1
-
5
of
5
results (0.77 seconds)
Sort By:
-
Economic Scenario Generators, Part III: In-depth ESG Case Study—Academy Interest Rate Generator
simplicity of the AIRG may be suitable for its valuation-focused use cases, its capabilities may be limiting ... not appropriate for use in market-consistent valuation. Process and Parameterization The AIRG models ...- Authors: Rahat Jain , Dean Kerr, Matthew Zhang
- Date: Jul 2021
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: The Modeling Platform
- Topics: Life Insurance; Modeling & Statistical Methods
-
Economic Scenario Generators, Part I: Motivation for Stochastic Modeling
“tail risks” 1 Enabling market- consistent valuation 2 Satisfying internal and external stakeholder ... different reactions. 2. Enabling Market-Consistent Valuation Certain financial reporting frameworks require ...- Authors: Dean Kerr, Matthew Zhang, Rahat Jain
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: The Modeling Platform
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
-
Economic Scenario Generators, Part II: Understanding Economic Scenario Generators
used to generate. ESGs can model a specific individual risk factor or perform holistic simulations ... projection of assets and liabilities Market-consistent valuation (i.e., what a liquid market would pay for these ...- Authors: Matthew Zhang
- Date: Aug 2020
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: The Modeling Platform
- Topics: Economics
-
Session 174: R 101: Available Actuarial Packages & Creating Reproducible Actuarial Analyses
org/resources/research-reports/2019/2009-2015-individual-life-mortality/ For speed, we will use a subset ... 101 #Quantify non-level or unknown term products table(dat$SOAGuaranteedLevelTermPeriod) • #Remove non-level ...- Authors: Nicholas Hanewinckel, Matthew Zhang, Hadrien Dykiel, Ron Curran
- Date: Mar 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Experience Studies & Data; Experience Studies & Data>Mortality; Modeling & Statistical Methods
-
Session 61: Latest Thoughts on Use of Economic Scenario Generators
policies) • Only credited for hedges held as of the valuation date • CTE Amount – Based on a set of scenarios ... Derivative Challenges – Requires risk-neutral valuation techniques to compute values of derivatives ...- Authors: Hal Warren Pedersen, Matthew Zhang, Daniel Schobel
- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities