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RMS LifeRisks 2.0 Harnessing the power of the cloud for integrated

mortality modelling

Justin Caird Product Manager, LifeRisks, RMS

Investigating Future Mortality: Blending Medical & Actuarial Science for Life & Longevity Risk Management

RMS LifeRisks Seminar l May 24, 2012

CONFIDENTIAL © 2012 Risk Management Solutions, Inc.

The LifeRisks 2.0 Product

Using the software

The “Cloud”

LifeRisks in the Cloud

Security

Future product enhancements

RMS LifeRisks in the Cloud

2


A key part of RMS’ long term vision of an integrated

platform for management of life and longevity risk

“Cloud”-based mortality modeling solution accessed

over the world wide web using a standard browser

2.0 release significantly expands the functionality and

feature set of 1.0 version

Timelines

– Product currently in final phase of development

– General Availability release on schedule for early July

The RMS LifeRisks 2.0 Product

3


What’s New in Version 2.0

4

Feature 1.0 2.0

Models included Longevity Excess mortality (terrorism,

infectious disease, US

earthquake, residual) and

longevity

Countries included UK UK, US, NL, FR, DE, CA

Contracts modeled Simple annuity Simple annuity, deferred annuity,

joint annuity, life

Non RMS models

included?

No Yes - Event Loss Tables and EP

curves can be uploaded to

analyse combined excess

mortality risk


Use Case: Longevity Analysis


RMS LifeRisks 2.0 – Running a Longevity Analysis

6

Managing my exposure

– Can I segment the book of business in this analysis?

– What resolution of data do I need to run the models in the software?

Quantifying my Liability

– What kinds of mortality scenarios can I run?

– How can I set my analysis up to understand the key drivers of risk?

Understanding & Exporting my Results

– How can I compare my current perspective with the loss distribution from this analysis?

– What level of detail can I drill into on any given analysis?

– Can I export analysis outputs easily into my own reports?


Longevity Analysis – Exposure Data

7

Upload portfolio

exposure data

by different

resolutions

(individual vs

aggregate)

Define annuity

types, escalation

rates, dependant

annuitants

Review

exposure

summary

information by

portfolio by

exposure

amount and age


Set up “Risk

Groups” to

segment

exposure

Assign separate

mortality tables

and loading

factors to each

segment

Define escalation

rate profiles

Longevity Analysis – Portfolio Segmentation

8


Set up a future

mortality profile for

an analysis, set

options including:

– Model segments

– Base mortality

error

– Trend dilation

adjustments

– Analysis mode

(expected vs

binomial)

Define the number

of simulations for

the analysis run

Longevity Analysis – Analysis Profiles

9


Longevity Analysis – Analysis Profiles II

10

Use deterministic

scenarios to

explore the model

and build intuition

around outputs


Select Future

Mortality profile for

the analysis from

library of profiles

Set Financial

Model parameters,

including:

– Interest rate

profile (fixed or

variable interest

rates)

– Exchange rate

Longevity Analysis – Running the Analysis

11


View “Exceedance

Probability” (EP)

report detailing loss

distribution from

analysis simulation

set

Drill into individual

simulations for key

loss return periods

Outputs available for:

liability, pension-

weighted average

cohort life

expectancy, annuity

factor, liability as %

different from mean

Export mortality

Reduction Factor sets

into Excel for detailed

scenario analysis

Longevity Analysis – Results

12


Use Case: Excess Mortality Portfolio Rollup


Using the system for overall portfolio management

– Can I analyse portfolios across multiple countries? Which ones?

– Can I analyse excess mortality perils independently and combined?

– Can I import my own view of risk and use it in an analysis?

– How do I roll up different portfolios into a single overall loss

assessment?

Understanding my portfolio risk within the regulatory context

– Can I run different / more sophisticated analyses than are provided

by the standard model?

– What kinds of scenarios can I look at, and what kind of information

can I drill down into?

RMS LifeRisks 2.0 – Running an Excess Mortality Analysis

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View dashboard

of uploaded

portfolios by

country, currency,

number of lives,

policy type

Review exposure

summary

information by

portfolio by

exposure amount

and age

Create portfolio

groups for logical

roll-up analyses

XSM Analysis – Portfolio Grouping

15


Define model

options for types

of risk to include

in analyses:

– Infectious

Disease

– Terrorism

– Natural

Catastrophe

– Residual

Set number of

simulations

Include results

datasets from

external

models/systems

XSM Analysis – Model Options

16


View Event Loss

reports showing

event sets by

single, combined

perils

View outputs for

historical

pandemic-like

scenarios such as

the 1918 flu

Export detailed

event reports to

Excel for event-

based filtering

and different

portfolio

resolutions

XSM Analysis – Event Loss Detail

17


The Cloud


What is the “Cloud”?

19

SaaS

AWS

PaaS

EC2

iCloud

Azure

IaaS

Private

Cloud

Utility

Computing


What is the “Cloud”?

20

“A style of Computing where scalable and elastic IT capabilities are provided as a

service to multiple customers using Internet technologies” - Gartner


Why is the Cloud important?

21

On demand

“elastic”

computing

capacity

Reduced IT capital

costs Rapid access to

new functionality

& updates


RMS LifeRisks 2.0 in the Cloud


RMS LifeRisks 2.0 in the Cloud

23

RMS proprietary software

platform deployed on top of

Amazon’s AWS infrastructure

Combining high-powered

statistical language (R) with

the scalability of the cloud

Allows scaling of computing

resources in line with

asymmetric usage patterns

Extensible to incorporate new

models, model geographies

Supports RMS strategy to

provide a platform that is

updated continually, that

grows as modeling

capabilities expand

Amazon Physical Infrastructure

Amazon Services

AWS (Amazon Web Services)

RMS LifeRisks 2.0

Database Database

Analytics Simulation Engine

Web User Interface


Security


Security in the Cloud

25

RMS understands the importance to our clients of being able to retain

control of data, and of being confident that data is secure in the cloud

– All user-uploaded data is stored within a designated region (EU, US East, US

West, APAC) and then within Availability zones for failover

– Ensures ability to comply with location-dependent privacy and compliance

requirements (e.g. EU Data Privacy Directive)

– LifeRisks 2.0 is deployed on a cloud vendor infrastructure specifically chosen for

its security protocols and certifications (SAS70, PCI DSS, ISO, FISMA certified,

HIPPA compliance achieved by third party applications)

– The RMS platform adds a further layer of security on top, using highest-available

encryption on data-at-rest and data-in-transit

Computer system security is a process, not a product

“Better be despised for too anxious apprehensions, than

ruined by too confident security” – Edmund Burke


Future Enhancements


Future Product Enhancements

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Sensitivity analyses

Hedging

Enhanced annuity modeling

Model customisation

…other enhancements as dictated by market feedback


How to Get Started…

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Live demos available today from the LifeRisks Product

Management team…

In-depth demos at RMS offices or at own premises

http://www.rms.com/liferisks

Derek

http://www.rms.com/liferisks

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