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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.
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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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