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.


What clients said aboutour projects

  • Bron Sharman Senior Oil Trader
    “Unlike many advisers I’ve worked with, Trading Integral Solutions don’t have to pretend to be interested in their clients: they focus on what really matters and strive to add value in an optimal way.” Bron Sharman, Senior Oil Trader at SOCAR Trading
  • Olga Kutuzova IFRS Group Manager
    "Trading Integral Solutions applied high quality standards when they delivered their project to us. We benefited greatly from our interaction with their highly skilled team of experts!" Olga Kutuzova, IFRS Group Manager at Novatek Gas & Power
  • Jaroslaw Wajer Partner
    "I have cooperated with Trading Integral Solutions several times. They supported us during the design and implementation of trading departments and company strategies for our power utilities clients. I appreciate their trading expertise and profound knowledge of risk management. I would truly recommend cooperation with Trading Integral Solutions." Jaroslaw Wajer, Partner Performance Improvement at Ernst & Young

Demonstrative Online Interactive Apps

Explore the online suite of interactive applications. This is a demo reproduction of fully-fledged solutions designed and implemented in different client projects.

Interactive Apps

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