Version 2.8.4 of Longevitas

Publication Date:
Services: Survival Modelling

 

Longevitas Ltd is pleased to announce the production release of v2.8.4 of its Longevitas risk-modelling software.

This release adds powerful productivity and ease-of-use features, including:

2.8.4 Update

  • TimeSpline modelling within Hermite family allows tracking of mortality fluctuations and shocks such as COVID-19.
  • Step size doubling to accelerate long-running models.
  • ControlFlags user code can mark record as not contributing to parameter estimation, but will be used for valuation and misestimation risk.
  • Subgroup operation on curves tab allows creation of new data file for analysis.
  • System load statistics are now captured during operations and displayed on hover of the Status field on file history screen.
  • Support for EDS - Enhanced Dedicated Servers with 16, 32 and 64 thread parallelism.
  • Hardware-bounded threading - use all threads in a single operation for Enterprise and EDS servers.
  • Switchable performance math library for Enterprise and EDS servers with up to 25% boost for certain operations
  • Fixes and handling improvements (documented in the release notes).
2.8.3 Update
  • OBNR modelling within Hermite models as per Richards (2021).
  • Multiple model initiation using a model specification list.
  • Optional descriptive and user-defined optimised group labelling in addition to standard numeric labels.
  • Configuration control of exhaustive versus shallow ordinal optimisation.
  • Improved Excel templates including support for larger record counts and dynamic attributes.
  • Improved error and pulse file logging.
  • Fixes and handling improvements (documented in the release notes).
2.8.2 Update
  • Continuous amounts modelling within Hermite models as per Richards (2020).
  • A non-parametric estimator incorporated into the data audit to aid data-quality checks, visualise seasonal patterns and detect mortality shocks such as covid-19.
  • Sub-year residuals in calendar time to assist analysis of seasonal patterns and mortality shocks such as covid-19.
  • The ability to download records containing the most commonly occuring values.
  • The ability to exclude records from modelling by amount and date attribute value.
  • Experian Mosaic and FSS profiler updates for licensed users.
  • Simulate quantile report regeneration for user selected p-values.
  • Bulk operations offering multiple file deletion, reload and sharing
  • Activity audit enhancements allowing searching for support operations and incomplete operations by date
  • Improved Excel templates including support for larger record counts and dynamic attributes
  • Various fixes and handling improvements (documented in the release notes)
2.8.1 Update
  • Extensive seasonal mortality features as per Richards, Ramonat, Vesper and Kleinow (2020).
  • The launch of a mis-estimation assessment inside an n-year framework for regulatory purposes.
  • Increased parallelisation of calculation code for improved performance.
  • The ability to access configuration (ConfigurationSet) details for running operations.
  • Experian profiler updates for Mosaic licensed users.
  • New options for time-trends in the Hermite family of models.
  • The option to perform run-off simulations over a fixed time horizon in addition to the existing entire-lifetime approach.
  • The launch of Longevitas Enterprise, a massively-parallel platform option for the most demanding users and calculations.
  • Various fixes and handling improvements.
2.8 base release
  • The Hermite mortality law in Richards (2019) is a new model that allows greater flexibility at lower ages and continuous-time modelling of seasonal variation in mortality.
  • Enhanced authentication now supports time-based one-time (TOTP) passcodes compatible with apps such as Google Authenticator and FreeOTP
  • Parallelism support for valuation calculations
  • Experian profiler updates for Mosaic and FSS for licensed users.
  • Implementation of CMI profiler for all users.
  • The ability to generate files from individual data for uploading into Projections Toolkit.
  • Security and platform changes, including shorter key and certificate lifetimes, additional schema-level encryptions and the implementation of a web-application firewall on every server.
  • Various fixes and handling improvements.
2.7.9 Update
  • Configuration sets: providing the ability to download (view) operation configuration and upload(set) those settings en-masse.
  • GDPR: Standalone postal heatmap generation to allow creation of postal district heatmaps without including postcodes in experience datasets.
  • GDPR: The system will no longer hold the original uploaded file name.
  • GDPR: The system will offer a default non-identifying file descriptions that users may adopt or overtype.
  • Various fixes and handling improvements.
2.7.7 Update
  • The addition of Groups Counts modelling to facilitate fitting of models to grouped/non-individual data.
  • The addition of user-specified size-bands, and the ability to either inherit or recalculate sizebands for bootstrapping.
  • Survival curves files now allow an individual mapping to a model rate table rather than supplying individual qx/tpx values.
  • Significant performance improvements for deduplicated and tagged file downloads.
  • Improved validation handling for malformed and incorrectly structured or positioned data.
  • Suitably licensed customers now have availability of Experian Mosaic 2017 and FSS 2017 profilers, retaining access to prior versions.
