The last twelve months have seen Conning add numerous improvements to its GEMS Economic Scenario Generator software, including a new model for credit default swaps, enhancements to the calibration tools, and improved performance under the risk neutral measure.

The rate of improvement in the software has been so rapid that the firm has been releasing updated versions to clients every few weeks, and it is currently used by more than 90 companies around the world.

Amongst Conning's achievements with its GEMS Economic Scenario Generator software this year was its being chosen by the US standard-setting body composed of state insurance regulators, the National Association of Insurance Commissioners, to provide economic scenarios for use in certain calculations of life and annuity statutory reserves.

As part of that, Conning created new economic scenarios, such as an optional soft floor on treasury yields, optional delinking of the equity model from the short rate, and the insertion of Stochastic Exclusion Ratio Test scenarios, which are used by US life insurance companies to determine whether certain blocks of business must be modelled stochastically for reserving.