Hens Steehouwer, Head of Research, his article on the frequency domain for correlations over different time periods, is published in The Actuary.

The Actuary, The Magazine of the Institute and Faculty of Actuaries, published Hens his article on December 2. Hens Steehouwer: “I’m glad and honored The Actuary recognizes and values the importance of looking at time-series processes from a frequency domain angle, instead of the typically applied time domain approaches.”

Hens continues: “There are potential benefits to using frequency domain techniques in the context of economic scenario generators, because it is of essential importance that they capture correlation structures across multiple time horizons and frequencies in a realistic and robust way.”

In the article Hens describes that actuaries have to deal with time-series processes in terms of how, for example, yield curves, investment returns, mortality rates, lapses or insurance claims develop over time. They have a toolkit of stochastic models at their disposal to analyze and model these processes for the applications at hand. Typically, these models look at time-series processes from a time domain angle. However, it is also possible and beneficial to look at time-series processes from a frequency domain angle.

Read the full The Actuary article

For the full article follow this link.

More about Ortec Finance’s Economic Scenario Generator

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