10 - 14 Sep 2018 in Madrid
CERA, Module B: Taxonomy, Modelling and Mitigation 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 Solvency II (although these focus on policyholder protection and less on opportunities). Solvency II requires 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, 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.
The Seminar ‘Taxonomy, Modelling and Mitigation of Risks’
The seminar focuses on quantitative analyses of financial and non-financial risks of an insurance company and the effect and possible applications of risk mitigation techniques. After an introduction to the economic valuation of an insurance company, including stochastic valuation models and approximation techniques for life companies, and the building blocks of its economic balance sheet, the risk measure as well as the relevant regulatory requirements of Solvency II will be discussed. Different concepts of risk modelling covering from standard formula to fully internal models will be presented.
After a deep-dive into the risk classification, strategic, reputation and operational risks are dealt with. Afterwards methods for modelling market, credit and underwriting risks will be presented in detail. 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.
Having introduced and discussed the risk modelling, tools and techniques will be discussed that are available in the insurance business to mitigate these risks. That includes the discussion around the implications of reinsurance and securitisation as well as portfolio managemetn. We will also present what life insurance companies subject to traditional with profit business can do to hedge their main risks.
Both elements, risk modelling and measurement as well as risk mitigation, are closely related and interact with each other, what will be reflected in the topics presented and the structure of the seminar.
The consolidated view on risks in a company and an outlook on Group models close the course.
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 Instituto de Actuarios Españoles.
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.
During this seminar, you will not need your laptop.
Purpose and Nature
This seminar is one part in a course that consists of four 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 at least Acceding Party 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.
Wolfgang BaumannWolfgang Baumann studied Mathematics at Karlsruhe University. Since 2008 he works for Willis Towers Watson in the Risk Consulting and Software Business. Career steps prior to this contain Morgan Stanley, Towers Perrin and Credit Suisse. He holds lectures for the DAA since the inception of the German CERA program.
Prof Dr Hubert BornhornHubert Borthorn is a Professor for mathematics and statistics at the Faculty of Business at Dortmund University of Applied Sciences and Arts. He is a member of the German Actuarial Association (DAV). Hubert studied mathematics in Münster and Oxford and holds a Ph.D. and a master’s degree in mathematics from WWU Münster. Hubert’s areas of expertise include Financial Risk Management, Asset Management for insurance companies and Actuarial Mathematics. Before attaining his current position he worked almost 10 years for a life insurance company.
Dr Steve BrüskeDr Steve Brüske studied Mathematics and made his PhD in Münster. He has been working as an actuary at HDI Global SE in Hanover since 2007, where he is responsible for creating the internal models. Since 2012 Dr Brüske has been a member of the DAV and the DAV Working Group "Internal Models". As a lecturer for DAA, he is involved in the basic knowledge "modeling" and CERA Module B.
Dr Peter HenselerPeter Henseler studied Physics at Bonn University. Since 2012 he works for Generali Deutschland Group. He heads the group Financial Risk Methodology within the Enterprise Risk Management, 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.
Michael KlüttgensMichael is a Director at Willis Towers Watson and leading the insurance consulting activities in Germany. Michael holds a master’s degree in mathematics from RWTH Aachen. He attained the CERA credential in 2013. Michael’s areas of expertise include Risk & Capital Management, Financial Reporting, M&A and Value-Based Management.
Dr Ingo KrausIngo is Head of ALM / Quantitative Methods and Models at ERGO Insurance Group, Germany. In particular, he and his team are giving quantitative support for ALM / strategic asset allocation and are in charge of many aspects of asset modeling with respect to valuation and risk management. Ingo is a member of the German Actuarial Association (DAV) and CFA chartholder. He holds a PhD in mathematics from Albert Ludwigs Universität Freiburg. Ingo’s areas of expertise include Value-Based Management, Risk Management and particularly Asset Liability Management. He worked for many years in actuarial teams (product development, valuation, actuarial steering) and later in strategic asset allocation functions.
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.
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. From 2011to 2015 Frank Schiller was Chief Risk Officer for Swiss Life, first in Switzerland and later in Germany. Since 2015 he took over the role as Chief Pricing Officer for Life and Health reinsurance at MunichRe for Europe, Latin America and Middle East.
Viktor TurovViktor Turov studied Mathematics in Hannover. Since 2017 he works for Talanx Holding in Hannover, where he heads the group Risk Aggregation within Group Risk Management. . He started his career in 2008 in the actuarial department at HDI Global SE in Hannover. From 2015 to 2017 Viktor Turov worked for KPMG as risk management consultant. Furthermore he is a member of DAV and a member of several DAV working groups.
Venue & Accommodation
The seminar will take place at the hotel
ILUNION Pío XIIAvenida Pío XII 7728016 Madrid, SpainPhone: +34 913 87 62 00www.ilunionpioxii.com
We have arranged special prices for accommodation. A single room costs 105 € per night, including breakfast, excl. 10% VAT. This price is valid for bookings out of our allotment "EAA Seminar" until 25 August 2018. Please book your accommodation directly with the hotel by sending an email to firstname.lastname@example.org. 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.