Appropriate assets valuation and projection is the same important as liability side to have correct and reasonable reasults. We have developer several specialized tools to support our clients with assets analyses. Below are three examples of the most common services.
Yield curve construction
Many actuarial and financial modelling applications require derivation of proper yield curves for discounting or projecting future investment income. This yield curve may be different per purpose of the application.
We can support our clients in this area by providing advanced methodologies for construction of yield curves. To do this, we have developed a flexible yield curve fitting tool, which includes a number of interpolation and extrapolation techniques for construction of yield curves from market data.
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Economic Scenario Generators
For many types of insurance business Economic Scenario Generators (ESGs) are the only practical way to determine the market consistent value of liabilities. This is a complex and still evolving subject. Consequently, many ESG applications available on the market are costly and are sometimes presented to clients as a black box.
We offer a more transparent alternative to this. Our own developed ESG tool includes simulation and calibration of key economic variables, and can be implemented in close cooperation with our client. We also offer to our clients testing and validation of their own scenarios.
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Asset modelling
With the development in the regulatory rules and market conditions and it becomes increasingly important for insurance companies to have proper tools for modelling expected cash flows from their assets.
Using our asset modelling tools, we can support our clients in a number of tasks requiring modelling cash flows from different asset classes. This typically involves projections of market and book values, durations and scenario testing so that the results can be used for SII and generic risk management purposes.
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