The insurer embedded PathWise as its financial risk management platform to fulfil a range of tasks, including assumption management, economic scenario generation (ESG), asset-liability management (ALM), hedging, and K-IFRS, IFRS 17, and K-ICS reporting – which require a variety of scenarios and shock-based computations that demand hundreds of millions of paths of calculations, AON noted.
PathWise utilizes the parallel processing power of graphical processing units (GPUs), which contain thousands of processing cores each to simultaneously produce huge volumes of scenarios and handle policy-by-policy basis calculations without using approximations or shortcuts such as scenario reduction, curve fitting, and policy grouping, AON pointed out.
"Accurately analysing financial effects and establishing strategies under the new regulations requires a lot of computations. So we needed high-performance computing software for such difficult workloads," said Kim Yeon Jung, Kyobo Life's actuarial infrastructure team leader.
In approximately five hours, PathWise is able to calculate Kyobo's IFRS 17 best estimated liability and risk adjustment for 40 million policies on a policy-by-policy basis using 60 GPUs, AON claimed.
The entire financial statement generation process, including the financial statement movement analysis, can be completed in just 36 hours, the professional services firm added.
In addition, PathWise can calculate the required capital amount for Kyobo's K-ICS QIS 2.0 within 30 hours, with no significant impact on the calculation run-time even when the number of scenarios increased from 200 to 1,000, according to AON.