Modelling of investments?

It is possible to model any kind of investments in RiskAnalytics? I heard this in          "Insuranceforum Leipzig" within the scope of the Solvency II workshop.

Thanks for your help,

Timo

At the Leipziger Versicherungsfoum I said that one can build asset models with PillarOne. PillarOne is

• component based: You can build asset components, e.g. corporate bond portfolio, share portfolios , etc. and the necessary risk factors, e.g. interest rate models, stock market indices etc.
  
• components send each other packets: You can build the necessary packet information such that the asset components can talk to each other.
  

At present there exist no publicly available asset components. We have done some asset modeling for a client, but that code is not going to be donated to PillarOne.

Nevertheeless, in one of the upcoming releases, we plan to include the components for building basic asset models. If you would like to be involved in spec-ing, building or testing them, please get in touch with me.

It would be nice to know for which kind of models you need asset components: ALM for P&C, life or something else?

I need asset components for ALM for P&C e.g. annuities or stocks.

Thanks for your answer.

Stock and bond portfolios and their risk drivers are most likely the components which we target for the first asset release.

Stochastic risk drivers: Stock indices and interest rates.

Do you have any preference for an interest rate model? Vasicek, Hull White?

But in order to do ALM you still need a few components more: A "treasury" component which links the asset and the liability side. I.e., premium that you earn get invested (according to some strategy) and claims are paid from investment return and if there is not enough, then from selling investments.