Description: Economic Scenario Generator - Investment Section Web Series Session #2 - Real World This session will cover the following points: 1. NAIC ESG 2. Strategic Asset Allocation and Optimization Techniques 3. Covid-19 Postmortem: Modeling and calibration changes because of recent events

Description: Economic Scenario Generator - Investment Section Web Series - Risk Neutral

Description: Several modern retirement arrangements, including lifetime pension pools, allow retirees to convert a single premium into income for life that varies with investment and mortality experience. It is anticipated that there will be an increase in the number of lifetime pension pools in the future. There are, nonetheless, some challenges that might slow down the potential increase in the number of lifetime pension pools. This session will present the results of recent research reports jointly sponsored by the Society of Actuaries and the Canadian Institute of Actuaries, addressing two challenges: 1. the lack of efficient and reliable ways to communicate risk to members2. the optimality of lifetime pension pool design elements. Attendees will further their understanding of these topics and how they may be applied in the future.

Description: How might retirement income strategies be designed, and their suitability assessed, when retirees may differ substantially in their objectives, preferences and personal circumstances? This webcast provides a wide-ranging overview of the key elements involved in formulating retirement strategies, drawing on the “Primer on Retirement Income Strategy Design and Evaluation” that was recently released by the SOA. It will cover three types of income objective – income floor, income target and income optimization – and how they imply different retirement strategies along with a different set of metrics to evaluate outcomes. It will also touch on: key member attributes to account for; the nature of income risk; approaches to investing and drawing down on available assets to generate income; and how stochastic modelling can support the analysis. This webcast should deliver something of interest for all attendees, regardless of prior familiarity with strategies for retirement.

Description: How might retirement income strategies be designed and their suitability assessed when retirees may differ substantially in their objectives, preferences and personal circumstances? Gain a wide-ranging overview of the key elements involved in formulating retirement strategies, drawing on the report, Primer on Retirement Income Strategy Design and Evaluation, which was recently released by the Society of Actuaries (SOA) Research Institute's Aging and Retirement Strategic Research Program. Hear about three types of income objectives-income floor, income target and income optimization-and how they imply different retirement strategies along with a different set of metrics to evaluate outcomes. We will also touch on key member attributes to account for: The nature of income risk, approaches to investing and drawing down on available assets to generate income, and how stochastic modeling can support the analysis. You will find something of interest in this session, regardless of prior familiarity with strategies for retirement.

Description: Emerging Applications of ESG Methods offers ground-up insights on cutting edge applications of economic scenario generation. The course will focus on the incorporation of climate change risk in scenario modeling and investment applications of ESGs. The following topics will be covered: Approaches to climate risk modeling. Climate risk is very different than classical financial economic risk. Radical uncertainty is amenable to scenario analysis and lack of data. Building special deterministic scenarios that go beyond NGFS requirements as well as bespoke scenarios. Holistic Approach to Climate Risk Modeling. Overview of different Climate Risk Modeling Applications. Use of ESG scenarios for Strategic Asset Allocation (SAA). Liquidity risk management.

Description: Modeling Approaches and Challenges focuses on approaches to real world simulation and the challenges and considerations in real world simulation. Topics include: A frequency domain approach to build realistic multi-horizon scenarios. (Ortec approach) Cascade models structure linking models for major asset classes and economic variables. (Moody’s approach) Overview of models, calibrations & approaches within the context of different use cases. Deterministic & stochastic approaches. Importance of model re-calibration flexibility. We will also discuss specific insights into considerations and challenges in real world simulation, which include topics like: Setting capital market assumptions and/or calibration targets. Assumptions about correlation and causality. Calibrating the model to capital markets assumptions. Validating the model against capital market assumptions. Role of history, market data and stylized facts. Importance of back testing. Calibrating the model to multiple investment horizons. Inclusion of alterative asset classes such as private equity, infrastructure, and direct real estate. Associated issues of limited data, illiquidity and greater uncertainty about calibration targets.