Annuity Risk Model - Features

• The model is fully integrated with Barrie & Hibbert’s iESG which means access to sophisticated yield curve and credit modelling, together with many other assets that might be considered for annuity investment.  
• Incorporates stochastic interest rates (nominal and real yield curves and inflation), stochastic credit risk (defaults, rating changes and credit spreads) and stochastic mortality.
• Its flexibility allows liabilities and assets to be split into any number of separate portfolios and the model can incorporate new business and dynamic investment strategies (for example rematching assets and liabilities during the projections), as well as dynamic valuation and pricing bases.
• The detailed model point liability modelling approach captures the many facets of annuity liabilities. The liability model also provides a stochastic mortality modelling functionality and supported calibration.
• The model is written in the Microsoft .Net software environment, providing a robust software development and testing environment, and includes the functionality for the bulk uploading of asset and liability data.

To find out more about Barrie & Hibbert's Annuity Risk Model, please contact Colin Wilson at This e-mail address is being protected from spambots, you need JavaScript enabled to view it  or Sathish Ramdayal at This e-mail address is being protected from spambots, you need JavaScript enabled to view it com