Ortec Finance partnered with M&G Investments to pilot its new Scenario-Based Machine Learning (SBML) approach—designed to optimize complex, constraint-driven portfolios within a stochastic modeling framework using the GLASS platform.
Traditional methods struggle with non-linear regulatory constraints, often delivering sub-optimal results. SBML overcomes this by integrating these constraints directly into the optimization process. In this case, it optimized Mean Surplus vs. CVaR 5% Surplus, while constraining Market Risk SCR Charge—uncovering more efficient portfolios than both the current strategy and traditional models.
Key outcomes:
- Higher returns achieved at similar or slightly higher SCR levels
- Non-linear constraints successfully included in optimization
- Fast run time—typically overnight
- Targeted search avoids infeasible solutions
SBML will be available as an additional GLASS module in late 2025, offering insurers and asset managers a flexible, powerful tool for strategic asset allocation.
If you are interested in reading the case study in full, you can download it here.
Related Insights
-
10 June 2025Optimizing Insurance Portfolios with SBML: Ortec Finance & M&G InvestmentsOptimizing Insurance Portfolios with SBML: Ortec Finance & M&G Investments
-
06 June 2025Ortec Finance ranked in RiskTech top 50 AI by Chartis ResearchChartis Research names Ortec Finance in RiskTech AI 50 2025 for excellence in machine learning and GenAI in finance. Read the full report.
-
05 June 2025PRESS RELEASE: Insurers ‘planning to increase investment risk profiles’Press release: Global study finds long-term liquidity is top concern for insurers as risk profiles are set to rise. Explore what’s driving the shift.
-
28 May 2025Using traditional attribution methods to analyze ESG performanceLearn about a new ESG attribution model designed to help financial institutions integrate ESG impacts into their investment decision-making
-
28 May 2025Stress Testing your Balance Sheet in the Global Trade War EraIn an era of rising geopolitical tension and unpredictable market movements, traditional risk management may no longer be enough.
-
28 May 2025Webinar recording: Incorporating NGFS short-term climate scenarios into investment risk managementWatch our webinar to learn about the NGFS’ inaugural release of short-term climate scenarios from an institutional investor’s perspective.
-
27 May 2025Developing an effective currency attribution frameworkExplore the steps required to develop a framework that allows asset owners to evaluate how currency overlay decisions contribute to their fund’s total return.
-
22 May 2025Total Portfolio Approach for Pension FundsThis report applies a Total Portfolio Approach (TPA) by using a factor lens analysis to assess risk and return exposures among pension funds within and across five of the largest pension systems worldwide: Canada, The Netherlands, Switzerland, the U.K., and the U.S.
-
20 May 2025Webinar recording: 2025 Ortec Finance Climate ScenariosWatch our webinar to understand how the 2025 Ortec Finance Climate Scenarios realistically assesses physical, transition and market-pricing climate risks