This article provides an overview of the SLOPE Model and serves as a high level reference covering the three modeling concepts below.
- Model Object Overview
- Key Modeling Objects
- Data Flow Diagrams
- SLOPE generated cash flows
- Externally projected cash flows
Model Object Overview
Below is a list of all SLOPE modeling objects organized by SLOPE main menu item.
Key Modeling Objects
This section highlights key modeling objects and concepts utilized within SLOPE.
At the most granular level, individual asset or liability policies are modeled as individual model points. Model point data is first grouped by each corresponding asset or liability Product. Collections of assets and products comprise Portfolios, which aggregate to Company level data.
The different levels of aggregation are used for varying purposes based on the type of run being performed. Pricing runs typically use Product and Portfolio level variables. Cash Flow Testing is usually done at the Portfolio and Company levels. Financial Reporting normally reflects Company level variables.
Table Structures and Data Tables
Table Structures represent the structure for assumptions, tabular input, or other external inputs into SLOPE (that are not model point files). There are two types of available modeling objects designed to contain assumption data:
- Standard Tables
- Decrement (formerly 'Mortality') Tables
Data Tables are the actual tables that contain data conforming to the Table Structures described above. There is no limit to how many Data Tables can be defined for each Table Structure. In addition, Data Tables can have different versions to help identify between multiple versions of same-named Data Tables. For example, a Data Table with policy acquisition expense assumptions can vary over time and be represented by a different Data Table version.
Assumptions Sets represent predefined sets specified model input tables. They exist to facilitate the assignment of many data tables on a Projection Template using one convenient object. For example, Assumption Sets for Best Estimate, US Statutory, US GAAP, and IFRS-17 are shown below. There is no limit to the number of tables assigned to each Assumption Set.
Projection Templates are a key SLOPE modeling object designed for two key purposes
- Contain all modeling assumptions for a given Projection
- Initiate Projection run
Projection Templates contain settings, switches, Assumption Sets, Data Tables, and Portfolios. By using a Variable Tag, SLOPE can minimize a Projection's run time by only processing tagged variables and their dependencies.
Economic Scenario Structure
Slope provides a flexible Economic Scenario Structure to accommodate varying modeling requirements. In the example below, each scenario has two currencies, five yield curve tenors, and four other variable economic indices,
A Projection represents SLOPE model output corresponding to a run. Projections are not just tabular model output but can easily include visualizations to highlight salient information to stakeholders.
Projections use Dashboard objects to create custom reports with charts and tabular information to enhance communication effectiveness.
Data Flow Diagrams
SLOPE is a powerful and flexible actuarial modeling solution comprised of three general areas below.
- External Model Inputs
- SLOPE Model Processing
- SLOPE Model Outputs
External Model Inputs
SLOPE works with your existing data files and formats. In many cases, no additional modifications are required to use your existing data extracts.
SLOPE Model Processing
Multiple sets of assumptions, scenarios, and valuation dates can be processed through the same model. All results are accumulated in one place. SLOPE projects asset and liability cash flows but can also utilize externally projected cash flows.
SLOPE Model Outputs
Reports can be custom formatted to match the requirements of your accounting systems. SLOPE provides a standard suite of generic reports intended to cover key aspects of the business from model point to company levels for across all modeled assets and liabilities.
Cash Flow Projections
SLOPE can project cash flows or alternatively process externally generated cash flows.
SLOPE Projected Cash Flows
SLOPE typically processes external sources of data and produces output reports. External sources of data can be files from administration systems (direct or third part) that contain policy, reinsurance, claims, expenses, or commission data. External data can also include Economic Scenario Files, model point files, and actual historical cash flows, and modeling assumptions.
SLOPE processes these external data sources and outputs its results to a Reporting Database, which is the source of all SLOPE reports.
Externally Projected Cash Flows
Alternatively, SLOPE has the flexibility to process externally projected cash flows as needed. For example, SLOPE can utilize independently projected asset cash flows to model exotic investment assets in the future.