Economic scenario generators: a risk management tool for insurance
Authors of the paper present a risk management tool used by insurance companies for simulating the global state of one or several economies described by key financial risk drivers. This tool \textit{Economic Scenario Generator} is of particular use within the \textit{Solvency II} framework, since insurance companies are required to value their balance from a market-consistent viewpoint. Authors of the paper provide the principal requirements of \textit{Solvency II} and describe practical implications of these requirements for insurance business. They describe the different cases of \textit{Economic Scenario Generators}. A particular attention is paid to \textit{risk-neutral} interest rates model namely to the \textit{LIBOR market} model with a stochastic volatility. The complexity of the models calibration is also discussed and described.
scientific article; zbMATH DE number 7613644
scientific article