  • Support for user to supply geodemographic profiler data whilst retaining expert system analysis.
  • Improvements to built-in transforms allowing output to CSV/Excel format for all operations.
  • Reports have been updated to include TAS releases from July 2017.
  • Enhanced documentation, Excel templates and PDF reports in a variety of areas.
  • A number of fixes and handling improvements.
2.7.5 Update
  • Amounts-weighted Kaplan-Meier curves are now supported within modelling and the curves tab.
  • Transform-on-download facility allowing selective anonymization and encoding of personal data elements prior to experience analysis.
  • Random number generation features including per operation RNG seed modification and exposure of Mersenne Twister RNG option.
  • The launch of multi-version geodemographic profiler framework allowing retention of previous version of profilers within the same family.
  • Suitably licensed customers now have availability of Experian Mosaic 2015 and FSS 2015 profilers, and CACI Acorn 2015, retaining access to prior versions.
  • Customers can now control the application interface timezone used for timestamp display.
  • User law features including the availability of a new ternary operator enabling a wider range of laws.
  • Enhanced documentation, Excel templates and PDF reports in a variety of areas.
  • A number of fixes and handling improvements.
2.7.3 Update
  • Mis-estimation reporting in browsable and PDF form. Results include median reserves and reserve-based confidence intervals for a chosen p-value.
  • Operation configuration captured at submission rather than upon execution. This is particulary helpful when scheduling multiple tasks beyond licensed concurrency limits.
  • The launch of the Mosaic (2014) Longevitas profiler.
  • Valuation of liabilities now included in model PDF reports.
  • A built-in transform to deliver Equate and misestimation XML results in Excel format.
  • Enhanced documentation, Excel templates and PDF reports in a variety of areas.
  • A number of fixes and handling improvements.
2.7.1 Update
  • Mis-estimation risk analysis features in line with Richards (2014).
  • Each model is now accompanied by a full-portfolio valuation of liabilities.
  • The 2014 update of the Mosaic (2009) Longevitas profiler.
  • Support for DSV/semicolon-delimited and comma-decimal separator file uploads.
  • Kaplan-Meier enhancements including plotting confidence intervals and Excel-based calculation of the Fleming-Harrington estimate.
  • Enhancements to the calculation methods used for numerical derivatives.
  • Configuration based clustering of socio-economic profiler type codes.
  • Enhanced Excel templates and PDF reports in a variety of areas.
  • A number of fixes and handling improvements.
2.7 base release
  • A fully updated hardware and software platform incorporating improved scalability and resilience features.
  • Concurrent scheduling of models on a single portfolio.
  • Explicit threading control added to Longevitas on parallel platforms, allowing users to minimise runtime or maximise concurrency.
  • Kahan summation technique extends accuracy beyond conventional limitations of floating point arithmetic.
  • Built-in model-extract transforms model XML output into accessible Excel and CSV formats. The model extract also features an automatic calculation of parameter correlations, useful for analysing mis-estimation risk.
  • User-specified discount factors as an alternative to fixed interest rates and yield curves.
  • Enhanced Excel templates and PDF reports in a variety of areas.
  • A number of fixes and handling improvements.
2.6.7 update release
  • Equating bases can now use multiple-threads on dedicated servers. The basis-equating functionality joins run-off simulations in providing substantial acceleration of calculations.
  • Simulate-Inforce operation can now operate over an n-year time horizon to investigate n-year volatility. This complements the existing full portfolio run-off features.
  • Simulate-Inforce operation can now include presumed spouses based on configuration for spouse age, percentage married and benefit proportion.
  • Hannan-Quinn statistic calculation and new HQIC optimisation target added for modelling operations.
  • Active audit includes improved selection features and the ability to link directly from the audit trail to the operations or files of interest.
  • File visibility and one-click navigation added to every file related screen.
  • Integrated helpdesk reporting, capturing application context.
  • Direct input models now permit reuse.
  • Additional benefit types added for reserve estimation.
  • A/E Excel downloads added for single-gender datasets.
  • Enhanced deduplication controls for missing and invalid data.
  • Enhanced Excel templates and PDF reports in a variety of areas.
  • A number of fixes and handling improvements.
2.6.5 update release
  • Subgroup operations. Apply operations to selected subsets of a modelled dataset. A wide variety of subgroup operations are supported, including modelling, portfolio run-off simulations, equating mortality bases and subgroup data extraction.
  • Assessing hedging assets. Run-off simulations can now assess the effectiveness of various types of hedging asset. User defined payoff expressions can also be entered to help assess bespoke hedging assets.
  • Direct input of modelling data. Under certain circumstances, full underlying data is not available for deduplication and other processing. An example would be where the age at the start of the modelling period were supplied, rather than the date of birth. For such cases, Longevitas now offers the facility to directly input such data.
