Next generation analytics and technology offer the way forward for insurance professionals to meet the increased demands on the sector including the low-yield environment, competitive pressures on insurance rates and a developing regulatory landscape.
MavenBlue’s Economic Scenario Generator (ESG) Tool is designed by professionals for professionals. The ESG Tool enables generating many risk neutral interest rate scenarios for valuating insurance liabilities. Advanced parallel computing technology allows thousands of scenarios to be performed simultaneously.
In a matter of minutes, calibration of the sophisticated Libor Market Model with Stochastic Volatility and Displaced Diffusion and simulations are performed. Many different built-in tests are present to assess the quality of the calibration, from martingale tests to several price and volatility difference tests. The user of the ESG Tool is in full control of the whole process and no external parties are necessary for generating the economic scenarios.
The ESG Tool can be used as a standalone tool, in conjunction with MavenBlue’s Balance Sheet Management Tool or as an embedded part of the internal standard risk-processes and IT environment. The software is available as a cloud, private cloud or on-premise solution.