Version 2.6.5 of Longevitas
Longevitas Ltd is pleased to announce the production release of v2.6.5 of its Longevitas risk-modelling software.
This release adds powerful productivity and ease-of-use features, including:
2.6.5 update release
- Subgroup operations. Apply operations to selected subsets of a modelled dataset. A wide variety of subgroup operations are supported, including modelling, portfolio run-off simulations, equating mortality bases and subgroup data extraction.
- Assessing hedging assets. Run-off simulations can now assess the effectiveness of various types of hedging asset. User defined payoff expressions can also be entered to help assess bespoke hedging assets.
- Direct input of modelling data. Under certain circumstances, full underlying data is not available for deduplication and other processing. An example would be where the age at the start of the modelling period were supplied, rather than the date of birth. For such cases, Longevitas now offers the facility to directly input such data.
- Modelling against a reference population. Often the experience data of a portfolio need to be modelled against some reference population. This is now possible by directly inputing the reference data (as described above) and modelling a portfolio in the usual way.
- A new quantile report for analysing the results of portofolio run-off simulations.
- Enhanced Excel templates in a variety of areas.
- Additional authentication settings to increase control on a per-license basis
2.6.4 update release
- The introduction of yield curves as an alternative to fixed interest rates throughout the application (including modelling, equivalent-annuity calculations and run-off simulations). Yield-curve models supported include interpolation, penalised splines, Dobbie-Wilkie, Nelson-Siegel and Svensson.
- Basis-equating operations have a new PDF report, as well as a new parameter to control the starting values for the equivalent-annuity calculation.
- Large-print technical guides for use on smaller devices such as e-Readers, smartphones and tablets.
- Run-off simulations now provide expected costs as well as simulated costs.
- Enhanced PDF reports throughout including hotlinked table of contents and dynamic bibliography.
- Enhanced Excel templates in a variety of areas.
- Enhanced file sharing with a new restricted and standard sharing modes, and the ability to return a file share when complete.
- Process control for multiple running operations per file.
- SMS provider rotation for multiple notifications within a short time period to minimise dependence on a single provider.
2.6.2 update release
- The 2011 update of the Mosaic Longevitas profiler.
- LatestUsableDate optional code field to make it easier to model across datasets with differing extract dates. This is of particular application when clients are building models spanning datasets from different sources. Clients who gather data from quote activity in the bulk-annuity or longevity-swap markets should find this particularly helpful.
- Inclusion of a new Longevitas Technical Guide explaining internals and theoretical underpinning for the Longevitas system and models.
- Deviance statistic calculation and a new DIC optimisation target.
- Equivalent-annuity calculations for a given portfolio.
- Equivalent-annuity calculations for a model-generated rates, including a downloadable Excel® spreadsheet.
- Mass calculation of annuity factors and life expectancies, including a downloadable Excel® spreadsheet capable of mass calculation of single- and joint-life annuities.
- A new optimiser scope setting allowing optimal (optimise-n) optimisations to begin from any number of levels, and allowing the application of user defined optimisation constraints to optimal (optimise-n) models.
- User-defined assignment rules to allow bespoke code creation based on post-deduplication records, for example to create a bespoke pension-size tiering.
- Operation completion and password hint notifications now available by SMS in addition to — or instead of — e-mail.
- Additional extended authentication settings including multiple fixed IP addresses and net masks.
2.6.1 update release
- Traditional analysis (A/E) reporting
- Extensions to expert system to warn against over-fitting in optimisations
- Ability to fix all parameters for an existing model
- Fix/Re-run facility can now regenerate as well as reuse existing input data
- Improvements to revaluation facility, including ability to download both original and revalued amounts
- Addition of derivatives for Normal model
- Two-factor authentication incorporating SMS passcode and fixed IP options
- Validation and test facility for SMS numbers
- Notifications at individual, organisation and server wide level
2.6 base release
- User Laws. This release introduces user-defined functional forms for the risk to complement the existing built-in laws. User laws are supplied as mathematical expressions to be interpreted by the calculation core, and both survival and qx-type forms for user models are supported.
- User-defined validation. Existing default validation can now be supplemented with user-defined rules. These will allow bespoke data-screening rule-sets to be created for various purposes.
- Forward Selection. This optimiser mode complements the existing options: law selection, backwards elimination and optimised grouping. With forward selection the optimiser will consider additional risk factors and second-order interactions for inclusion in the model.
- Parameter Explorer. Changes to provide an estimate crosshair and explanatory text to express parameters for models based on standard tables.
- An increase to the maximum number of modelling iterations for complex models that require an extreme numbers of iterations to converge.
- An annual update to the Mosaic Longevitas 2010 profiler data. This is a version of the UK postcode Mosaic profiler which has been enhanced for actuarial work.
Longevitas is used by insurers, investment banks, reinsurers and consulting actuaries to analyse demographic risks. Applications to-date include mortality, longevity, critical illness and persistency.