In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG). In addition to laying out the foundations of the Risk Neutral Measure and Fundamental Theorem, this paper also sets forth several practical case study examples that demonstrate the importance of risk neutral modeling and joint calibration in market consistent valuation, regulatory reporting, risk and capital forecasting—and the overall enhancement of a firm’s risk management.
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Latest Thoughts on Use of Economic Scenario Generators
Modeling Considerations for Embedded Guarantees
Risk-Neutral ESG
SOA Annual Meeting & Exhibit 2018
Risk-Neutral Economic Scenario Generation
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Economic Scenario Generation for the Practitioner
Numerix Oneview Insurance Named Actuarial Modelling Product of the Year in the Risk.net Market...
Risk.net Market Technology Awards 2018 | Actuarial Modelling Product of Year