Generali has licensed Conning's GEMS economic scenario generator (ESG) for optimisation of its strategic asset allocation by its investment team. The software will be used to produce real world economic scenarios.
GEMS simulates future states of the global economy and financial markets, using economic models and providing full market-risk and asset-class coverage.
Conning, headquartered in Hartford, Connecticut, noted that, in addition to strategic asset allocation solutions, the GEMS ESG is also used by insurers for Solvency II economic capital modelling.
"We chose Conning because we required sophisticated economic models with the granularity to support investment decision-making and the flexibility to calibrate to our in-house views," said Francesco Martorana, head of group ALM & SAA at Generali, whose premium income in 2014 exceeded €70bn ($98bn).
"Another important factor in this decision was Conning's experience and service that they have delivered to Generali's German subsidiary which has used GEMS software for several years within its strategic asset allocation process," commented Hamish Bailey, head of European business development for Conning's risk & capital management solutions business.
Last year, Generali took Moody's Analytics' B&H Proxy Generator to help it prepare for Solvency II capital calculations (see IAR, 6 May 2014).
