Conning - GEMS® Economic Scenario Generator
Type of System
- Economic / risk scenario generator
- IFRS 17 solution
- Solvency II solution
- Stress testing
Type of platform
Other features - the offering facilitates:
- Least-squares Monte Carlo
- NAIC Principle-based reserving
- NAIC RMORSA
- Replicating portfolios
- Solvency II internal model
What are the typical implementation costs?
The annual subscription fee depends upon the required software features and the range of economies to be modelled.
How long does your software take to implement on site?
The software can be downloaded, installed, and licensed in less than an hour. Built-in standard templates allow for comprehensive single-/multiple-economy scenarios to be generated immediately.
Most recent significant update:
The most recent release of the software included several significant updates, including:
- Improvements to the content, analysis, and graphics provided in the quarterly parameterization validation reports.
- Enhancements to the recalibration tool which allow the user to target percentiles in the model distributions and then validate how the new parameters will affect the simulated results, all without running a full simulation.
- Improvements to the Martingale test performance of the models, increasing the likelihood of passing the Martingale test when the model is run with a small number of paths – for example, during curve-fitting or LSMC applications.
Planned future enhancements:
An Agile approach provides regular releases of new features:
- The GEMS® recalibration tool continues to be a development focus, allowing the end-user to calibrate the tail distributions and correlations.
- Ongoing improvements to the economic models include the simulation of a global market crash. These developments also allow more flexibility when adjusting the tails of the model distributions.
- Model parameterizations for over 20 economies will be available within a few days of the quarter end, enabling our clients to keep their management informed with timely analysis.
- Conning is developing a SaaS version of GEMS® which will allow faster and more flexible modelling, an improved user interface, and lower hardware costs.
How does your solution integrate with third-party systems or in-house systems?
GEMS® is the cornerstone of full stochastic Asset-Liability Modelling using FIRM® and strategic asset allocation using the Investment Optimizer tool. These tools are all built in the same code base and provide a seamless experience with the ability for user to “switch on” the functionality they require instead of having to migrate their models to a different system.
GEMS® Economic Scenario Generator integrates with third-party modelling tools via command line interface, API, or via automated import/export of scenario text files in the required format. Additionally, GEMS® Economic Scenario Generator can be fully integrated with the Prophet actuarial software solution. This new integration layer allows Prophet users to seamlessly generate GEMS® economic scenario data from within Prophet, without cumbersome and inefficient intermediate files, for both point-in-time projections and forecasted on-the-fly simulations.
What is the key attribute of your product(s) that differentiates it from your competitors?
GEMS® Economic Scenario Generator can natively model an insurance company’s balance sheet, incorporating management actions, dynamically rebalancing between assets, constructing hedging strategies, and projecting cash flows of thousands of individual securities. The power of our asset models stands us apart from our competitors and provides companies with a unique insight into the distribution of their risks.
What trends are you seeing in terms of customer demand?
Cloud software is becoming more and more important as companies look for cost savings when they need to refresh or upgrade existing IT infrastructure. From a “use case” perspective, increasingly clients are looking for an Economic Scenario Generator which supports multiple areas of their business, such as asset-liability management, climate risk analysis, and strategic asset allocation.
Conning’s GEMS® ESG simulates future states of the global economy with real-world and risk-neutral scenarios.