Interactive AAA Economic Scenario Generator

JuliaActuary is an ecosystem of packages that makes Julia the easiest language to get started for actuarial workflows.

Scroll down below the sample video to see how to run it.

The recording above shows a Pluto.jl notebook manipulating the long term mean reversion parameter for the Nelson-Siegel functional interest rate model, based on the American Academy of Actuaries’ (AAA) Economic Scenario Generator (ESG).

Instructions to Run

Because JuliaActuary doesn’t have a beefy server to run this on and let anybody run/visualize thousands of stochastic scenarios, for this one you have to run it locally. Assuming that you already have Julia installed but still need to install Pluto notebooks:

  1. Open a Julia REPL and copy and paste the following:
# install these dependencies
import Pkg; Pkg.add(["Pluto"]) 

# use and start Pluto
using Pluto;                        
  1. In the Pluto window that opens, enter this URL into the Open from file: box:

See also

Replicating the AAA equtity generator