Applying a Mark-to-Market approach to evaluate the fair value of the insurer's commitment (best-estimate) for a saving French contract in â‚¬, implies having the prices of options and guarantees of insurance policies. Since this information is not observable on an organized and liquid market, the calculation is made in a Mark-to-Model framework. The calibration and validation of the economic scenario generator (ESG), used to evaluate the best-estimate, by comparing the simulations to the observed data as part of a statistical approach, cannot be considered. The ESG is then calibrated and validated with reference to the financial instruments (caps, floors, swaptions, etc.), derived from the modelled risk factors, without justifying a direct link or a bijection between these financial instruments and the liability options (see for example Laurent & al. , Planchet & al. , Armel & Planchet ).
The purpose of the paper is to examine how we can define the quality of an economic scenario generator to evaluate the best-estimate of French savings contracts in Euro.