A4: A New Approach to Risk-Neutral Scenarios

Document description

Within the UK insurance industry, there has been a convergence in ESG calibrations and models over the years, not least because of the success (and subsequent pseudo-monopoly) of Barrie and Hibbert. These have largely been driven from a 'risk neutral' point of view.

Parit Jakhria produces a brief overview of the developments within UK, before introducing Bahram Mizrai and Ulrich Müller who offers a substantially different approach to 'risk neutral' scenario generation, which is hoping to raise awareness within UK of the range of different approaches possible.