AlgolabFinance/Economic-Scenario-Generator
With the current low yield environment, life insurance company are required more and more transparency of their products as well as continuously presenting new investment opportunity. Insurers need to have the pre-contractual risk indicators in order to reflex the possible performance and risks of the products which the subscribers wish to know and could also assist the launch of potential products. The determination of these risk indicators for these products involves stochastic modelling and simulation of different economic scenarios in a market consistent or risk-neutral world. This process is often time-consuming and require very complex mathematics. Under numerous regulations, Insurers and asset managers need to have a standard method of calculation process with the help of computer software to ease the computational heavy. An economic scenario generator (or ESG) which is a computer software can be a key element tool for this process.