AIRG vs. GOES: Robust Asset Classes Analysis

This white paper presents an analysis of the transition from the Academy Interest Rate Generator (AIRG) to the Generator of Economic Scenarios (GOES) as mandated by the NAIC for the 2026 Valuation Manual. The document outlines the implications of this change for life insurers, particularly in terms of asset allocation and investment strategies. It details a series of articles that compare various asset classes, including bonds, equities, and mortgage-backed securities (MBS), highlighting their performance under both AIRG and GOES models. The paper also discusses the historical context of life insurance investments, noting a shift towards a broader range of asset classes post-2008 Financial Crisis. Additionally, it addresses the modeling of new asset classes, such as collateralized loan obligations (CLOs) and private equity, emphasizing the challenges posed by limited historical data and the need for careful calibration. The findings aim to assist companies in understanding the potential impacts of the transition on their investment strategies.