Centro de Documentacion de Fundación MAPFRE - Ensemble economic scenario generators : unity makes strength

MAP20230021941

Ensemble economic scenario generators : unity makes strength / Jean-François Bégin

Sumario: Over 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

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 06/09/2023 Tomo 27 Número 3 - 2023 , 29 p.

1. Modelos actuariales . 2. Predicciones económicas . 3. Eficacia . 4. Análisis comparativo . I. Título.