Abstract
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.
Original language | English (US) |
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Pages (from-to) | 291-298 |
Number of pages | 8 |
Journal | International Journal of Forecasting |
Volume | 14 |
Issue number | 2 |
DOIs | |
State | Published - Jun 1 1998 |
All Science Journal Classification (ASJC) codes
- Business and International Management
Keywords
- Dynamic forecasting system
- Global financial planning systems
- Scenarios