Macroeconomics-Based Economic Scenario Generation

The Society of Actuaries Financial Reporting Section and the Joint Risk Management Research Committee are pleased to make available new research introducing actuaries and others to dynamic stochastic general equilibrium (DSGE) models, a type of macroeconomic model.  Authored by Kailan Shang, the paper illustrates how DSGE models can be used in economic scenario generation to reflect the cause and effect relationships that occur in the economic system.


Macroeconomics-Based Economic Scenario Generation

Thank You

The Sponsors would like to thank the following individuals for serving on the Project Oversight Group.

Erica Chan

Yvonne Chueh

Andrew Harris

Leonardi Mangini

Hal Pedersen (Chair)

Allen Wu

Victoria Zhang

Jan Schuh, SOA Senior Research Administrator

Ronora Stryker, SOA Senior Practice Research Actuary

Questions or Comments?

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