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Ensemble economic scenario generators : unity makes strength

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LDR  00000cab a2200000 4500
001  MAP20230021941
003  MAP
005  20231214124036.0
008  231027e20230906usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20190008310‎$a‎Bégin, Jean-François
24510‎$a‎Ensemble economic scenario generators‎$b‎: unity makes strength‎$c‎Jean-François Bégin
520  ‎$a‎Over the last 40 years, various frameworks have been proposed to model economic and financial variables relevant to actuaries. These models are helpful, but searching for a unique model that gives optimal forecasting performance can be frustrating and ultimately futile. This study therefore investigates whether we can create better, more reliable economic scenario generators by combining them. We first consider eight prominent economic scenario generators and apply Bayesian estimation techniques to them, thus allowing us to account for parameter uncertainty. We then rely on predictive distribution stacking to obtain optimal model weights that prescribe how the models should be averaged. We find that the optimal weights change over time and differ from one economy to another. The out-of-sample behavior of the ensemble model compares favorably to the other eight models: the ensemble model's performance is substantially better than that of the worse models and comparable to that of the better models. Creating ensembles is thus beneficial from an out-of-sample perspective because it allows for robust and reasonable forecasts
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080612023‎$a‎Predicciones económicas
650 4‎$0‎MAPA20120003156‎$a‎Eficacia
650 4‎$0‎MAPA20080594589‎$a‎Análisis comparativo
7730 ‎$w‎MAP20077000239‎$g‎06/09/2023 Tomo 27 Número 3 - 2023 , 29 p.‎$x‎1092-0277‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-
85600‎$y‎MÁS INFORMACIÓN‎$u‎ mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A