Generating scenarios for global financial planning systems

John Michael Mulvey, Robert Rush, John Sweeney

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


Global financial planning requires representative scenarios drawn from stochastic forecasting systems such as Russell's vector autoregressive model, Wilkie's cascade approach, Towers Perrin's global CAP:Link, and the catastrophic event simulations for earthquakes and hurricanes. We discuss the role of a dynamic forecasting system in the context of asset and liability management. We also describe a quasi-random sampling procedure for maximizing the precision of recommendations derived from a dynamic decision strategy. Empirical results, for a large offshore reinsurance company over a 5 year planning horizon, show the benefits of careful scenario selection.

Original languageAmerican English
Pages (from-to)291-298
Number of pages8
JournalInternational Journal of Forecasting
Issue number2
StatePublished - Jun 1 1998

ASJC Scopus subject areas

  • Business and International Management


Dive into the research topics of 'Generating scenarios for global financial planning systems'. Together they form a unique fingerprint.

Cite this