19 - 21 Sep 2016 in Zagreb
CERA, Module: Classification and Modelling of Risks
Over the last decade, the concept of Enterprise Risk Management (ERM) has gained importance 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 managed in the framework of a company’s risk appetite. ERM is going beyond traditional risk management in that it represents a holistic approach, and encompasses strategic risk management as well as risk culture.
Many of these developments are reflected in regulatory changes, mainly the upcoming Solvency II regime, mandatory in the European Union starting from Jan 1st, 2016. Solvency II will require an actuarial and a risk management function in all (re-)insurance undertakings. Since actuaries are ideally equipped to carry out these tasks, this is a unique opportunity for them to broaden their role and assume further responsibilities.
Against this background, in November 2009 several actuarial associations have 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 to study for the CERA designation, the EAA offers a series of training courses and exams (through DAV) to all actuaries who intend to deepen their knowledge in Enterprise Risk Management.
By passing the CERA 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 seminar focuses on quantitative analyses of financial and non-financial risks of an insurance company. After a classification of these 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 companies are briefly discussed. After a deep-dive into the risk classification, strategic, reputation and operational risks are deal with. 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 company and in a Group model closes the course, including a brief outline of approximation techniques.
The discussion of each risk starts with its definition, how it can be identified and 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. Furthermore, 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 understanding of risk models and their results, and on the derivation of management actions. Consequently, examples and case studies are a core component of the seminar.
Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Hrvatsko Aktuarsko Drustvo.
The seminar is open to all persons who are interested in obtaining comprehensive skills on Enterprise Risk Management. The understanding of the business model of an insurance company (life and non-life) is a prerequisite that participants should be aware of. 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. Please visit www.ceraglobal.org to get information if your association is entitled to issue the CERA designation.
Recommended LiteratureCourse material will be distributed via the EAA.
Dr Peter HenselerPeter Henseler studied Physics at Bonn University. Since 2012 he works for Generali Deutschland Group. He heads the team Financial Risk Methodology within the Enterprise Risk Management Department, after having 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 this 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.
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 hotel
ARCOTEL Allegra ZagrebBranimirova 29, 10000 Zagreb, CroatiaTel.: +385 1 4696 000Fax: +385 1 4696 096www.arcotelhotels.com/en/allegra
We have arranged special prices for accommodation. A single room costs 80 € per night, including breakfast and VAT, excl. city tax (1 € per person and night). This price is valid for bookings out of our allotment “EAA Seminar” until 4 September 2016. Please book your accommodation directly with the hotel. Kindly book early, as our allotment includes 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.