On complex economic scenario generators: is less more?
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20210030048 | ||
| 003 | MAP | ||
| 005 | 20211019110838.0 | ||
| 008 | 211019e20210913esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20190008310$aBégin, Jean-François | ||
| 245 | 1 | 0 | $aOn complex economic scenario generators: is less more?$cJean-François Bégin |
| 520 | $aThis article proposes a complex economic scenario generator that nests versions of well-known actuarial frameworks. The generator estimation relies on the Bayesian paradigm and accounts for both model and parameter uncertainty via Markov chain Monte Carlo methods. So, to the question is less more?, we answer maybe, but it depends on your criteria. From an in-sample fit perspective, on the one hand, a complex economic scenario generator seems better. From the conservatism, forecasting and coverage perspectives, on the other hand, the situation is less clear: having more complex models for the short rate, term structure and stock index returns is clearly beneficial. However, that is not the case for inflation and the dividend yield. | ||
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20080599126$aSimulación económica | |
| 773 | 0 | $wMAP20077000420$g13/09/2021 Volumen 51 Número 3 - septiembre 2021 , p. 779-812$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |