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.
The Sponsors would like to thank the following individuals for serving on the Project Oversight Group.
Hal Pedersen (Chair)
Jan Schuh, SOA Senior Research Administrator
Ronora Stryker, SOA Senior Practice Research Actuary
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