Stochastic scenario creation

Authors: Servaas Houben

slides: Creating scenario sets 1 4

Publisher, publication date: Infoline, 2012-12


Presentation on the generation of scenario sets consisting of:

  • Scenario creation process
  • Risk identification
  • Data selection
  • Calibration
  • Aggregation and diversification
  • Validation

About Servaas Houben

I am a Dutch actuary and worked in the Netherlands for the first 4 years of my career. Thereafter, I worked for 2 years in Dublin and 4 years in London. I am now heading the actuarial department of ENNIA in Curacao.
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