Organised by the EAA - European Actuarial Academy GmbH.

Discount rates can have a material impact on the financial statements of insurance companies or pension plan sponsors. It is, therefore, perhaps not surprising that a diversity of viewpoints and practices with respect to discount rates has developed across region and practice area. Adding to the complexity, capital market conditions, which can impact upon the selected discount rate(s), can vary significantly from one country to another. They can also change quickly or dramatically with the passage of time.

This seminar is based on the book “Discount Rates in Financial Reporting: A Practical Guide” (copyright © 2013 International Actuarial Association) which intends to provide actuaries practicing in the insurance or pension fields with a comprehensive resource related to the understanding, development, and use of discount rates in the context of financial reporting.

The seminar is suited for actuaries, actuarial students and other professionals involved and interested in actuarial modeling in life.

Attendees are encouraged to bring a laptop computer with Microsoft Excel installed.

The seminar will cover a wide range of topics presented in the book “Discount Rates in Financial Reporting: A Practical Guide”. The first day of the seminar will provide an introduction to discount rates, background on discounting, and the purpose of discounting. The day will continue with a more in-depth look at discount rates and yield curves including: the choice of a risk-free rate, yield curve interpolation and extrapolation, and discount rate decomposition.

The second day will focus on practical applications of discount rates and interest rate models. The morning of the second day will cover three case studies based on the book, “Discount Rates in Financial Reporting: A Practical Guide.” The afternoon of the second day will present a technical treatment of economic scenario generators and interest rate models, including several Excel examples designed to reinforce the concepts.

All participants will receive a copy of the book “Discount Rates in Financial Reporting: A Practical Guide” which is produced by the International Actuarial Association (IAA) in collaboration with Milliman. A guide for practitioners interested in understanding this important topic, this book presents the mathematical and statistical framework necessary to develop and analyze discount rates in the context of financial reporting. Sufficient mathematical detail is presented but no advanced background in mathematics or statistics is required.

Andrew H. Dalton
Is a Principal and Actuary in Milliman’s Philadelphia office and a primary author contributing to Life sections of the book “Discount Rates in Financial Reporting: A Practical Guide”. Andrew’s professional experience includes work on actuarial appraisals for mergers and acquisitions, asset and liability analysis, cash flow testing, and economic capital for life and health insurance companies. Andrew is a Fellow of the Society of Actuaries and a Member of the American Academy of Actuaries. He holds a Masters Degree in Business Administration, concentrating in Finance and Statistics, from the Leonard N. Stern School of Business of New York University.

Grzegorz Darkiewicz-Moniuszko
Grzegorz is a consultant with the Warsaw office of Milliman. His expertise includes risk management and Solvency II, market consistent embedded value, asset-liability management, replicating portfolios, economic scenarios, and interest rate modeling. Grzegorz has an MSc in Mathematics from the University of Poland, Warsaw, and a PhD in Applied Economics from the Catholic University of Leuven, Belgium.

Jeremy Kent
Jeremy is a Principal and Consulting Actuary with the Milan office of Milliman. His experience includes advice on economic capital, including Solvency II, actuarial modeling, asset-liability management, financial reporting, product development, and mergers and acquistions. Jeremy is a Fellow of the Institute of Actuaries in the UK. Jeremy holds a MA in Mathematics from Cambridge University.

Philip Simpson
Philip is a Principal and Consulting Actuary in the London office of Milliman and a primary author contributing to Life sections of the book “Discount Rates in Financial Reporting: A Practical Guide”. Phil’s consulting assignments include mergers and acquisitions, company restructurings, new company launches, product design and pricing, and financial reporting. Philip is a Fellow of the Institute of Actuaries in the UK, an Associate of the Society of Actuaries, and a Fellow of the Society of Actuaries in Ireland. He holds a BSc in Mathematics and Theoretical Physics from St. Andrews University, Scotland and an MBA from the Edinburgh Business School, specializing in financial risk management.