Deutsche Gesellschaft für Versicherungs- und Finanzmathematik European actuarial journal Berlin : Springer, 2011 14(2024), Seite 1013-1019 Online-Ressource
In this research study, we show how existing approaches of using generative adversarial networks (GANs) as economic scenario generators (ESG) can be extended to an entire internal market risk model-with enough risk factors to model the full band-width of investments for an insurance company and for a time horizon of one year, as required in Solvency 2. We demonstrate that the results of a GAN-based internal model are similar to regulatory-approved internal models in Europe. Therefore, GAN-based models can be seen as an alternative data-driven method for market risk modeling.
