Transforming domain models to efficient C# for the Danish pension industry

Danish insurance and pension companies are required by financial regulations to report certain financial quantities to prove that they are solvent and managed responsibly. Parts of these quantities are computed the same way for all companies, whereas so-called management actions, describing, e.g., surplus sharing, vary between companies. Hence it is desirable to have a flexible calculation platform that allows actuaries to easily create company-specific models, which are also computationally efficient. In this paper, we present our work with implementing a code generator for a DSL called the Management Action Language (MAL) as a form of variability management. While one of the goals of MAL is to generate efficient code from an actuary's specification, it is non-trivial how to produce such code. We identify four reoccurring patterns in the models created by actuaries as subjects to optimisations. We describe our process for implementing a code-generator by a) identifying four specification patterns (inheritance, union types, type filtering, and numerical maps) that are pervasive in these calculations, and b) describing how to generate efficient C# from MAL for these patterns. We evaluate the code-generator by benchmarking it against handwritten production code and show an approximate 1.3× speedup in a production environment. This evaluation demonstrates that, with MAL, an individual pension company may reuse the general calculation platform and all of the optimisations built into MAL's code generator when modelling the company's business rules.