Description: This publication is intended to serve as an in-depth primer on economic scenario generators. The first half of the publication provides more general information on the nature of economic scenario generators—what they are, how they evolved, how they address regulatory and business needs in the insurance and pension industries. It also addresses essential features of a good economic scenario generator, and provides some detailed guidance on important aspects of financial market model specification, model calibration and model validation considerations to assure that the ESG will produce simulation results that are relevant, sufficiently robust, and realistically reflect market dynamics. The second half of the publication provides technical discussion of some of the essential financial markets aspects of a comprehensive ESG. Description of arbitrage-free considerations, the role of risk-neutral scenarios, and default-free interest rate models are explored with some of the underlying mathematics necessary to understand these considerations. Final chapters provide some important considerations relating to corporate bond models and equity index models, and how these considerations may extend to international and global interactions.

Description: 1998 Valuation Actuary Symposium. The panelists discussed applying economic scenario generators in the life insurance business, a particular generator that has been developed at SS&C Technology Company, a way of reducing the number of scenarios to get the maximum amount of information, and what to look for in a software vendor.

Description: This session at the SOA 2003 Washington, DC Spring Meeting focuses on the issues involved in building a scenario generator. It covers the data set used to develop and calibrate the generator as well as a discussion of different approaches and their features. Implementation is addressed along with potential pitfalls.