Les G\'en\'erateurs de Sc\'enarios \'Economiques: quelle utilisation en assurance?
Alaeddine Faleh (),
Fr\'ed\'eric Planchet and
Additional contact information
Fr\'ed\'eric Planchet: SAF
Didier Rulli\`ere: SAF
Authors registered in the RePEc Author Service: Didier Rulliere ()
Papers from arXiv.org
In this paper, we present the principal components of an economic scenario generator (ESG), both for the theoretical design and for practical implementation. The choice of these components should be linked to the ultimate vocation of the economic scenario generator, which can be either a tool for pricing financial products or a tool for projection and risk management. We then develop a study on some performance measure indicators of the ESG as an input for the decision-making process, namely the indicators of stability and bias absence. Finally, a numerical application illustrates the main ideas of the paper.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/0911.3472 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0911.3472
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().