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SEMINAR

17 - 19 Sep 2018 in Lisbon

Stochastic Modeling – Theory and Reality from an Actuarial Perspective

Monday, 17 September 2018

  1. Joint Session
  2. Andrew Dalton
  3. 12:00 - 12:15 Registration
  4. 12:15 - 13:00 Lunch
  5. 13:00 - 13:15 Welcome and opening (EAA)
  6. 13:15 - 15:00 Introduction to Stochastic Modeling – when should it be used?
  7. Technical Background for Stochastic Modeling:
  8. Stochastic Techniques
  9. Monte Carlo Simulation
  10. Binomial Models
  11. 15:00 - 15:15 Coffe Break
  12. 15:15 - 17:00 Stochastic Pricing Case Study
  13. Selection of model assumptions
  14. Calibrating the model
  15. Generating the scenarios
  16. Developing projection output
  17. Pricing the product
  18. Participants will work on Excel-based examples
  19. 18:30 Dinner (approx.)

Tuesday, 18 September 2018

  1. Life Session
  2. Andrew Dalton, Dominic Clark
  3. 08:45 Opening of day 2
  4. 08:45 - 10:45 Theoretical background of Mortality models
  5. Introduction to Mortality models
  6. Case Study 1: Mortality
  7. 10:45 - 11:00 Coffe Break
  8. 11:00 - 12:45 Theoretical background on Lapse models
  9. Introduction to Lapse models
  10. Case Study 2: Lapse
  11. 12:45 - 13:45 Lunch
  12. 13:45 - 15:00 Case Study 3: Dynamic Policyholder Behaviour
  13. 15:00 - 15:15 Coffee Break
  14. 15:15 - 16:45 Case Study 4: Perspectives on Economic Capital
  15. Non-Life Session
  16. Jeffrey Courchene, Mark Shapland
  17. 08:45 Opening of day 2
  18. 08:45 - 10:45 Introduction to Non-Life Stochastic Models
  19. Non-Life Claims Models
  20. Triangle-based Models
  21. Frequency/Severity Models
  22. Catastrophe Models
  23. Non-Life Financial Models
  24. Non-Life Dynamic Risk Models
  25. 10:45 - 11:00 Coffe Break
  26. 11:00 - 12:45 A Deeper Look / Hands On Approach (ODP Bootstrap)
  27. 12:45 - 13:45 Lunch
  28. 13:45 - 15:00 Applications of Stochastic Modeling (Non-Life Insurance)
  29. Case Study 1: Reserve Variability
  30. 15:00 - 15:15 Coffee Break
  31. 15:15 - 16:45 Applications of Stochastic Modeling (Non-Life Insurance)
  32. Case Study 2: GLM Bootstrap
  33. Case Study 3: Solvency II
  34. 17:30 Social Event (approx.)

Wednesday, 19 September 2018

  1. Life Session
  2. Josh Dobiac
  3. 08:45 Opening of day 3
  4. 08:45 - 10:15 Risk Neutral Economic Scenario Generators: introduction to the concepts and notations
  5. 10:15 - 10:30 Coffee Break
  6. 10:30 - 12:00 Dynamics and calibration of interest rate models Excel examples
  7. 12:00 - 13:00 Lunch
  8. Non-Life Session
  9. Jeffrey Courchene, Mark Shapland
  10. 08:45 Opening of day 3
  11. 08:45 - 10:15 Applications of Stochastic Modeling (Non-Life Insurance)
  12. Case Study 4: Back-testing and Validation
  13. 10:15 - 10:30 Coffee Break
  14. 10:30 - 12:00 Applications of Stochastic Modeling (Non-Life Insurance)
  15. Case Study 5: Predictive Modeling & Pricing
  16. 12:00 - 13:00 Lunch
  17. Joint Session
  18. TBD
  19. 13:00 - 14:45 Life/Non-Life Case Study focusing on senior management perspective
  20. 14:45 - 15:00 Concluding remarks, closing of seminar (EAA)

Participant Feedback

4.38 of 5 Points
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Venue & Accommodation

The seminar will take place at the hotel

Tivoli Oriente Lisboa Hotel
Av. Dom João II, n.º 27
Parque das Nações
1990-083 Lisbon, Portugal
Phone: +351 218 915 334
hotel website

We have arranged special prices for accommodation. The special rate is 135 € (single), including breakfast and VAT, but excluding city tax. It is valid for bookings by 15 August 2018 out of our allotment “EAA Seminar Lisbon”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel using this booking form and note the hotel’s cancellation policy.

​Sponsor

Sponsor of the Seminar

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