Case Study: Transamerica reduces hedge valuation run time with NumeriX Leading Hedge

Transamerica - Customer Case Study

Transamerica, part of the AEGON Group, needed a scalable way to improve future valuations, scenario generation, and hedge performance reporting for its variable annuity liabilities. It was already using NumeriX CrossAsset and NumeriX Leading Hedge, and turned to NumeriX for enhanced insurance risk management capabilities, including a new Future Greeks function.

NumeriX implemented nested stochastic projections in Leading Hedge, allowing Transamerica to generate future Greeks for a portfolio of more than 230,000 variable annuity policies. The result was a major operational improvement: end-to-end run time dropped from 40 hours to 6 hours, while modeling precision increased and the platform created a stronger foundation for future growth and additional nested stochastic use cases.

Transamerica

Hunt Blatz

Vice President and Head of Model development