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SOA Investment Section
The presenters in the seminar will discuss important practical considerations in economic scenario generation. Core topics will be:
- Structure and application of models for interest rates, equity returns and inflation; and
- Setting of calibration targets and the validation of calibrated models.
Participants will share the perspectives of leading industry practitioners on what it takes to get an economic scenario generator ready for practical use.
At the conclusion of the seminar, attendees will be able to:
- Identify and explain some of the models for interest rates, equities and inflation that are used in practice;
- Understand how practitioners set calibration targets and validate economic models;
- Evaluate the implications of calibrating a view and its incorporation in economic scenario generation; and
- Explore and develop alternative calibration and modeling approaches for their economic scenario generation work.
This seminar is for actuarial and risk management professionals who apply economic scenario generation in their practice area. It is also for actuaries with some financial market knowledge who want to learn more about how economic scenario generators are applied in practice.
Level of Difficulty
The seminar is designed for participants with Intermediate–Advanced experience.