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Les G\'en\'erateurs de Sc\'enarios \'Economiques: quelle utilisation en assurance?

Alaeddine Faleh (), Fr\'ed\'eric Planchet and Didier Rulli\`ere
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Fr\'ed\'eric Planchet: SAF
Didier Rulli\`ere: SAF

Authors registered in the RePEc Author Service: Didier Rulliere ()

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Abstract: 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.

Date: 2009-11
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Handle: RePEc:arx:papers:0911.3472