7 - 9 Sep 2015 in Cologne
CERA, Module: Classification and Modelling of Risks
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:
Based on the 2011-implemented education und examination system of the German Actuarial Association (DAV), the EAA offers a series of training courses and exams (through DAV) to study for the CERA designation 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 actuarial associations have to get in touch with their association to check the possibility 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.
The seminar is open to all persons who are interested in obtaining comprehensive skills on Enterprise Risk Management. Basic knowledge of deterministic and stochastic valuation models as well as value based management is recommended.
Laptops are recommended for some exercises, but are not mandatory for following this seminar.
Purpose and Nature
This seminar is one part in a course that consists of six modules. They can be booked as a whole series to fulfil the requirements for receiving the CERA designation, or individually as CPD training. Written exams on the course are offered subsequently.
Please contact your actuarial association regarding the recognition of the seminars and the exams. The national association has to be an Award Signatory of the CERA Global Association so that an actuary who passes this course may receive the CERA credential.
Dr Nora GürtlerNora Gürtler is the CRO of Generali Deutschland Group and heads the Enterprise Risk Department since 2011. Between 2003 and 2011 she was responsible for non-life DFA models, Embedded Value calculations, Economic Balance Sheet valuations and the related value based management. Nora Gürtler studied Mathematics at the University of Karlsruhe (Germany) and at École Normale Supérieure at Lyon (France) and graduated in Mathematical Statistics before joining Tillinghast’s non-life team. She is a qualified actuary (Aktuar DAV) and CERA, and chairs DAV’s education committee for actuarial modelling.
Dr Guido BaderGuido Bader studied Mathematics at the University of Karlsruhe (Germany). From September 2001 to August 2009 he worked for Gothaer Insurance Group in different positions. Since September 2009 he works for Stuttgarter Insurance Group, since April 2010 as member of the Management Board. There he is responsible for Life Business. Guido Bader is a member of the Board of the German Actuarial Association (DAV) and chairs the Investment Committee. He also chairs the working group which is responsible for the German CERA qualification.
Dr Peter HenselerPeter Henseler studied Physics at the university of Bonn. Since 2012 he works for Generali Deutschland Group. He heads the team Financial Risk Methodology within the Enterprise Risk Management Department. He started his career in 2010 in the actuarial department of Zurich Deutscher Herold Lebensversicherung AG. He is a qualified actuary and a member of the German Actuarial Association (DAV) since 2014.
Dr Michael LeitschkisMichael Leitschkis studied Mathematics in Cologne and Philadelphia. Since 2012, he works for Milliman, where he is Principal in the Life Technology Solutions practice. Before that he worked at Generali Deutschland Group as Head of Actuarial Modelling for almost five years. He started his career at B&W Deloitte in Cologne. Michael Leitschkis is member of the German Actuarial Association (DAV) and CERA. He has delivered a number of talks and lectures on various topics of risk modeling and risk management.
Dr Frank SchillerFrank Schiller has a PhD in Mathematics and is a qualified actuary. He has been working in insurance since 2001, starting his career as an Actuarial Consultant for the former KarstadtQuelle Versicherung Fürth (now ERGO Direkt) and in 2005 he became Risk Manager at Munich Re. From 2008 Frank Schiller was in charge of the Centre of Competence Direct Insurance Life at Munich Re and, together with his team, supported primary insurers with topics such as biometric portfolio analysis, risk management and product development. In 2011 Frank Schiller joined Swiss Life as Chief Risk Officer and Actuary in the home market of Switzerland. From 1 September 2013 Frank Schiller is Chief Risk Officer of Swiss Life Germany.
Viktor TurovViktor Turov studied Mathematics in Hannover. Since 2014 he works for KPMG as a risk management consultant. He started his career in 2008 at Talanx Holding in Hannover. Furthermore he is a member of DAV/DGVFM working group on information material on insurance mathematics for pupils.
Venue & Accommodation
The seminar will take place at the
Mercure Hotel Severinshof Koeln CitySeverinstraße 199, 50676 Cologne, GermanyPhone: +49 221 2013Fax: +49 221 2013666Hotel website
We arranged special prices for accommodation. The special price is 102 € per night, including breakfast. It is valid for bookings by 9 August 2015 out of our allotment “EAA”. Kindly book your accommodation as soon as possible directly with the hotel, as our allotment includes only a limited number of rooms, and note the hotel’s cancellation policy.
The CERA exams are organised by the Deutsche Aktuarvereinigung e. V. (German Association of Actuaries) in German and English.
For further information and exam registrations, please contact Tim Kampmann at
email@example.com. If this would be your first CERA exam, please kindly send a certificate confirming that you are a full member of your actuarial association via e-mail in addition.