Programme

SEMINAR

17 - 19 Sep 2018 in Lisbon

Stochastic Modeling – Theory and Reality from an Actuarial Perspective

Monday, 17 September 2018

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 Dinner (approx.)

Tuesday, 18 September 2018

Life Session
Andrew Dalton, Dominic Clark
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
Jeffrey 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, 19 September 2018

Life Session
Josh Dobiac
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
Jeffrey 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
TBD
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

4.38 of 5 Points

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.

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