Economic scenario generators: a risk management tool for insurance
type: Item
instance of: scholarly article
title: Economic scenario generators: a risk management tool for insurance
author: Pierre-Edouard Arrouy
author: Alexandre Boumezoued
author: Bernard Lapeyre
author: Sophian Mehalla
published in: MathematicS In Action
publication date: 2022-11-08T00:00:00Z
review text: 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.
reviewed by: Jonas Šiaulys
Mathematics Subject Classification ID: 91G05
zbMATH DE Number: 7613644
zbMATH Keywords: insurance
zbMATH Keywords: solvability II
zbMATH Keywords: risk management
zbMATH Keywords: economic scenarios generators
zbMATH Keywords: LIBOR market model
MaRDI profile type: Publication
full work available at URL: msia.16
OpenAlex ID: W4281391921
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DOI: 10.5802/MSIA.16
description: scientific article; zbMATH DE number 7613644