  • Modelling against a reference population. Often the experience data of a portfolio need to be modelled against some reference population. This is now possible by directly inputing the reference data (as described above) and modelling a portfolio in the usual way.
  • A new quantile report for analysing the results of portofolio run-off simulations.
  • Enhanced Excel templates in a variety of areas.
  • Additional authentication settings to increase control on a per-license basis
2.6.4 update release
  • The introduction of yield curves as an alternative to fixed interest rates throughout the application (including modelling, equivalent-annuity calculations and run-off simulations). Yield-curve models supported include interpolation, penalised splines, Dobbie-Wilkie, Nelson-Siegel and Svensson.
  • Basis-equating operations have a new PDF report, as well as a new parameter to control the starting values for the equivalent-annuity calculation.
  • Large-print technical guides for use on smaller devices such as e-Readers, smartphones and tablets.
  • Run-off simulations now provide expected costs as well as simulated costs.
  • Enhanced PDF reports throughout including hotlinked table of contents and dynamic bibliography.
  • Enhanced Excel templates in a variety of areas.
  • Enhanced file sharing with a new restricted and standard sharing modes, and the ability to return a file share when complete.
  • Process control for multiple running operations per file.
  • SMS provider rotation for multiple notifications within a short time period to minimise dependence on a single provider.
2.6.2 update release
  • The 2011 update of the Mosaic Longevitas profiler.
  • LatestUsableDate optional code field to make it easier to model across datasets with differing extract dates. This is of particular application when clients are building models spanning datasets from different sources. Clients who gather data from quote activity in the bulk-annuity or longevity-swap markets should find this particularly helpful.
  • Inclusion of a new Longevitas Technical Guide explaining internals and theoretical underpinning for the Longevitas system and models.
  • Deviance statistic calculation and a new DIC optimisation target.
  • Equivalent-annuity calculations for a given portfolio.
  • Equivalent-annuity calculations for a model-generated rates, including a downloadable Excel® spreadsheet.
  • Mass calculation of annuity factors and life expectancies, including a downloadable Excel® spreadsheet capable of mass calculation of single- and joint-life annuities.
  • A new optimiser scope setting allowing optimal (optimise-n) optimisations to begin from any number of levels, and allowing the application of user defined optimisation constraints to optimal (optimise-n) models.
  • User-defined assignment rules to allow bespoke code creation based on post-deduplication records, for example to create a bespoke pension-size tiering.
  • Operation completion and password hint notifications now available by SMS in addition to — or instead of — e-mail.
  • Additional extended authentication settings including multiple fixed IP addresses and net masks.
2.6.1 update release
  • Traditional analysis (A/E) reporting
  • Extensions to expert system to warn against over-fitting in optimisations
  • Ability to fix all parameters for an existing model
  • Fix/Re-run facility can now regenerate as well as reuse existing input data
  • Improvements to revaluation facility, including ability to download both original and revalued amounts
  • Addition of derivatives for Normal model
  • Two-factor authentication incorporating SMS passcode and fixed IP options
  • Validation and test facility for SMS numbers
  • Notifications at individual, organisation and server wide level
2.6 base release
  • User Laws. This release introduces user-defined functional forms for the risk to complement the existing built-in laws. User laws are supplied as mathematical expressions to be interpreted by the calculation core, and both survival and qx-type forms for user models are supported.
  • User-defined validation.  Existing default validation can now be supplemented with user-defined rules. These will allow bespoke data-screening rule-sets to be created for various purposes.
  • Forward Selection.  This optimiser mode complements the existing options: law selection, backwards elimination and optimised grouping.  With forward selection the optimiser will consider additional risk factors and second-order interactions for inclusion in the model.
  • Parameter Explorer.  Changes to provide an estimate crosshair and explanatory text to express parameters for models based on standard tables.
  • An increase to the maximum number of modelling iterations for complex models that require an extreme numbers of iterations to converge.
  • An annual update to the Mosaic Longevitas 2010 profiler data.  This is a version of the UK postcode Mosaic profiler which has been enhanced for actuarial work.

Longevitas is used by insurers, investment banks, reinsurers and consulting actuaries to analyse demographic risks. Applications to-date include mortality, longevity, critical illness and persistency.

Previous news

Version 2.8.4 of the Projections Toolkit

28 August 2021

Longevitas Ltd is pleased to announce the production release of v2.8.4 of the Projections Toolkit. This version contains powerful productivity and ease-of-use features including:

Launch of Longevitas Enterprise

29 April 2021
Longevitas Ltd is pleased to announce the launch Longevitas Enterprise.