MCFAM Seminar Series: “Do Jumps Matter in the Long Term? A Tale of Two Horizons"

Please join us for our next seminar of spring semester. This seminar will feature Jean-François Bégin from Simon Fraser University who will discuss the relevance of jumps in economic scenario generators.

Register for the Zoom meeting

Economic scenario generators (ESGs) for equities are important components of the valuation and risk management process of life insurance and pension plans. Because the resulting liabilities are very long-lived and the short-term performance of the assets backing these liabilities may trigger important losses, it is thus a desired feature of an ESG to replicate equity returns over such horizons. In light of this horizon duality, Professor Bégin and his colleagues investigate the relevance of jumps in ESGs to replicate dynamics over different horizons and compare their performance to popular models in actuarial science.