18

This article proposes an approach for building an Economic Scenario Generator (ESG) under historical probability, allowing the simulation of interest rates and prices of risky investments, adapted to the process of valuing liabilities of savings contracts with profit-sharing clauses and consistent with the Solvency 2 and IFRS 17 frameworks. It therefore includes the construction of the discounting factor (deflator) used to calculate prices. It proposes methods for calibrating models and risk premiums based on closed formulas and presents simulation approaches with exact discretization adapted to long-term simulation needs and less computation time consuming. The article also proposes a study of the sensitivities of the value of a with profit savings liability to the calibrations of the economic scenario generator under historical probability. Finally, it shows that moving from a «risk neutral» calculation to a deflator approach requires only relatively marginal work to adapt existing models. JEL Classification: G22, C32, G33.