Quarter-end, reproduced on any machine

The reinsurer writes property catastrophe, casualty and life reinsurance. It reports under Solvency II for the group and under the ICS to its group-wide supervisor. Every quarter the group actuarial function produced technical provisions, a stochastic scenario set and the standard formula SCR on a cluster that few people knew how to run.

Reproducing a number from three quarters earlier, which a supervisor, an auditor or the risk committee of the board may ask for, took a week and three people, and did not always give the same result. The scenario sets depended on the random number stream of a library version that had since changed, and the old version could no longer be installed on the machines that were left.

GraphAtlas fixes every random draw of the economic scenario generator, so that a scenario set is a function of its inputs and of nothing else. The reserving engines, which are chain ladder and Mack, the bootstrap and Bornhuetter-Ferguson, run on the same kernel, and the standard formula and the ICS aggregation read what they produce. Each run ends in a receipt: a hash of the inputs, the code and the result.

The group’s actuaries now close the quarter with one command. The second machine that checks the first is a step of the build, not a colleague, and the receipt of last year’s close is as good a record of it as the day it was made.

The close of the group capital run fell from nine working days to four. Internal audit replaced a sampling exercise with a check of the receipt for every figure in the pack, and the supervisor’s request for the year-end 2024 SCR with a revised lapse assumption was answered in an afternoon.

The same run now feeds the quantitative reporting templates of Solvency II and the ICS field test, so the group has one number for each thing and one place that it came from.