Programme

SEMINAR

21 - 23 Sep 2015 in Brussels

Stochastic Modeling - Theory and Reality from an Actuarial Perspective

Monday, 21 September 2015

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
18:30 Joint Dinner (approx.)

Tuesday, 22 September 2015

Life Session (Eileen Burns/Andrew Dalton/David Wang)
08:45 Opening of day 2
08:45 - 10:45 Theoretical background of Mortality models
- Introduction to Mortality models
- Case Study 1: Mortality
10:45 - 11:00 Coffe Break
11:00 - 12:45 Theoretical background on Lapse models
- Introduction to Lapse models
- Case Study 2: Lapse
12:45 - 13:45 Lunch
13:45 - 15:00 Case Study 3: Dynamic Policyholder Behaviour
15:00 - 15:15 Coffee Break
15:15 - 16:45 Case Study 4: Perspectives on Economic Capital
Non-Life Session (Jeff Courchene/Mark Shapland)
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, 23 September 2015

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 (Jeff Courchene/Mark Shapland)
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 (Kurt Lambrechts)
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

4.13 of 5 Points

Venue & Accommodation

The seminar will take place at the hotel

HOTEL MARIVAUX BRUSSELS
Boulevard Adolphe Max 98
1000 Brussels, Belgium
Phone: +32 2 2270300 | www.hotelmarivaux.be

We arranged special prices for accommodation. The special price is 85 € (Sunday) and 135 € (Monday, Tuesday) per night, including breakfast and VAT. It is valid for bookings by 23 August 2015 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel, and note the hotel’s cancellation policy.

Gallery

Sponsor

Sponsor of the Seminar

Partner

Partner of the Seminar