Milliman CHESS (Cloud Hosted Economic Scenario Generator) - Milliman

Type of System

  • Economic scenario generator

Type of Platform

  • Cloud
  • Server-based
  • Web-based
  • SaaS

Most recent significant updates:

  • Accelerated techniques to calibrate LMM+ model based on Edgeworth and Gram-Charlier expansions.
  • Development of a calibration method for the instantaneous correlation matrix of the ESG in order to replicate user correlation targets.
  • Integration of a dividend stochastic modelling.

Planned future enhancements:

  • Intuitive multi-currency framework.
  • Intuitive sensitivities administrator.

Other Features

The offering facilitates

  • Solvency II standard formula
  • Solvency II internal model
  • IFRS 17

Integration with third-party or in-house systems?

CHESS provides custom formats, so that the economic tables produced can be immediately plugged into any ALM solutions.

Implementation and Costs

Typical implementation costs:

CHESS doesn't require any implementation working. User only needs to have an internet connection to generate scenarios tables with the tool.

How long does your software take to implement on site?

The solution is immediately usable by the company. CHESS is a Software as a Service (SaaS) solution based on a secured interface between a website and a calculation engine hosted in Microsoft Azure Cloud.

Key attributes of product:

CHESS is an ESG which relies on powerful cloud computing technology allowing calibration of multiple and complex models in a short period of time and projection of sizeable economic scenario tables.

CHESS allows the users to choose among a variety of standard and complex risk-neutral and real-world models, the most appropriate one.

CHESS integrates various functionalities in order to analyse and visualize the outputs produced by the models and ensure that final results are in line with expectations.

CHESS is a fully documented solution including mirror Excel spreadsheets to facilitate better understanding of underlying calculations and results.