32-bit and 64-bit operating systems for both the client and the server. The technology scales simultaneously across multiple dimensions, eliminating the need for multiple runs for aggregation and enables the modelling of large-scale, complex simulations with ease. The software includes built-in analytics and reporting and simulations can also be queried via ODBC (open database connectivity).
Licensing/sales/support
ADVISE, GEMS Scenario Master, GEMS Portfolio Analyzer and GEMS Enterprise Modeler are available on a subscription basis that includes training, upgrades and maintenance. DFA also offers consulting service; however, it is not required. GEMS Online offers scenario sets as a one-time download or on a subscription basis. GEMS Online has free online screencast tutorials on how to use the service, a comprehensive FAQ section, and terminology glossary for ease of use.
Types of user
The typical users of ADVISE and GEMS are insurance companies (life, non-life, reinsurance), asset management companies, financial institutions and leading consulting firms.
Areas/countries with the most users
Global
Contact person and details
Website: DFA www.dfa.com, GEMS Online: http://gems.dfa.com
U.S./Canada/Bermuda/Asia/Latin America
DFA Capital Management Inc.: +1 914-701-7200
Europe (except UK)
DFA Capital Ltd.: +49 (0)221 78 800-304
UK
DFA Capital Ltd. : +44 (0) 7748 768590