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It summarizes the generator’s purpose, scope, scenario set structure, and testing emphasis on tail outcomes, including guidance on applying the SLV generator for regulatory purposes.",{"@graph":14,"@context":73},[15,34,56],{"@type":16,"itemListElement":17},"BreadcrumbList",[18,23,27,31],{"item":19,"name":20,"@type":21,"position":22},"https://docshare.wps.com","Home","ListItem",1,{"item":24,"name":25,"@type":21,"position":26},"https://docshare.wps.com/document/","Document",2,{"item":28,"name":29,"@type":21,"position":30},"https://docshare.wps.com/document/research-report/","Research & 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report?","Question",{"text":63,"@type":64},"To describe the SLV interest rate scenario generator model and recommend calibration criteria so companies can use Academy scenarios or calibrate their own generators to match them for regulatory reserve and capital calculations.","Answer",{"name":66,"@type":61,"acceptedAnswer":67},"What scenarios and tools are included in the report?",{"text":68,"@type":64},"The report includes an interest rate generator, a set of 10,000 Treasury curve scenarios starting from September 30, 2008, and a scenario picking tool.",{"name":70,"@type":61,"acceptedAnswer":71},"Why does the ESWG emphasize tail results in its testing?",{"text":72,"@type":64},"Because tail outcomes help identify relatively weakly capitalized companies and support calculation of policy reserves for regulatory 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Insurance Commissioners’  \nLife Risk Based Capital Working Group  \nand  \nLife and Health Actuarial Task Force  \nGrapevine, TX – December 2008  \nThe American Academy of Actuaries’mission is to serve the public on behalf of the U.S. actuarial profession. The Academy assists public policymakers on all levels by providing leadership, objective expertise, and actuarial advice on risk and financial security issues. The Academy also sets qualification, practice, and professionalism standards for actuaries in the United States.  \nEconomic Scenario Work Group  \nMax J. Rudolph, F.S.A., C.E.R.A., C.F.A., M.A.A.A., Chair  \nFaye Albert, F.S.A., M.A.A.A.  \nAnthony Dardis, F.S.A., F.I.A., C.F.A., M.A.A.A.  \nMike Davlin, F. S.A., M.A.A.A.  \nLuke Girard, F. S.A., F.C.I.A., C.F.A., M.A.A.A  \nDave Kester, F. S.A., M.A.A.A  \nJeff Little, F. S.A., M.A.A.A.  \nSai Man, F. S.A., C.F.A., M.A.A.A.  \nJon Mossman, F. S.A., F.C.I.A., E.A., C.F.A., F.R.M., M.A.A.A.  \nLink Richardson, F. S.A., C.E.R.A., M.A.A.A.  \nThe ESWG also recognizes the invaluable contributions of the following:  \nAnatoliy Belaygorod, Ph.D.  \nGeoffrey Hancock, F.S.A., C.E.R.A., F.C.I.A.  \nBill Pauling, C.F.A.  \nMark Tenney, M.S.  \nCraig Turnbull, F.I.A.  \nAnd  \nESWG past chair, Larry Gorski F.S.A., M.A.A.A.  \nEconomic Scenario Work Group Report  \nSummary  \nThe American Academy of Actuaries’ Economic Scenario Work Group (ESWG) was asked to develop an interest rate generator and calibration criteria so companies could use either Academy-generated scenarios or their own internal model that calibrates to the Academy scenarios for regulatory reserve and capital calculations. This report will summarize the Stochastic Log Volatility (SLV) interest rate scenario generator model developed by the ESWG and describe the recommended calibration criteria. This report builds from and replaces all earlier reports from the ESWG. All references to “Academy” work products within this report refer to the specific committees and work groups that developed these specific reports and generators.  \nThe ESWG received its direction from the Standards for Stochastic Methods Work Group (SSMWG) Report, September 2006. The charge to the ESWG was stated as:  \n• The ESWG will provide a prescribed generator containing updated parameters. This report includes an interest rate generator, a set of 10,000 Treasury curve scenarios using September 30, 2008 as the starting date and a scenario picking tool.  \n• The ESWG will generate calibration criteria so companies can use their own generator or a subset of the base 10,000 Academy scenarios. This report includes calibration criteria to allow use of company generated scenarios, along with a tool that helps evaluate the requirements of the calibration criteria. As recommended in the SSMWG’s report, the provided scenario sets will not use pre-selected criteria designed to stress test specific blocks of business. More specifically, the ESWG does not support specific subsets of scenarios as were utilized in C3 Phase I RBC capital calculations. These scenario sets were designed and tested to apply to specific blocks of annuity business and are not appropriate when testing a variety of products with different risk characteristics.  \nThe goal of the Academy is to develop an integrated debt-equity generator that can be used for all reserve and capital calculations. We have not yet accomplished this goal, but this report provides an interest rate generator and scenarios based on updated parameters, along with calibration criteria to specify generators acceptable for regulatory calculations.  \nThe ESWG, along with the Academy’s Life Capital Adequacy Subcommittee, recommends that the SLV generator replace other interest rate generators currently in use for all regulatory purposes. To the extent a company is exposed to other financial market risks, such as equity, credit and","cbCaivSFT7woCmEh","https://ap.wps.com/l/cbCaivSFT7woCmEh","pdf",221706,"English","# Summary\n## Purpose and requested deliverables\n## Scenario sets and calibration approach\n## Recommendations and regulatory use\n## Testing focus and comparative evaluation","[{\"question\":\"What is the main goal of the ESWG report?\",\"answer\":\"To describe the SLV interest rate scenario generator model and recommend calibration criteria so companies can use Academy scenarios or calibrate their own generators to match them for regulatory reserve and capital calculations.\"},{\"question\":\"What scenarios and tools are included in the report?\",\"answer\":\"The report includes an interest rate generator, a set of 10,000 Treasury curve scenarios starting from September 30, 2008, and a scenario picking tool.\"},{\"question\":\"Why does the ESWG emphasize tail results in its testing?\",\"answer\":\"Because tail outcomes help identify relatively weakly capitalized companies and support calculation of policy reserves for regulatory purposes.\"}]","Economic Scenario Work Group Report - December 2008 | PDF"]