Paul Bonnefoy

Increasing use of stochastic economic scenarios for valuation of liabilities has put more pressure on the operational process of carriers, but the RNG can help.

We highlight a Libor market model with constant elastic volatility, showing an interesting trade-off between parameters used and quality of results.

We present a calibration technique for one complex risk neutral model, relying on neural networks and significantly reducing computational time.

Learn why the best economic scenario generator solution provides the choice of different methods and what challenges real world models pose.

As it is now crucial to get fast calibration procedures for a certain model, Milliman developed an advanced parameter inference strategy allowing to set such interest rate models in a significantly faster way compared to the classical methods available today.