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Actuarial models are moving from the desktop into a centralised infrastructure and modelling environments are expanding to take advantage of new technology.

Models require re-engineering to fit into strategic platforms, while scenario generators and their simulation engines require enterprise-level industrialisation. We are working with actuarial teams to minimise the time spent on non-core activities, such as data management, model change and reporting.

Our areas of expertise include:

  • Integrating models into enterprise risk.
  • Portfolio replication and optimisation systems.
  • MATLAB, R and Excel prototypes re-engineered into production systems.
  • Grid orchestration and optimisation.
  • Risk aggregation and self-service business intelligence.
White paper

Pricing discrete barrier options and credit default swaps under Lévy processes

Discretely monitored barrier options under Lévy models, including single and double barrier options and first-touch digitals, as well as CDS and defaultable bonds. By Marco de Innocentis and Sergei Levendorskiia
White paper

Cost Attribution Methodology

Costs on the firing line: why qualified decisions require a radical shift in front-office thinking. By Jason McIntosh and Steve White

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