Our new version of STAR RN is aimed at streamlining process for firms relying on heavy-duty stochastic modelling. It is the latest development in our Solutions for Life suite.

WHAT IS STAR RN?

STAR RN is a risk neutral economic scenario generator (ESG) and forms part of Willis Towers Watson's STAR ESG suite of economic modelling tools. A risk neutral ESG forms a vital input for any application requiring market-consistent valuation of financial options and guarantees. For insurers, this typically means valuing policyholder liabilities where there are embedded options and guarantees and where deterministic approaches won't work. The principles of market-consistent valuation are widespread in financial reporting and elsewhere, for example Solvency II, embedded values and guarantee pricing.

 
Increasingly, insurers are being asked to do more in less time. They face an environment with an increasing number of reporting requirements that need more rigorous governance, delivered within tighter deadlines.

Recently, Solvency II has contributed to this trend. An example can be seen with the requirement to produce solo Quantitative Reporting Templates (QRTs) 8 weeks after the end of each quarter, which, will reduce to 5 weeks by 2019.  In addition, the new IFRS 17 accounting standard for insurance contracts will add further challenges for many firms across the world.

Our clients are responding with a significant investment in their processes and systems. This was evident in our recent survey that showed a large proportion of UK life internal model firms are aiming to cut several weeks from their year-end reporting processes using a combination of more automation, rescheduling of tasks and re-engineering the whole end-to-end process.

a large proportion of UK life internal model firms are aiming to cut several weeks from their year-end reporting processes using a combination of more automation, rescheduling of tasks and re-engineering the whole end-to-end process
 
 

Many of these firms use stochastic aggregation models for their capital requirements, which in turn are based on proxy models to enable quick recalculation of balance sheets. The need to calibrate and validate such models is computationally intensive and puts a strain on resources.

We have responded to these challenges with the release of a significant upgrade to STAR RN, our risk neutral economic scenario generator (ESG).

A risk neutral ESG is an important tool for any insurer wishing to carry out a market-consistent valuation of options and guarantees. This is needed for a range of applications including Solvency II balance sheets, embedded values and guarantee pricing. For Solvency II, ESGs also provide a key input to proxy model calibration.

STAR RN 3.0

Our new release, version 3.0, includes features designed to increase automation, speed and quality of the scenario generation process. Key enhancements include:

  • Data import and export functionality; making the batch running of multiple sets of scenarios easy.
  • Faster generation of output files.
  • Extra features to facilitate analysis of scenario diagnostics across multiple scenario sets, so validation criteria can be easily checked.

Together with numerous other improvements, STAR RN is now ideally suited to generating high quality output, rapidly across multiple sensitivities.

STAR RN is designed to run not just as a standalone application but also in conjunction with other applications.  It integrates directly with our proxy modelling software RiskAgility PM, automating the production of both stochastic and nested stochastic scenarios, and with our systems integration and workflow platform, Unify.

The new version of STAR RN is an important part of our Solutions for Life software suite, which helps our clients respond to market challenges; delivering results more quickly and accurately, with higher standards of governance and with close integration into business-as-usual processes.

To find out more, contact us by email.