Solvency II requires (re)insurers the ability to estimate financial and insurance risks. New quantitative measurements have been introduced in order to assess those risks. Moreover, stress tests and adverse scenarios should be taken into account to measure the risks’ volatility.
For those reasons, Economic Scenario Generators (ESG) have become more and more inevitable especially for Life insurers.
To learn more, read our expert paper “ESG Calibration: The difficulty of the calibration process“.