We use Terminal Emulator to connect to Mainframe region and Remote Desktop Connection to connect to remote Windows machine.
A terminal emulator may be used to connect to a mainframe. One is often used to connect to unix systems as well. While the Windows support people often use remote desktop to connect to a user's machine, it is not usually the connection for developers and business users.
In Mainframe, we call one operating system one region.
No, this is not true. One operatng system is one operating system. Many mainframes run multiple (different) operating systems as well as multiple "copies" of the same operating system. A given executing copy of an operating system usualy has multiple regions executing at the same time. In fact i cannot remember the last time i supported a mainframe that only ran one region within a given copy of the operating system, except in very special test cases.
While it is often comfortable to relate some new concept to something with which we already familiar, i encourage you to treat the mainframe and a Win-based environment as "nothing in common". From my possibly overly simple perspective - both have a keyboard and a monitor, are connected to some network, and require some kind of id/password for initial signon (unless they are public systems that require no id). Beyond that there is very little in common with the 2 operating environments.
To return to your original post - you probably connect via VTAM to some CICS region to run your insurance transactions (application). If you want to know the specifics of how your terminal is connect to the applicaton, you need to talk with your system support or network people. The exact workings are site-dependent and your support are best qualified to explain.