Presented at the Society Of Actuaries: Economic Scenario Generation for the Practitioner Seminar | May 2018

This presentation entitled “Risk-Neutral Economic Scenario Generation” was given by Daniel Schobel of Numerix at the ESG for the Practitioner Seminar in Baltimore on May 6th.

The presentation addressed:

  • Market data
  • Model calibration
  • Validation (model fit, martingale test)
  • Example - Application of a risk-neutral model to product pricing


Numerix Presenter Bio:

Liang Wu, Vice President of Financial Engineering and Head of CrossAsset Product Management at NumerixDaniel Schobel, Vice President & Actuary, Insurance Product Manager at Numerix
Mr. Schobel joined Numerix at the beginning of 2014 and has been instrumental in helping win and deliver several Insurance projects covering both VA/FIA and ESG solutions. He has been critical to the expansion of the insurance client base from North America to Asia (Korea/Japan) as well as Europe (Spain/Italy).

​Prior to joining Numerix, Daniel was at New York Life where he worked for 5 years in valuation, annuity pricing and ESG. He was responsible for the calibration and generation of market consistent and real world scenarios for a variety of purposes, including, but not limited to economic capital, stochastic product pricing, VA guarantee valuation, and surplus-at-risk.

Complete the form to the right to download this slide deck from Daniel Schobel's May 2018 ESG for the Practitioner Forum presentation.

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