Presented at the SOA Life & Annuity Symposium | May 2019

This presentation entitled “Latest Thoughts on Use of Economic Scenario Generators” was given by Daniel Schobel of Numerix at the SOA Life & Annuity Symposium in Tampa on May 21st.

The presentation addressed:

  • Structure of the AAA generator and potential shortcomings
  • U.S. Statutory review of VM-20 and VM-21 with regard to the AAA generator
  • Treatment of derivatives within VM-20 and VM-21

 

Numerix Presenter Bio:

Daniel SchobelDaniel Schobel, Vice President & Actuary, Insurance Product Manager, Numerix
Mr. Schobel joined Numerix at the beginning of 2014 and has been instrumental in helping win and deliver several Insurance projects covering both VA/FIA and ESG solutions. He has been critical to the expansion of the insurance client base from North America to Asia (Korea/Japan) as well as Europe (Spain/Italy).

Prior to joining Numerix, Daniel was at New York Life where he worked for 5 years in valuation, annuity pricing and ESG. He was responsible for the calibration and generation of market consistent and real world scenarios for a variety of purposes, including, but not limited to economic capital, stochastic product pricing, VA guarantee valuation, and surplus-at-risk.

 

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