Creating proportionate Economic Scenario Generators

Creating proportionate Economic Scenario Generators

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Solvency II has strengthened the need for insurers of all sizes to determine market consistent valuations for guarantees given to policyholders. The standard approach to valuing policyholder guarantees involves the use of an economic scenario generator, i.e. a tool that can deliver a set of market consistent scenarios characterising how economic factors including asset returns might develop in the future. Smaller firms then face the challenge of how to access economic scenario generators that are proportionate to their needs, without incurring excessive costs. This presentation will discuss: - What elements of the valuation process typically cost the most- How to create economic scenario generators that avoid large run-times for smaller insurers- Scaling up such approaches to larger players - Other considerations relevant to the identification of proportionate approaches for quantifying costs of guarantees

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