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Announcing ...

tycheTM now in Beta.

tycheTM is a "new generation" actuarial platform offering state-of-the-art analytic capability, ground breaking performance and "ease of use" for both actuaries and hard core quants alike.

Model in the languages you know, VB, C#, C++ with the added benefit of "flow chart" style coding - "flowgramming TM".

Our first production release is scheduled for 1st September 2014 and we are looking for Beta testers and early adopters now...

Find out more about tycheTM...

Leave the Tough Stuff to Us!

Whether you need actuarial support to bolster in-house quant resource, or whether you'd like to outsource a business solution, our team is ready to help. Marriott Sinclair was formed to design, implement, deliver and support leading-edge actuarial and financial modelling solutions either on-site or remotely utilising our own ultra-fast engine, tycheTM.

Our actuarial expertise spans several areas including Economic Scenario Generation, Asset Modelling & Portfolio Construction, Asset Liability Management, Capital & Risk Analysis and Reinsurance Program Analytics. On the banking side, our expertise spans pricing, risk management and uses of numeric optimisation. A recent client project supported the numerical optimisation component of a mission-critical Collateral Management system.

Project & Team Management skills ensure projects are clearly articulated, communicated efficiently, completed on time, to budget and are delivered to the highest quality.

Article: The Art of VaR Optimisation

In his recent article, Mark discusses the difficulties of using numerical techniques to optimise business strategy where the objective is to minimise risk (or more specifically, Value at Risk, aka "VaR"). It is well known that VaR is unstable - one need only look at the VaR plot below right to see that even a simple two asset problem exhibits local instabilities that make numeric optimisation difficult.

However, all is not lost. Mark goes on to describe how a TVaR objective provides a far more stable surface - one that can be numerically optimised and importantly, one that displays relatively stable gradients that reduce the likelihood of getting locked into local minima.

However, a TVaR objective introduces challenges of its own - it effectively averages out the risks below the threshold chosen and a single point VaR measure, if stable, is often preferable.

Mark suggests that we should instead consider a multi step approach. He advocates that a TVaR optimisation (either linear or non-linear) can first be used to determine a starting point for a second step VaR optimisation.

As a further refinement, Mark then explores the suitability of splitting this second step again. Firstly, in Step 2a, perform a non-linear VaR optimisation to determine a further refinement to the starting point, then pass this starting point to Step 2b, where a further linear VaR optimisation hones in on the final answer.

Though seemingly redundant, multiple optimisation steps progressively improve the stability of the resulting optimum and helps avoid local minima issues seen when using a single step VaR approach.

Introducing Marriott Sinclair

Marriott Sinclair LLP is a UK-based partnership providing software and consultancy services to the financial markets. Our team is made up of highly experienced leaders in their fields, whether actuaries or quants, spanning several financial sectors. We are unashamedly technical.

Tyche

tycheTM is a "next-generation" actuarial modelling platform offering state-of-the-art analytic capability, ground-breaking speed, "ease-of-use”, flexibility and robustness.

Consulting services

Our consultancy team specialises in non-life insurance and can undertake the full range of actuarial services including reserving, pricing, capital modelling, expert witness, reinsurance design and optimisation, investment optimisation and Solvency II support.

Bespoke Engineering

Our engineering team can provide a business solution from concept to delivery. We actively support knowledge transfer to ensure solutions migrate back "in-house".

Strategy Optimization

tycheTM has been designed to solve a wide range of financial optimisation problems accurately and efficiently.

Such problems might include reinsurance optimisation, determination of an optimal asset portfolio, or minimising capital requirements for insurers and banks. Stochastic optimisation is non-trivial and often tailored to the objectives of the client - practitioner experience is key.

Economic and Capital Modelling

tycheTM has been designed to empower actuaries struggling with large-scale, unwieldy models, including capital models.

We’re also developing a new economic scenario generator that will simplify user control of the scenario output – and particularly supports nested scenarios.

 

  • Mark helped us solve a specific optimisation problem and produce the market leading solution. He was able to apply deep subject matter expertise of optimisation techniques to a complex financial problem and crafted an efficient and effective solution. He quickly understood the domain and implemented the technical aspects of the solution ...

    Ted Allen
    Vice President, Capital Markets - Collateral
    Sungard