Programme

SEMINAR

8 - 10 May 2019 in Copenhagen

Stochastic Modeling – Theory and Reality from an Actuarial Perspective

Wednesday, 08 May 2019

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.)

Thursday, 09 May 2019

Life Session
Andrew Dalton, Grzegorz Darkiewicz, Dominic Clark
08:45 Opening of day 2
08:45 - 10:45 Theoretical background of Mortality models
Introduction to Mortality models
Case Study 1: Construction of a stochastic mortality model
Theoretical background on lapse models
Introduction to stochastic lapse models
10:45 - 11:00 Coffe Break
11:00 - 12:00 Decision Tree Models for Life & Health Business
Classification and Regression Trees
Random Forests
Case Study 2: Classification Trees and Random Forests
12:00 - 12:45 Introduction to Dynamic Policyholder Behaviour
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 Risk Neutral Economic Scenario Generators: Introduction to the concepts and notations
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.)

Friday, 10 May 2019

Life Session
Grzegorz Darkiewicz-Moniuszko, Steven Hooghwerff, Job Prince
08:45 Opening of day 3
08:45 - 10:15 Dynamics and calibration of interest rate models Excel examples
10:15 - 10:30 Coffee Break
10:30 - 12:00 Introduction to Perspectives on Economic Capital
Case Study 4: Perspectives on Economic Capital
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: Claims Variability Benchmarks
12:00 - 13:00 Lunch
Joint Session
Steven Hooghwerff, Job Prince
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

3.9 of 5 Points

Venue & Accommodation

The seminar will take place at the hotel

Comwell Conference Center Copenhagen
Center Boulevard 5
2300 Copenhagen S, Denmark
Phone: +45 32 47 30 30
hotel website

We have arranged special prices for accommodation at the AC Hotel Bella Sky Copenhagen, Center Boulevard 5, 2300 Copenhagen S, Denmark. The special rate is 1,495 DKK (single room, including breakfast and VAT). It is valid for bookings by 16 April 2019 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel using this booking link and note the hotel’s cancellation policy.

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