The valuation of an insurance balance sheet is a complex exercise that requires the simulation of various stochastic variables, such as risk-neutral economic scenarios. In practice, given typical run-time constraints, the number of economic scenarios to be considered is limited. This paper focuses on exploring the reduction of the number of simulations to achieve a reasonable objective in terms of valuation accuracy while significantly decreasing the computational time required for standard valuations. The main sections of the paper discuss:

• Analysis of the Prudent Harmonized Reduced Set of Scenarios
• Implementation of scenario reduction techniques
• Adaptive numbers of scenarios