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

TL;DR

This paper discusses the design and implementation of economic scenario generators (ESGs) in insurance, focusing on their theoretical foundations, practical use cases, and performance evaluation metrics.

Contribution

It provides a comprehensive overview of ESG components, their alignment with specific insurance applications, and introduces performance indicators for assessing ESG reliability.

Findings

ESG components should align with their intended use in pricing or risk management

Performance measures like stability and bias absence are crucial for ESG evaluation

Numerical application demonstrates practical implementation of the proposed concepts

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.