Developing and Maintaining Swiss Re's Internal Risk Model ICAM in MATLAB (Highlights)

Swiss Re is the world's second largest reinsurer, founded in 1863, based in Zurich, and has a long history of using an “internal risk model” to steer the company. The model defines its target capital, sets risk-based business volume limits, allocates capital costs across various lines of business, determines the company's solvency ratio for regulatory purposes (Swiss Solvency Test, Solvency II), and more.

For a decade, Swiss Re has used MATLAB^® to implement its internal risk model, ICAM (Internal Capital Adequacy Model). Dynamic and increasingly complex internal and regulatory requirements create a challenging development environment, where MATLAB proved to be the perfect development platform to quickly react to changing requirements. In 2017, Swiss Re concluded a major project to overhaul its internal risk model, the key goals being transparency, flexibility for future developments, speed, and precision of risk measures.

This presentation demonstrates how MATLAB is used for several specific tasks within Swiss Re's internal risk model, including organizing and processing data with the table data structure in MATLAB, running fast algorithms in some cases accelerated by MATLAB Parallel Server™, building graphical user interfaces, and visualizing data.