Using ALM and scenario analysis to formulate a solid risk management policy



Successful insurers anticipate and respond quickly to the latest developments in the field of risk management, reporting and regulation. Recent examples of such developments are Solvency II, the market valuation of liabilities, International Financial Reporting Standards (IFRS) and Market-Consistent Embedded Value (MCEV). Increasing competition between insurers combined with the persistent economic turmoil further necessitate an integral and solid policy.

Aided by our advanced systems for asset liability management (ALM), insurers are able to meet these challenges head on and translate them into policy that is more in line with the prevailing economic landscape. At the heart of ALM lies the concept of scenario analysis for modelling all relevant risk drivers. Our Dynamic Scenario Generator (DSG) models consistent market behavior (business cycles) in asset prices, yield curves and volatilities across different regions and currencies. Insurers appreciate our ability to model (among others) detailed tail risk and to incorporate embedded option valuation in a scenario simulation context.

A wide range of insurers already use the expertise of Ortec Finance and its professional ALM systems. Our customer base is growing steadily and includes a variety of national and international life, non-life and health insurers. We support them with our systems and software, but also provide advice on complex valuation and policy issues. Furthermore our performance evaluation system helps clients in measuring, reporting and evaluating investment results, and we pay special attention to clear and open communication.

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