Programme

SEMINAR

29 Sep - 1 Oct 2014 in Milan

Stochastic Modeling – Theory and Reality from an Actuarial Perspective

Monday, 29 September 2014

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

Tuesday, 30 September 2014

Life Session (Andrew Dalton/Florian Ketterer)
08:45 Opening of day 2
08:45 - 10:45 Theoretical background of Mortality models
- Introduction to Mortality models
- Case Study 1: Mortality
- Theoretical background on Lapse models
- Introduction to Lapse models
- Case Study 2: Lapse
10:45 - 11:00 Coffe Break
11:00 - 12:45 Case Studies
- Case Study 3: Dynamic Policyholder Behavior
- Case Study 4: Perspectives on Economic Capital
12:45 - 13:45 Lunch
13:45 - 15:00 Introduction to Risk Aggregation Techniques in the Solvency II Context
- Modern Approach: Least Squares Monte Carlo (LSMC)
- General Introduction
- Fitting of Polynomial Liability Function
- Validation of Results
15:00 - 15:15 Coffee Break
15:15 - 16:45 Case Study 5: Economic Capital via Least Squares Monte Carlo
- Application of LSMC to a Stochastic Model
- Choice of Risk Drivers
- Interpretation of Risk Dependencies: Interest Rates vs. Lapses
- Evaluation of Probability Distributions
- Comparison to Standard Formula
Non-Life Session (Nicola Biscaglia/Matthew G. Killough)
08:45 Opening of day 2
08:45 - 10:45 Introduction to Non-Life Stochastic Models
- Non-Life Claims Models
- Triangle-based Models
- Frequency/Severity Models
- Catastrophe Models
- Non-Life Financial Models
- Non-Life Dynamic Risk Models
10:45 - 11:00 Coffe Break
11:00 - 12:45 A Deeper Look / Hands On Approach (ODP Bootstrap)
12:45 - 13:45 Lunch
13:45 - 15:00 Applications of Stochastic Modeling (Non-Life Insurance)
- Case Study 1: (Reserve Variability)
15:00 - 15:15 Coffee Break
15:15 - 16:45 Applications of Stochastic Modeling (Non-Life Insurance)
- Case Study 2: (GLM Bootstrap)
- Case Study 3: (Solvency II)
17:30 Social Event (approx.)

Wednesday, 01 October 2014

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

Seminar Details

Programme

CPD Credits

Participant Feedback

4.2 of 5 Points

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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