Moody’s Analytics has announced that Assicurazioni Generali S.p.A, the largest insurance company in Italy, has selected the Moody’s Analytics B&H Proxy Generator to prepare for Solvency II.
The B&H Proxy Generator creates proxy functions that can be used to model life insurers’ assets and liabilities to support capital calculations. Proxy functions can provide significant runtime reductions over full asset-liability management (ALM) cash flow models for applications such as interim valuation, capital calculations or hedge effectiveness.
The B&H Proxy Generator will help Generali to quickly model its complex life insurance business and to efficiently create proxy functions for use in its capital calculations, such as one year Value-at-Risk (VaR).
As one of the world’s largest insurance providers with more than 65 million clients, the Generali Group needed a group-wide Solvency II solution that could be applied to its internal model in a consistent manner across all of its product lines. Generali operates in more than 60 countries worldwide, including Western Europe, Central Eastern Europe and Asia.
Sandro Panizza, Chief Risk Officer (CRO) of Generali, stated: “The short setup time offered by Moody’s Analytics, together with accurate validation models and the ability to automate generation of proxy functions were key factors in our decision for the B&H Proxy Generator. Moody’s Analytics is a leading expert in proxy modeling and we believe that their sophisticated solution will play a crucial role in helping us achieve our goals in terms of meeting quality requirements and implementation timelines.”
Andy Frepp, Managing Director, Insurance Solutions, at Moody’s Analytics, stated: “Generali’s decision to license the B&H Proxy Generator demonstrates their trust in our implementation capabilities and confirms our position as a leading provider of cutting-edge modeling solutions.”
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