Improving the risk return trade-off of your investments

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Improving the risk return trade-off of your investments

Fundamental changes in the economic environment have led to a shift in focus of strategic investment policy and risk management. Instead of strictly long-term thinking the emphasis these days is more on a combination of long and short-term perspectives.

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Investment Consulting

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Investment Consulting

Asset management is one of the most important focus areas for insurers and pension funds. It involves important decisions such as the strategic asset allocation (SAA) and interest rate hedging, but also implementation aspects such as benchmark selection and construction of mandates. With an independent advice from Ortec Finance on these and other topics you can hire sophisticated external expertise and ensure that there is consistency between strategy and implementation.

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Economic Outlook Q4 2016

Economic Outlook Q4 2016

Our economic outlook gives a brief description of the market developments, followed by what to expect from future developments based on the Ortec Finance Scenario-set (OFS).

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Economic outlooks for 2017

Economic outlooks for 2017 and the role scenario analysis can play

In Q4 many asset managers traditionally give their economic outlook for the next couple of years. An outlook of expected returns on financial markets is notoriously difficult to make/get right, and relates to questions about the efficiency of financial markets. Let’s first start with some examples of views provided in the past months.

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The challenges of duty of care

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Solvency II standard formula review
Consultation by EIOPA

The European Insurance and Occupational Pensions Authority (EIOPA) put out a consultation paper on 8 december 2016 asking the insurance sector to respond to (or point out deficiencies in) certain elements of the Solvency II framework which are put up for review in 2018. With this paper EIOPA more or less officially ‘kicks off’ the first review phase of the regulatory framework.

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The challenges of duty of care

Article
After the dust has settled…

At the end of September the European Insurance and Occupational Pensions Authority (EIOPA) updated the reference portfolios underlying the calculation of the Volatility Adjustment (VA). The VA is an (optional) adjustment to the risk-free interest rate that insurers use to value their liabilities under the Solvency II framework. Insurers with long-term liabilities can protect themselves from more short-term fluctuations in the financial markets by applying the VA. This, in turn, could have a positive effect on their Solvency II ratios.

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The challenges of duty of care

Article
Risk management in light of exceptional events

Do ‘exceptional’ events like the electoral victory of Trump or the Brexit a few months earlier form the main risks for an investor, whether it be an institutional or individual one? Coming back to Vincent Icke’s speech once more, one could argue that there are potentially numerous events like these. One example he talked about concerned the collision of a meteorite with our planet.

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The challenges of duty of care

Article
The challenges of duty of care

Duty of care ranks very high on the agenda for most financial institutions at the moment. This duty of care is both important when closing on financial products and for the entire duration of those products.

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Solvencyii

Article
EIOPA delays Solvency II UFR decision

What we have been expecting for several months, has finally been officially confirmed: the European Insurance and Occupational Pensions Authority (EIOPA) will postpone the decision for adjusting the UFR (within Solvency II) until early next year.

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Robo Advice

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The use of financial models and challenges of robo advice

In a previous post we discussed how robo advice can help with financial decision making. Making the right investment decisions is complicated. Ortec Finance enables people to manage this complexity. We do so by providing them with the appropriate tools and advice, so they better understand the impact of their decisions and adjust them or their goals when needed. Robo advice is such a tool.

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Managing liquidity risk under EMIR

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Managing liquidity risk under EMIR

The European Market Infrastructure Regulation (EMIR) aims to reform the derivatives market for the main purpose of reducing systemic risks as seen in the recent crisis. It entails a large number of rules which can have significant impact on insurers. The rules intend to decrease counterparty risk in order to increase the stability of the financial system.

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Singularity and Life

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Singularity and Life

Reflections on singularity and increased life expectancy

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EIOPA stress test 2016

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Calculating the volatility adjustment (VA) and its impact

On July 1st EIOPA published an update of the representative portfolios that are used in calculating the volatility adjustment (VA) on the risk-free interest rate structure for Solvency II. EIOPA will update these portfolios annually.

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EIOPA stress test 2016

Article
EIOPA stress test 2016

The 2016 EIOPA stress test focuses on the vulnerability of insurers to the present and persistent low interest rate environment. By calculating the impact of two heavy shock scenarios, EIOPA hopes to see how the European insurance sector fares when subjected to extreme market conditions. While only large life insurers are required to participate, this could be a very useful exercise for smaller insurers as well.

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aluing embedded options and guarantees

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Valuing embedded options and guarantees in life insurance products

Valuing embedded options and guarantees in life insurance products can be complex and time-consuming. Time insurers often do not have. Ideally, one keeps the number of scenarios needed for a correct valuation as low as possible, while still guaranteeing the quality of the set. Ortec Finance developed a special technique to do just that, by fulfilling the martingale property in any risk-neutral scenario set.

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Risk Neutral

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Keeping the number of risk neutral scenarios as low as possible

without impeding on the quality of the valuation.

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Realistic Scenarios

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Realistic scenarios during exceptional economic conditions

Many investors across the globe wonder what the impact of the current and exceptional economic conditions is on the financial markets. Loranne van Lieshout looks past the short-term volatilities and analyzes this question from the perspective of long-term trends to assess the consequences for insurers and for the ALM modelling of scenarios.

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Uncertainty ahead

Article
Uncertainty ahead

Incorporating market movements in the UFR

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Testimonial Yarden

Testimonial
Yarden

Interview with Kenan Tastan, Actuary and Financial Risk Manager at Yarden

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*BREAKING NEWS*
UFR

The Ultimate Forward Rate (UFR) remains a matter of constant concern. The UFR is used in the valuation of pension and insurance liabilities. In the Netherlands a different UFR is used for pension funds than for insurers.

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Taking scenario analysis to the next level

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Taking scenario analysis to the next level

Improving our standard economic scenario set.

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Financial Market Turmoil

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Financial market turmoil

How can insurers stay ahead of the curve?

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In control of your risk management process

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In control of your risk management process
The ALM model of Ortec Finance offers a solution.

Insurance companies increasingly like to perform risk management in-house. They want to be in control themselves, driven of course partly by the requirements of the supervisor and the fact that Solvency II took effect on 1 January 2016.

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Solvency II

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Solvency II

Now it has started, what is next?

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OIM Leaflet

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Consistent embedded option valuation for ORSA and ALM applications

Valuing life insurance products with the Option Interpolation Model (OIM)

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