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.

USAGE

Gain full control of the generation of risk neutral economic scenarios

LMM SV DD

Libor Market Model with Stochastic Volatility and Displaced Diffusion

The rich and widely used model for generating risk neutral interest rates Libor Market Model with Stochastic Volatility and Displaced Diffusion is used within MavenBlue’s Economic Scenario Generator to generate the risk neutral interest rate scenario’s.

Time varying deterministic model for fund prices

Fund prices are modeled with a time varying deterministic model

Multiple economies and funds can be defined and modeled within MavenBlue’s Economic Scenario Generator. The fund prices are modeled with a time varying deterministic model.

Calibrate on own data

Calibrate the models on your own data

Due to the enormous computing power of MavenBlue’s Parallel Computation Platform, the calibration of the LMM SV DD interest rate model and the fund models is just a matter of minutes.

Test your calibration

Extensive possibilities to test the calibrations

A wide range of tests is readily available, from martingale tests to price and volatility tests. Graphical presentation of the test outcomes gives you deep insights into the quality of calibration.

Based on the test outcomes, it is possible to select a seed to drive the simulation.

Simulate the economies

Simulate the interest rate curves and fund developments based on your calibration

Generate the future interest rate scenarios and fund developments based on your calibration. Up till 120 future years of simulations are possible.

Export results

Export the simulation results to external systems

Use the simulation results in external systems and processes, for example the valuation of your insurance liabilities.

Features

A powerful and comprehensive tool accelerating key processes

Cailbration

  • Calibration based on historic zero swap curves and fund returns
  • Possibility to define correlations
  • Apply weights to different funds in calibration
  • Define base economy and multiple alternative economies

Test the calibration

  • Modeled versus realized
  • Martingale tests
  • Absolute and relative price tests
  • Absolute and relative volatility tests
  • Graphical user interface showing test outcomes to the user

Simulation

  • Run simulation based on calibration
  • Define scenarios for simulation
  • Export interest rate scenarios to external systems

High-speed calculations

  • Parallel processing using special purpose hardware (GPU’s)
  • User-defined number of projections (500-50.000 or more)
  • Less than 1 minute computing time

Modern infrastructure and technology

  • Web-based
  • Multi-device
  • Cloud, private cloud or on-premise configuration
  • Interfaces for importing and exporting data

Audit trail and data security

  • Audit trail in key processes
  • Secured database and dataflows
  • Compliance with IT requirements

SERVICES

MavenBlue provides a range of services to meet individual client requirements

License

The annual full-license fee gives access to all the ESG Tool features and all software updates for a one year period. Choose a cloud, a private cloud or an on-premise implementation. License fees vary based on your implementation choice.

Extra Services

Tailor-made functionalities

Add tailor-made functionalities to adapt the ESG Tool to your own risk management framework. Your custom requests are implemented with the same quality and care as the standard functionality, and are fully documented and system tested before delivery to your acceptance test environment.

Interfacing

The ESG Tool can interface with your current systems in different degrees of robustness. You can connect to the standard interfaces provided by the ESG Tool or we can develop a specific interface for your databases or systems.

Training

Training sessions will be organised using practical examples related to your business. MavenBlue will ensure that you will be able to use all of ESG Tool’s functionalities and its many applications most effectively. Within the ESG Tool, online explanation and instruction is at your disposal.

CLIENTS

Clients speed-up their reporting processes and save money with MavenBlue’s ESG Tool

Clients use the ESG Tool to generate risk neutral interest rate scenarios for valuating optionalities in their portfolio. With MavenBlue’s ESG Tool clients get full control over the process and speed-up important reporting processes like IFRS17 reporting.

 

Adopting this cloud-based software, ensures consistency and promotes cooperation across the entire organisation. Thanks to the user-friendly interface and time-saving calculation speed, clients get a better grasp on the risk neutral interest rate scenarios used throughout the organisation.

Try MavenBlue Economic Scenario Generator