Milliman STAR Solutions - VEGA

Milliman Solvency II Analysis and Reporting

(STAR) Solutions
The Solvency II directive is not simply a technical change to the
way in which insurers capital requirements will be calculated.
The extent and scope of the reform is such that it affects all
operations which are at the heart of the insurance business:
pricing, underwriting, assessment and risk management, asset
management, internal and external reporting, etc.
From our leading position in Europe in assisting insurance
firms with their migration projects towards Solvency II, we have
acquired unique expertise of best practices, expectations and
needs of the insurance industry. Leveraging our experience,
we have decided to launch a software package suiteMilliman
Solvency II Analysis and Reporting (STAR) Solutionsthat is
compatible with all actuarial and data systems and meets the
diverse needs of insurers:

Standard Formula SCR calculation and analysis

Quantitative Reporting Templates (QRTs)
Enterprise risk management
Capital allocation
Estimation methods for solvency indicators

Milliman STAR Solutions - Vega

VEGA
Having digested the new regulatory requirements, insurance
firms now face the challenge of implementing and industrialising
these requirements. They will have to provide, in a short time
frame, extensive reporting which needs to be comprehensive,
reliable, understood and analysed.
The first priority is undoubtedly to produce the SCR calculation
under the Standard Formula and more generally to meet all of the
regulatory reporting requirements (Quantitative Reporting Templates).
In particular, the key issues faced by insurers are as follows:
To bring together the necessary data inputs which can come from
many diverse sources
To have a reliable aggregation and analysis tool for the SCR
To enable different stakeholders to contribute to the calculations of
the SCR
To communicate information produced to all departments and at
all levels
To comply with the requirements for solo entities and groups
To produce, automate and centralise the quantitative reporting
defined in Pillar III (QRTs)
Leveraging its extensive Solvency II expertise, Milliman has designed
and developed the software package VEGA, which is the first
component of the Milliman STAR Solutions suite.
3

Milliman STAR Solutions - Vega

Functionalities
VEGAs functionality includes calculation,
reporting and workflow that we believe to
be essential for a secure production of the
Standard Formula SCR and regulatory reporting.
Key functionalities
VEGA is a multi-user and multi-site tool for
the production of the Standard Formula
SCR. The web-based interface allows all
stakeholders involved in the production,
analysis and validation (risk department,
actuarial department, finance department and
management) to get a detailed and/or global
vision of the whole operation.
VEGA replaces the Standard Formula
spreadsheet produced by CEIOPS for QIS5.
It strongly limits the operational risk associated
with using Excel by securing data flows,
calculations, the audit trail and the production
of internal and regulatory reporting.

VEGA offers multiple and user-defined analysis

dimensions to enable analysis and reporting at
different levels within the company.
Equipped with the latest generation of
graphics functionalities, VEGA is a solution that
enables the automation of regulatory reports
(e.g., QRTs) as well as customised reports.
VEGA facilitates the validation and analysis
of the results thanks to an audit trail which can
be viewed at a very granular level.
The centralised and secure calculation
process within VEGA facilitates governance,
control and transparency in the production of
new regulatory returns.

VEGAs functionality includes

calculation, reporting and workflow
that we believe to be essential for a
secure production of the Standard
Formula SCR and regulatory reporting.

Milliman STAR Solutions - Vega

Data
An insurance data framework
VEGA provides users with an insurance
data framework. Insurers can choose to use
predefined templates, allowing the classification
of data into several categories:
Lines of business or distribution channels
for liabilities

Data feed and data quality

From the download console within VEGA,
the insurer selects and imports the necessary
data from its actuarial and accounting systems
or any other data source required for the SCR
calculations. The module assesses data quality
by detecting outliers and establishing crossreconciliations between the different sources.
Data can also be entered manually if required.

Asset class, country of issuance, the rating

or the sector of assets
Solvency I and/or Solvency II balance sheet
Alternatively, any other company-specific
framework can also be configured in the solution.

Milliman STAR Solutions - Vega

Calculations
Aggregation and consolidation of risks
One of the main benefits of VEGA is to
provide a robust alternative to the Excel
spreadsheet provided by CEIOPS during the
successive phases of QIS. As such, VEGA
allows insurers to obtain the overall SCR
(Standard Formula or entity-specific) and all
risk sub-modules (SCR Life, SCR Non-Life,
SCR Market, SCR Default, SCR Health, SCR
Intangible and SCR Operational) from the
building blocks needed for the calculations
(central and shocked market values, best
estimate liabilities, volumes at risk, etc.).
The calculation of the MCR and all approved
approaches for calculating the risk margin
are also built in.
Helper tabs and simplifications
All of the QIS5 helper tabs developed by
CEIOPS are integrated into VEGA. Thus, the
calculations of non-life and health/non-life
catastrophe risks, counterparty default
risk, concentration risk and spread risk are
facilitated by the availability of these modules
within VEGA.
6

The technical simplifications proposed by

CEIOPS are also included.

Group consolidation
The calculations can be performed either
for solo entities or at a group level. VEGA
performs the necessary operations to obtain
a group SCR: identification, adjustments,
consolidation and classification.
Review and Display of Results
VEGA gives you three options for review and
analysis of your results:
Through the web-based interface
Via ad hoc or predefined reports
In Excel using the supplied add-in
Navigation
VEGAs user interface works like an intranet
site. This allows the visualisation of all
results from the data input through to the
consolidated results. Navigation is intuitive
across the different dimensions of analysis:
From group level to product level, by country,
by line of business or by distribution channel
From risk sub-module to overall risk SCRs

Milliman STAR Solutions - Vega

Analysis
Milliman has incorporated into VEGA all the
expertise gained in the implementation of
Solvency II. Users of VEGA have a complete
set of reporting analysis options, allowing
for an easier understanding and validation of
their results.
For each user, VEGA offers
comparison capabilities:
Year on year

Security
VEGA is a secure tool that will be installed on
a central server. As such, it provides:
Storage of results over several years
A clear audit trail of production calculations
(data feed, data modification and validation)
Authorisation management at the highest
level (supply of data, access to results, etc.)

Central value versus sensitivities

Calculation with Standard Formula
parameters versus calculation with entityspecific parameters
The Excel add-in offers a range of tools to help
provide an understanding of the production of
the Standard Formula.
QRTs
VEGA allows for the production and
centralisation of all new EU regulatory returns.
7

About Milliman
Milliman is among the worlds
largest providers of actuarial and
related products and services.
The firm has consulting practices
in life insurance and financial
services, property & casualty
insurance, healthcare and
employee benefits. Founded in
1947, Milliman is an independent
firm with offices in major cities
around the globe.
MILLIMAN IN EUROPE
Milliman maintains a strong and
growing presence in Europe
with more than 250 professional
consultants serving clients from
offices in Amsterdam, Brussels,
Bucharest, Dublin, Dusseldorf,
London, Madrid, Milan, Munich,
Paris, Stockholm, Warsaw,
and Zurich.
milliman.com

For more information on VEGA,

please contact your local
Milliman consultant.