Milliman Economic Scenario Generator
Milliman Economic Scenario Generator
Reliable, quick validation is imperative
Benefit from best-in-class ESG software and service
Benefits of the Milliman Economic Scenario Generator
Take advantage of the cloud
Rely on best-in-class industry experience
Gain trustworthy results
Features of the Milliman Economic Scenario Generator
Broad set of models to choose from
Visual synthesis
Available support
Global reach
Advanced control on ESG configuration & validation is made easy — for better accuracy and compliance.
Customization
Validation
See how the Milliman Economic Scenario Generator is helping businesses globally
Delivering custom calibrated economic scenarios
Milliman Economic Scenario Generator (ESG) offered this client flexible capabilities with a cloud-native solution driven by the leading mathematical modeling of Milliman’s expert R&D team.
Satisfying D+1 delivery requirement for major American insurer
With deep customization capabilities, Milliman Economic Scenario Generator (ESG) provided the long-term volatility modeling at the time required.
Providing improved ESG tool for European multinational
By providing an effective solution alongside individualized support, the client found a better way to satisfy regulators.
Harmonizing internal models with the Milliman Economic Scenario Generator
Leveraging Milliman Integrate architecture, Milliman Economic Scenario Generator was integrated into this insurer’s framework with the ability to deliver up to 10,000 scenarios at D+1
Related insight
Reducing the number of scenarios used for stochastic ALM valuation
We offer some valuable insights into scenario reduction and trajectory selection for stochastic ALM valuation that could help improve results and minimize computation.
Impact of credit data for the valuation of insurance liabilities
This paper investigates how the choice of financial data can impact the calibration and the simulation of credit spread (credit default) scenarios within an economic scenario generator, as well as the insurance liability valuation metrics.
A new hybrid Random Number Generator for more accurate valuation of insurance liabilities
Increasing use of stochastic economic scenarios for valuation of liabilities has put more pressure on the operational process of carriers, but the RNG can help.
Calibration accuracy of three variants of the Libor Market Model
We highlight a Libor market model with constant elastic volatility, showing an interesting trade-off between parameters used and quality of results.
Efficient computation of Solvency Capital Requirement using Multilevel Monte Carlo Methods
Many insurance companies are struggling to overcome the computational challenges involved in computing the SCR under the Solvency II regime.
The impact of carbon risk factor on equity dynamics
With better understanding of climate transition risk exposure and stress tests proposed by regulators, internal models can help provide insights.
Estimating long-term implied volatility for the valuation of insurance liabilities
This paper explores options available to address the challenge of deriving market-consistent but stable long-term volatility assumptions for valuation of liabilities.
Alternative asset classes: Why and what to model, and considerations for risk management
Challenges for companies in the alternative asset space include building an internal model and accounting for regulatory treatment for capital set aside.
A realistic modelling of the dynamics of equity volatility
We describe a recent realistic modelling approach of equity volatility that offers advantages when using real world economic scenarios to analyze balance sheets.
LSMC Surgery
Least Squares Monte Carlo (LSMC) is a widely used proxy modelling technique in the European insurance industry.
Sensitivity analysis for model risk management
Sensitivity testing with dependence has the potential for a wide range of applications in reporting, such as for Solvency II, IFRS 17, and balance sheet valuation.
Neural network calibration of the DDSVLMM interest rates model, and application to weights calculation
We present a calibration technique for one complex risk neutral model, relying on neural networks and significantly reducing computational time.
Challenges in the calibration of real world models within Economic Scenarios Generators
The best 'one-size-fits-all' economic scenario generator solution is one that provides the choice of different methods.
A review of the Solvency II equity shock
The European Insurance and Occupational Pensions Authority (EIOPA) in 2019 published a study on market and credit risk modelling, observing that the equity risk shocks applied by the surveyed internal models are overall higher than those using the standard formula.
Setting discount rates under IFRS 17: Getting the job done - Paper 3: Some practical considerations for reference portfolios
The principles-based approach under International Financial Reporting Standard 17 (IFRS 17) is both a blessing and a curse.
Products related to Milliman’s Economic Scenario Generator
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