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2017 CIA Annual Meeting

June 21–22, 2017
Québec City Convention Centre, Québec


Session 24 • Economic Scenario Generators: Implications of the Persistent Low Interest Rate Environment

When calibrating an economic scenario generator (ESG) for the purpose of real-world modelling of interest rates, inflation, and other economic variables, there are many issues to consider. Actuaries from different life, P&C, and pension practice areas will discuss issues they have encountered. This will include the following: how to incorporate monetary policy rules and implications of the neutral rate of interest, the integration of publicly available forecasts, difficulties in fitting the shape of the yield curve, strength of mean reversion, and applicable CIA guidance.

Sponsors

Patron

Elliot Bauer


Partner Re


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Benefactor

Manulife Logo


Moody's Analytics Logo


Prudential


Oliver Wyman


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Society of Actuaries

Contributor

Hannover Re


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Quebec City