ECONOMIC MODELING

Milliman Economic Scenario Generator

Formerly known as Milliman CHESS, our award-winning solution delivers a distinctive combination of production efficiency and expertise support, along with state-of-the-art modelling catalog and high-quality data for both market-consistent and real-world applications.

The challenge

Reliable, quick validation is imperative

To match demanding timelines for risk-management decisions and regulatory compliance, you need to scale and automate the ESG production process. At the same time, you need results you can trust.

THE SOLUTION

Benefit from best-in-class ESG software and service

Achieve a high level of automation and scalability by integrating the Milliman Economic Scenario Generator into your existing systems. The cloud-based application delivers economic scenarios in a scalable environment, with easy-to-understand visualizations for rapid validation. The Milliman Economic Scenario Generator was named Best ESG Software by Insurance ERM.

BENEFITS

Benefits of the Milliman Economic Scenario Generator

Take advantage of the cloud

Execute the calibration, simulation, and validation functionalities from any vendor or in-house system through the integration-ready RESTful API of the Milliman Economic Scenario Generator.

Rely on best-in-class industry experience

Receive expert advice to ensure you use the best model to achieve your goals for optimal efficiency, risk-management accuracy, and regulatory compliance.

Gain trustworthy results

Review audit features, model documentation, and Excel files that detail step-by-step derivations of economic scenarios. The Milliman Economic Scenario Generator’s calibration reports are based on alliance partnerships with the most renowned financial data providers and are subject to thorough data quality assessments.

FEATURES

Features of the Milliman Economic Scenario Generator

Broad set of models to choose from

Leverage Milliman’s comprehensive model catalog as you work with our team to determine which models apply to your specific scenarios.

Visual synthesis

See validation results quickly in the form of tables and graphs.

Available support

Get help from Milliman consultants as you navigate any external or internal review of results generated by the Milliman Economic Scenario Generator.

Global reach

Access services from the Milliman Economic Scenario Generator deployed in Europe, the United Kingdom, United States, and Asia. Methodologies and data choices from the most renowned data providers have been tailored to reflect the highest degree of robustness and compliance in each market, including Solvency II, IFRS 17, and LDTI.

MILLIMAN ECONOMIC SCENARIO GENERATOR RESULTS IN ACTION

Advanced control on ESG configuration & validation is made easy — for better accuracy and compliance.

Customization

Use advanced and custom parameters for model selection, data loading, calibration, and simulation steps.

Validation

Enable ESG experts and risk managers to exhaustively validate model performance using visualizations and data.

Client case studies

See how the Milliman Economic Scenario Generator is helping businesses globally

client case study

Delivering custom calibrated economic scenarios

Milliman Economic Scenario Generator (ESG) offered this client flexible capabilities with a cloud-native solution driven by the leading mathematical modeling of Milliman’s expert R&D team.

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CLIENT CASE STUDY

Satisfying D+1 delivery requirement for major American insurer

With deep customization capabilities, Milliman Economic Scenario Generator (ESG) provided the long-term volatility modeling at the time required.

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client case study

Providing improved ESG tool for European multinational

By providing an effective solution alongside individualized support, the client found a better way to satisfy regulators.

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CLIENT CASE STUDY

Harmonizing internal models with the Milliman Economic Scenario Generator

Leveraging Milliman Integrate architecture, Milliman Economic Scenario Generator was integrated into this insurer’s framework with the ability to deliver up to 10,000 scenarios at D+1

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Frequently Asked Questions

What are the key differentiators of Milliman Economic Scenario Generator?

How does Milliman Economic Scenario Generator support current economic and regulatory needs?

What does Milliman Economic Scenario Generator offer?

How does Milliman Economic Scenario Generator automate the ESG production process?

How long does Milliman Economic Scenario Generator take to implement on-site?

What are the typical implementation costs?

What are the typical service costs?

What is Milliman Economic Scenario Generator’s coverage in terms of assets?

INSIGHT

Related insight

White paper

Reducing the number of scenarios used for stochastic ALM valuation

We offer some valuable insights into scenario reduction and trajectory selection for stochastic ALM valuation that could help improve results and minimize computation.

Delivering custom calibrated economic scenarios

Satisfying D+1 delivery requirement for major American insurer

Providing improved ESG tool for European multinational

Harmonizing internal models with the Milliman Economic Scenario Generator

Reducing the number of scenarios used for stochastic ALM valuation

Impact of credit data for the valuation of insurance liabilities

A new hybrid Random Number Generator for more accurate valuation of insurance liabilities

Calibration accuracy of three variants of the Libor Market Model

Efficient computation of Solvency Capital Requirement using Multilevel Monte Carlo Methods

The impact of carbon risk factor on equity dynamics

Estimating long-term implied volatility for the valuation of insurance liabilities

Alternative asset classes: Why and what to model, and considerations for risk management

A realistic modelling of the dynamics of equity volatility

LSMC Surgery

Sensitivity analysis for model risk management

Neural network calibration of the DDSVLMM interest rates model, and application to weights calculation

Challenges in the calibration of real world models within Economic Scenarios Generators

A review of the Solvency II equity shock

Setting discount rates under IFRS 17: Getting the job done - Paper 3: Some practical considerations for reference portfolios

EIOPA’s Market and Credit Risk Comparative Study: Key takeaways

Cloud computing and machine learning uses in the actuarial profession

Setting discount rates under IFRS 17: Getting the job done—Paper 2: Setting the approach

IFRS 17: Deriving the confidence level for the Risk Adjustment: A case study for life (re)insurers

Setting discount rates under IFRS 17: Getting the job done

Integrate

Milliman MIND

Economic Scenario Generators: a risk management tool for insurance

Signature based validation of real world economic scenarios

Jacobi Stochastic Volatility factor for the Libor Market Model