Having acquired many companies with a variety of actuarial projection systems and models, Phoenix undertook a project to migrate all of their actuarial models to MG-ALFA.

 

I was brought in to help Phoenix migrate their existing MoSes and VBA With Profit ALMs to MG-ALFA.

 

This process involved:

 

Gaining a thorough understanding of the existing ALMs;

'Deflating' the ALMs by disabling dynamic management actions and policyholder behaviours;

Replicating the results using MG-ALFA;

'Inflating' the ALMs in MG-ALFA and reconciling the results back to the old ALMs;

Writing detailed reports describing the above steps with financial impacts.

 

Working as 'fund lead' on a 'trail-blazing' fund, I worked to an accelerated timeline to get a fund through the entire reconciliation process from end-to-end.  All other fund leads then used the lessons learnt from this exercise as a template for their own work.

 

In addition to the trail-blazing fund, I also did the ALM reconciliation work for three other With Profit funds and, amongst other general consultancy work, picked up a Non Profit fund and did the final reconciliation work which saw that fund signed off by the Business Design Authority.

 

Further work included:

 

Low Level Design documents for future MG-ALFA build items;

Writing approach documents for the enhancement and integration of Phoenix's new MG-ALFA Daily Solvency Monitoring solution into the production MG-ALFA environment;

Building distributed processing funcitonality into legacy VBA ALMs to enable the completion of hundreds of parallel test runs against MG-ALFA within tight deadlines.