Price Simulator for a re-insurance company

  • Situation

    A Swiss re-insurance company has several models used in an asset-liability management framework. They calibrate the parameters of a mean-reverting jump diffusion model using historical data.

  • Complication
    Historical data for certain types of underlying risks are scarce and contain noise. Therefore, usual calibration techniques such as the Kalman filter or robust estimation needed to be complemented with visualization of the calibrated distribution.
  • Solution
    We built an intranet application allowing different departments within the company to input model data so as to visualize the simulated paths and the resulting distributions under both real-world and risk neutral probabilities. This enabled a quick and reliable way to confirm that the calibrated parameters made sense.

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