Organised by the EAA - European Actuarial Academy GmbH
Over the last decade, the concept of Enterprise Risk Management (ERM) has gained significant momentum in the insurance industry and beyond. This came with the recognition of risk as being something not per se to be avoided, but to be optimally exploited in the frame of a company’s risk appetite. ERM is going beyond traditional risk management in that it is holistic, and encompasses strategic risk management as well as risk culture.
Many of these developments are reflected in regulatory changes, such as the MaRisk in Germany, or the upcoming Solvency II (although these focus on policyholder protection and less on opportunities). Solvency II will require an actuarial and a risk management function in all (re-)insurance undertakings. Actuaries should see this as an opportunity to broaden their role, and to show that they are ideally equipped to carry out these tasks.
Against this backdrop, in November 2009, several actuarial associations launched the CERA credential as a global risk management designation for actuaries. CERA pursues the following goals:
- Strengthen international recognition of the actuarial profession’s enterprise risk management (ERM) expertise
- Promote the development of more actuaries internationally with training in ERM
- Present new opportunities for actuaries worldwide to use their expertise in an expanding range of areas
- Send a strong message to employers and candidates that the skill set of actuaries offers significant risk management expertise
Based on the 2011-implemented education und examination system of the German Actuarial Association to study for the CERA designation, the EAA offers a series of training courses and exams (through DAV) to all actuaries who want to deepen their knowledge in Enterprise Risk Management.
By passing this training and examination course, members of the German Actuarial Association gain their CERA designation. Members of other national actuarial associations have to get in touch with their association to check the possibilities to use the EAA route.
The Seminar `Classification and Modelling of Risks’
The present seminar focuses on quantitative analyses of financial and non-financial risks of an insurance company. After a classification of the risks, the modelling approach according to the standard formula of SII and according to an internal model is explained.
Starting from basic concepts for modelling and quantification of risks, stochastic valuation models for life and non-life are briefly discussed. After the presentation of risk classification, we first deal with strategic, reputation and operational risks. Market (equity, real estate, interest rate, currency) and credit risks are treated in detail, followed by liquidity and life / non-life underwriting risks and finally by concentration risk. The consolidated view on risks in a Group model closes the course.
The discussion of each risk starts with its definition, how it can be distinguished from other risks and its classification according to SII. The taxonomy is followed by qualitative and quantitative valuation approaches - including scenario analyses, stress tests, deterministic and stochastic assessments, and quantifications according to the standard formula and an internal model. In addition, crucial aspects of any model such as assumptions, distributions, calibration and validation are discussed, as well as limitations and criteria for the adequacy of a model for solving a given problem. Each section is closed by the use of model results in decision making and risk mitigation strategies.
The course has been designed for experienced practitioners who use model results in practice and seek guidance for management decisions. Therefore, the focus is not on technical details but on the derivation of management actions on the basis of risk models. Consequently, case studies are a core component.