actuarial computing demands providing capacity through saas presented by van beach, fsa, maaa...
TRANSCRIPT
![Page 1: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/1.jpg)
Actuarial Computing DemandsProviding capacity through SaaS
Presented byVan Beach, FSA, MAAAMG-ALFA Product Manager
October, 2010
![Page 2: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/2.jpg)
2
Agenda
Milliman and MG-ALFA
Evolution of financial modeling
Meeting the challenge
Benchmark results
![Page 3: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/3.jpg)
3
Milliman and MG-ALFA
Milliman is a global actuarial consulting firm with over 50 offices worldwide
MG-ALFA is a financial projection system used by actuaries for pricing, risk management, and regulatory reporting
Currently 111 MG-ALFA clients– 193 installations globally
• 120 US
• Dominate US Market (New & Existing Clients)
– Clients in 20 Countries
– 2000+ MG-ALFA client users
Milliman consultants are also clients
![Page 4: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/4.jpg)
4
YE Q2 YEQ1 Q3
Evolution of Financial Modeling
Modeling was an infrequent, “special” process– Annual cash flow testing
– Pricing new products
– Desktop software enabled actuarial independence and control
![Page 5: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/5.jpg)
5 March 31, 2009
YE Q2 YEQ1 Q3
Evolution of Financial Modeling
The models have become more complex– Dependent liability and asset projections
– Stochastic analysis (nested stochastic for pricing)
– Products and company practices more complicated
– More granularity to capture policyholder behavior and other risk characteristics
![Page 6: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/6.jpg)
6
YE Q2 YEQ1 Q3
Evolution of Financial Modeling
Models are at the core of more functions and analyses– CFT, pricing, principle-based reserving, planning
– ALM, EC, C3 Phase 2, C3 Phase 3
– GAAP, IFRS, Solvency II, MCEV, EV
Analysis often requires running several models under consistent bases and assimilating results
![Page 7: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/7.jpg)
7
YE Q2 YEQ1 Q3
Evolution of Financial Modeling
Models and analyses are required more frequently– Semi-annual economic capital
– Quarterly embedded value, planning, ALM
– Monthly principle-based reserves
– Daily hedging
![Page 8: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/8.jpg)
8
YE Q2 YEQ1 Q3
Evolution of Financial Modeling
Models are delivering mission-critical information– Reporting windows are tighter
– Increasingly viewed as part of the “production” process
More users involved and more consumers of model results
![Page 9: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/9.jpg)
9
YE Q2 YEQ1 Q3
Evolution of Financial Modeling
There is a significant gap between the environment required and the environment that exists to support these requirements
![Page 10: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/10.jpg)
10
Step 4 structure for sustainability
Step 5 build macro-model processes
Step 6 automate and integrate
Step 1 assess core actuarial projections
Step 3 centralize, control, collaborate
Capacity is a critical need
Step 2 improve capacity
Step 2 improve capacity
![Page 11: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/11.jpg)
11
Scalable Cloud Actuarial Infrastructure (SCAI)
Multi-core local desktop computers
Private clouds (i.e., in-house grids)
SaaS (e.g., R Systems)
PaaS (e.g., Azure)
![Page 12: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/12.jpg)
12
Seriatim policy test
Drivers– Size of the input (in-force) file.
– Size of the result file.
– The number of servers.
Test parameters– 4 million policies
– Large in-force input size is 10* small In-force
– With and without reports
8 cores/server
![Page 13: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/13.jpg)
13 March 31, 2009
Small In-force Large In-force
Numberof Servers
WithoutReport
WithReport
WithoutReport
WithReport
1 43.5 81.8 47.9 94.7
5 11.3 28.6 17.1 33.9
10 7.5 23.2 12.4 31.2
15 6.7 19.7 10.9 23.4
20 6.2 19.1 10.8 22.7
(Elapsed run time in minutes)
Runtime benchmarks
![Page 14: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/14.jpg)
14
(Elapsed run time in minutes)
Impact of fixed runtime components
In-force Processing No Report With ReportFile Time 1 Server 20 Servers 1 Server 20 Servers
Small Input Build 2.5 2.6 2.5 2.6 Send to Grid 0.1 0.1 0.1 0.2 Work on Grid 40.8 3.3 67.7 3.8 Move Results 0.1 0.2 8.9 9.6 Merge Results 0.0 0.0 2.6 2.7 Total 43.5 6.2 81.8 18.9
Large Input Build 6.7 6.7 6.4 6.6 Send to Grid 0.1 0.1 0.1 0.1 Work on Grid 48.5 4.2 85.7 4.5 Move Results 0.1 0.1 8.4 8.9 Merge Results 0.0 0.0 2.6 2.6 Total 55.4 11.1 103.2 22.7
![Page 15: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/15.jpg)
15
Stochastic policy test
Test parameters– 2k, 20k, and 200k liability model points
– Large in-force input size
– With reports
8 cores/server
![Page 16: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/16.jpg)
16
* 1000 Scenarios were run for each test
Calculation efficiency
Number of Cell-ScenariosPer Hour Per Processor Core
(in thousands)Number Liability Model PointsServers 200K 20K 2K
1 204 203 132 2 201 202 126
50 172 160 55 125 146 115 31
![Page 17: Actuarial Computing Demands Providing capacity through SaaS Presented by Van Beach, FSA, MAAA MG-ALFA Product Manager October, 2010 Page based on Title](https://reader035.vdocuments.mx/reader035/viewer/2022062714/56649d005503460f949d3013/html5/thumbnails/17.jpg)
17
Conclusions
R Systems provided a highly scalable computing environment for MG-ALFA
Calculations were very close to linearly scalable
Data movement/processing time was fixed, thereby creating diminishing returns as task size decreased
MG-ALFA is easily reconfigured to change task size– Optimize efficiency or
– Optimize runtime