Authored by Conning, a global investment management firm with financial risk modeling software capabilities, the paper serves as a practical guide in understanding future paths of economies and financial markets, and risk elements driving financial variability.
The paper provides both an overview of working with economic scenario generators, as well as specific applications with insurance, pensions and retirement. For example, the paper identifies the use of economic scenario generators with economic capital modeling, stress testing, and liability valuation. The paper is designed as a guide for several different audiences, from business practitioners and senior financial leaders to students looking for a manual on this topic.
“This practical guide provides important perspectives for actuaries and other business professionals in working with economic scenario testing,” said R. Dale Hall, FSA, CERA, MAAA, SOA Managing Director of Research. “With the evolving changes on a global scale and the need for realistic models for risk management, it is necessary to have a comprehensive understanding of economic scenarios and the opportunities in working with capital markets.”
“We were pleased to be selected by the Society of Actuaries to author this important guide on economic scenario generators to support the risk management needs of insurance companies, pension plans and other institutional investors,” said Hal Pedersen, ASA, Ph.D., a Director of Risk Solutions for Conning and one of the paper’s lead authors. “Practitioners’ use of robust sets of economic scenarios can provide critical insight into all the integrated moving parts of both the macro-economy and the global capital markets in which companies operate. This is particularly important when dealing with persistent low or negative interest rate environments and when managing asset and liability risks over long time horizons.”
The paper provides a comprehensive summary on economic scenario generators, including:
- Overview of economic scenario generators and the need for these in the market
- Role of economic scenario generators in supporting rating agency and regulatory requirements
- Business applications of economic scenario generators in the insurance and pension industries
- Model specifications, parameters and testing
Visit the SOA research page to access the full paper.
About the SOA
With roots dating back to 1889, the Society of Actuaries (SOA) is the world’s largest actuarial professional organization with more than 26,000 actuaries as members. Through research and education, the SOA’s mission is to advance actuarial knowledge and to enhance the ability of actuaries to provide expert advice and relevant solutions for financial, business and societal challenges. The SOA’s vision is for actuaries to be the leading professionals in the measurement and management of risk. www.SOA.org
Founded in 1912, Conning has offices in Boston, Cologne, Hartford, Hong Kong, London, New York, and Tokyo. With a long history of serving the insurance industry, Conning supports institutional investors, including pension plans, with investment solutions and asset management offerings, risk modelling software, and industry research. Conning’s software offers sophisticated economic scenario generator and risk modelling capabilities that provide insights for decision making, regulatory and rating agency compliance, strategic asset allocation and capital management.
Conning, Inc., Goodwin Capital Advisers, Inc., Conning Investment Products, Inc., a FINRA-registered broker dealer, Conning Asset Management Limited, and Conning Asia Pacific Limited are all direct or indirect subsidiaries of Conning Holdings Limited (collectively, “Conning”) which is one of the family of companies owned by Cathay Financial Holding Co., Ltd., a Taiwan-based company.
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