Generating scenarios for global financial planning systems

John Michael Mulvey, Robert Rush, John Sweeney

Research output: Contribution to journalArticle

1 Scopus citations

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 languageEnglish (US)
Pages (from-to)291-298
Number of pages8
JournalInternational Journal of Forecasting
Volume14
Issue number2
DOIs
StatePublished - Jun 1 1998

All Science Journal Classification (ASJC) codes

  • Business and International Management

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