Description: Abstract: The paper applies a back‐testing validation methodology of economic scenario generating models and introduces a new D‐statistic to evaluate the robustness of the underlying model during a specified validation period. The statistic presented here can be used to identify the optimal model by repeating calibrations with changing initial parameters. It can compare between calibration methods, be used to rank between models, and provide a single concise reporting metric for ongoing model monitoring.

Description: The paper applies a back‐testing validation methodology of economic scenario generating models and introduces a new D‐statistic to evaluate the robustness of the underlying model during a specified validation period. The statistic presented here can be used to identify the optimal model by repeating calibrations with changing initial parameters. It can compare between calibration methods, be used to rank between models, and provide a single concise reporting metric for ongoing model monitoring.

Description: 2016 SOA Life & Annuity Symposium panel session that focuses on how actuaries get prepared and bridge the gap before moving into corporate executive roles.