Description: This is a brief on a publication intended to serve as an in-depth primer on economic scenario generators.

Description: Survey of appointed actuaries about asset adequacy testing techniques currently being used in 2012.

Description: This paper discusses interest rate generators which vary by intended purpose. The primary focus is on fairly elementary generators for studying C-3 risk, with major emphasis on parametric, mean reversionary generators.

Description: This paper identifies several implicit assumptions underlying the use of the lognormal distribution for modeling the periodic change in the interest rate of a given maturity, tests those assumptions against historical interest rates, and presents additional information from those tests. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper describes several methods of creating interest rate scenarios that the actuary can use for pricing analysis or asset-liability testing. Discussions of the paper are included.

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.