The towers Perrin global capital market scenario generation system. (English) Zbl 0944.91028

Mulvey, John M.; Thorlacius, A. Eric

Ziemba, William T. (ed.) et al., Worldwide asset and liability modeling. Research seminar, Cambridge Univ., GB, May 15-20, 1995. Cambridge: Cambridge Univ. Press. 286-312 (1998).

Summary: Financial management requires a systematic approach for generating scenarios of future capital markets. Today’s global environment demands that the scenarios link the economies of individual countries within a common framework. We describe a global scenario system, developed by Towers Perrin, based on a cascading set of stochastic differential equations. The system applies to financial systems for pension plans and insurance companies throughout the world. A case study illustrates the process.
For the entire collection see [Zbl 0903.00105].

MSC:

91B28

Finance etc. (MSC2000)

Keywords:

global environment demands; stochastic differential equations; financial systems