TY - JOUR
T1 - Generating scenarios for global financial planning systems
AU - Mulvey, John Michael
AU - Rush, Robert
AU - Sweeney, John
PY - 1998/6/1
Y1 - 1998/6/1
N2 - Global financial planning requires representative scenarios drawn from stochastic forecasting systems such as Russell's vector autoregressive model, Wilkie's cascade approach, Towers Perrin's global CAP:Link, and the catastrophic event simulations for earthquakes and hurricanes. We discuss the role of a dynamic forecasting system in the context of asset and liability management. We also describe a quasi-random sampling procedure for maximizing the precision of recommendations derived from a dynamic decision strategy. Empirical results, for a large offshore reinsurance company over a 5 year planning horizon, show the benefits of careful scenario selection.
AB - Global financial planning requires representative scenarios drawn from stochastic forecasting systems such as Russell's vector autoregressive model, Wilkie's cascade approach, Towers Perrin's global CAP:Link, and the catastrophic event simulations for earthquakes and hurricanes. We discuss the role of a dynamic forecasting system in the context of asset and liability management. We also describe a quasi-random sampling procedure for maximizing the precision of recommendations derived from a dynamic decision strategy. Empirical results, for a large offshore reinsurance company over a 5 year planning horizon, show the benefits of careful scenario selection.
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U2 - 10.1016/S0169-2070(98)00034-X
DO - 10.1016/S0169-2070(98)00034-X
M3 - Article
AN - SCOPUS:0032086129
SN - 0169-2070
VL - 14
SP - 291
EP - 298
JO - International Journal of Forecasting
JF - International Journal of Forecasting
IS - 2
ER -