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SEMINAR

29 Sep - 1 Oct 2014 in Milan

Stochastic Modeling – Theory and Reality from an Actuarial Perspective

Monday, 29 September 2014

  1. Joint Session (Andrew Dalton)
  2. 12:00 - 12:15 Registration
  3. 12:15 - 13:00 Lunch
  4. 13:00 - 13:15 Welcome and opening (EAA)
  5. 13:15 - 15:00 Introduction to Stochastic Modeling – when should it be used?
  6. - Technical Background for Stochastic Modeling:
  7. - Stochastic Techniques
  8. - Monte Carlo Simulation
  9. - Binomial Models
  10. 15:00 - 15:15 Coffe Break
  11. 15:15 - 17:00 Stochastic Pricing Case Study
  12. - Selection of model assumptions
  13. - Calibrating the model
  14. - Generating the scenarios
  15. - Developing projection output
  16. - Pricing the product
  17. - Participants will work on Excel-based examples
  18. 19:00 Joint Dinner (approx.)

Tuesday, 30 September 2014

  1. Life Session (Andrew Dalton/Florian Ketterer)
  2. 08:45 Opening of day 2
  3. 08:45 - 10:45 Theoretical background of Mortality models
  4. - Introduction to Mortality models
  5. - Case Study 1: Mortality
  6. - Theoretical background on Lapse models
  7. - Introduction to Lapse models
  8. - Case Study 2: Lapse
  9. 10:45 - 11:00 Coffe Break
  10. 11:00 - 12:45 Case Studies
  11. - Case Study 3: Dynamic Policyholder Behavior
  12. - Case Study 4: Perspectives on Economic Capital
  13. 12:45 - 13:45 Lunch
  14. 13:45 - 15:00 Introduction to Risk Aggregation Techniques in the Solvency II Context
  15. - Modern Approach: Least Squares Monte Carlo (LSMC)
  16. - General Introduction
  17. - Fitting of Polynomial Liability Function
  18. - Validation of Results
  19. 15:00 - 15:15 Coffee Break
  20. 15:15 - 16:45 Case Study 5: Economic Capital via Least Squares Monte Carlo
  21. - Application of LSMC to a Stochastic Model
  22. - Choice of Risk Drivers
  23. - Interpretation of Risk Dependencies: Interest Rates vs. Lapses
  24. - Evaluation of Probability Distributions
  25. - Comparison to Standard Formula
  26. Non-Life Session (Nicola Biscaglia/Matthew G. Killough)
  27. 08:45 Opening of day 2
  28. 08:45 - 10:45 Introduction to Non-Life Stochastic Models
  29. - Non-Life Claims Models
  30. - Triangle-based Models
  31. - Frequency/Severity Models
  32. - Catastrophe Models
  33. - Non-Life Financial Models
  34. - Non-Life Dynamic Risk Models
  35. 10:45 - 11:00 Coffe Break
  36. 11:00 - 12:45 A Deeper Look / Hands On Approach (ODP Bootstrap)
  37. 12:45 - 13:45 Lunch
  38. 13:45 - 15:00 Applications of Stochastic Modeling (Non-Life Insurance)
  39. - Case Study 1: (Reserve Variability)
  40. 15:00 - 15:15 Coffee Break
  41. 15:15 - 16:45 Applications of Stochastic Modeling (Non-Life Insurance)
  42. - Case Study 2: (GLM Bootstrap)
  43. - Case Study 3: (Solvency II)
  44. 17:30 Social Event (approx.)

Wednesday, 01 October 2014

  1. Life Session (Grzegorz Darkiewicz-Moniuszko)
  2. 08:45 Opening of day 3
  3. 08:45 - 10:15 Risk Neutral Economic Scenario Generators: introduction to the concepts and notations
  4. 10:15 - 10:30 Coffee Break
  5. 10:30 - 12:00 Dynamics and calibration of interest rate models Excel examples
  6. 12:00 - 13:00 Lunch
  7. Non-Life Session (Nicola Biscaglia/Matthew G. Killough)
  8. 08:45 Opening of day 3
  9. 08:45 - 10:15 Applications of Stochastic Modeling (Non-Life Insurance)
  10. - Case Study 4 (Back-testing and Validation)
  11. 10:15 - 10:30 Coffee Break
  12. 10:30 - 12:00 Applications of Stochastic Modeling (Non-Life Insurance)
  13. Case Study 5 (Predictive Modeling & Pricing)
  14. 12:00 - 13:00 Lunch
  15. Joint Session (Ed Morgan)
  16. 13:00 - 14:45 Life/Non-Life Case Study focusing on senior management perspective
  17. 14:45 - 15:00 Concluding remarks, closing of seminar (EAA)
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Venue & Accommodation

The seminar will take place at the

DoubleTree by Hilton Hotel Milan
Via Ludovico di Breme 77, 20156 Milan, Italy
Tel.: +39 02 928831
Fax: +39 02 92883883
Hotel website

We have arranged special prices for accommodation: A single room costs € 125.00 per night incl. breakfast and VAT (excl. € 5.00 city tax per person and night). This price is valid for bookings out of our allotment “EAA Seminar” until 31 August 2014. 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.

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Fax: +49 221 912554-9340
contact@actuarial-academy.com
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