Market valuation of embedded options in insurance liabilities is becoming more and more important in the insurance industry. This development is mainly due to new accounting standards (IFRS phase II) and new regulatory frameworks (Solvency II) which require a market-consistent valuation. Risk-neutral Monte Carlo simulation is a commonly-used technique for valuation, mainly because this technique is generally applicable and precise.

Risk-neutral Monte Carlo valuation involves the generation of risk-neutral scenarios of, for example, interest rates, inflations and asset prices. Using these scenarios the payoffs of embedded insurance options can be determined and a proper valuation becomes possible. The Ortec Finance risk-neutral economic scenario generator can be used successfully for this purpose. This scenario generator relies on advanced simulation and calibration tools which have been developed and applied in practice in the last decade.

Ortec Finance licences the risk-neutral scenario generator as a stand-alone Windows application or in combination with other Ortec Finance products. Ortec Finance can also (periodically) deliver scenario sets, including additional sets with adjusted interest rate curves, volatilities, etc. Bespoke scenario sets can also be delivered within a short time frame.