The Economic Scenario Generators are at the core of stochastic models used by insurance companies. The applications of stochastic models are very diverse and include such applications as economic capital under Solvency II, ALM projections, dynamic hedging etc. All these applications impose different requirements upon the generation and the validation of economic scenarios.

Organised by the EAA – European Actuarial Academy GmbH.

This web session has NOT been designed for those participants eager to find out which capital market scenario will materialize in the coming months and years so that they can maximize their wealth. Unfortunately, we have lost our crystal ball, which is a real shame.

This course has been developed for professionals who are interested in Economic Scenario Generators because they deal with one or more applications of those and who are familiar with the basic concepts of financial maths. In-depth knowledge of capital market models is clearly NOT a pre-requisite, as the content does not aim at ESG experts.

Technical requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme GotoTraining/GotoWebinar is used for this online training). Please also make sure that you are joining the web session with a stable internet connection.

In the web session, we begin by discussing the principles of risk-neutral modelling, where we are going to focus on equity modelling and interest rate modelling. We proceed by discussing real-world capital market modelling. Finally, we talk about ESG validation aspects relevant for Solvency 2 work and other applications.

The language of the web session will be English.

Pierre-Edouard Arrouy
Pierre-Edouard is leading the financial modelling team inside the Research & Development section of Milliman Paris; his consulting work relates to the design, the implementation and the review of financial models within risk-neutral and real-world ESGs. His current research topics deal with calibration methods for interest rates models with stochastic volatility, modelling of credit risk, as well as the pricing of complex derivatives. He is also actively involved in the development of the cloud based ESG solution Milliman CHESS.

Paul Bonnefoy
Paul is a R&D Consultant at the Paris office of Milliman. He provides his financial modelling expertise to clients through various missions related to the implementation and the review of financial models within risk-neutral and real-world ESGs. His R&D works concern among other things the acceleration of the calibration process of financial models and the pricing of complex derivatives. He is also actively involved in the development and the management of the cloud based ESG solution Milliman CHESS.

Michael Leitschkis
Michael is a Principal with Milliman. Michael has been dealing with various ESG aspects for about 15 years, notably in the context of Solvency II, including Proxy Modelling techniques such as Least Squares Monte Carlo. He has been part of the German Actuarial Society (DAV) working party dedicated to Economic Scenario Generators and taught Financial Mathematics at the University of Cologne.

Russell Ward
Russel is a Principal with Milliman, focusing on capital modelling, guarantee product development and ALM all of which involve the use of ESGs. Prior to joining Milliman, Russell headed Ernst & Young’s actuarial modelling services for Europe leading implementation of stochastic asset-liability models and the review of ESGs for some of the firm’s audit clients. While on secondment to the FSA, Russell played a key role in the development of the regulator’s approach to the review of risk-based capital under the Individual Capital Assessment (ICA) regime.