Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Istituto Italiano degli Attuari.

As recently as the mid-1990s, most models used in financial analysis of insurance were deterministic. Based on sets of static parameters and assumptions, these models largely ignored random fluctuations that were likely to occur. Sensitivity analyses were performed but were generally limited to a fixed number of defined scenarios. This deterministic approach is rapidly being replaced by stochastic modeling that can better inform insurers on pricing, financial planning, and capital assessment strategies. Huge advancements in computing power have made it possible for actuaries and financial planners to better understand the increasingly complex risk profiles of insurers’ evolving product design.

This seminar is based on the book “Stochastic Modeling – Theory and Reality from an Actuarial Perspective” (copyright © 2010 International Actuarial Association) which intends to provide actuaries with a comprehensive resource that details current stochastic methods, provides background on the stochastic technique as well as their advantages and disadvantages.

The seminar is suited for actuaries, actuarial students and other professionals involved and interested in actuarial modeling in life and non-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 “Stochastic Modeling – Theory and Reality from an Actuarial Perspective”. The first day of the seminar will focus on risk management and actuarial modeling issues. The day will start with an introduction to stochastic modeling, including a practical discussion of when stochastic models are appropriate or necessary and when they may not be. The day continues with a case study designed to be of interest to actuaries in all practice areas.

The second day (and the morning of the third day) of the seminar will be split into two separate sessions, one that will focus on life actuarial issues and the other will focus on non-life actuarial issues. In the life session, the lecturers will present stochastic models for interest rates, mortality, and morbidity, among other risk factors, and will demonstrate how these models can be developed, calibrated, implemented and reviewed. This will also involve detailed case studies illustrating the use of stochastic models in life insurance business.

In the non-life sessions, the lecturers will present an overview of stochastic models, including triangle based, frequency / severity, catastrophe financial and dynamic risk models, and will demonstrate how these models can be developed, calibrated, implemented and reviewed. Building on this overview, the lecturers will then take you through a deeper look at the Mack and ODP Bootstrap models and discuss the calculation of one-year reserving risk. As with the life session, the early sessions will focus on the technical aspects of stochastic models and the later sessions will be a case study format intended to demonstrate the practical application of these models.

The third day will continue the separate life and non-life sessions in the first session. In the second session, we will again have a joint session to discuss a concluding case study.

All participants will receive a copy of the book “Stochastic Modeling – Theory and Reality from an Actuarial Perspective” which is presented by the International Actuarial Association (IAA) in collaboration with Milliman. A guide for practitioners interested in understanding this important emerging field, this book presents the mathematical and statistical framework necessary to develop stochastic models in any setting (insurance or otherwise). Sufficient mathematical detail is presented but no advanced background in mathematics or statistics is required.

Andrew H. Dalton
Andrew is a Principal and Consulting Actuary in Milliman’s Philadelphia office and a primary author contributing to Life sections of the book “Stochastic Modeling – Theory and Reality from an Actuarial Perspective”. 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 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.

Nicola Biscaglia
Nicola is a Consulting Actuary in Milliman’s Milan office and he is the practice leader non-life in Italy & CEE. Nicola’s areas of expertise are Solvency II, Pricing (personal and commercial lines), Reserving, Risk Management, Economic Capital and Mergers & Acquisitions. He has a large experience in MTPL pricing and ratemaking process in particular with GLMs and predictive analytics. Nicola has been the project manager for several motor pricing projects and reserving projects using deterministic and stochastic models. He also has extensive experience in M&A projects leading the review of reserves in various European countries, including Italy, Slovenia, Turkey and Portugal. Nicola has also held the role of appointed actuary. Nicola is a Fellow of the Italian Actuarial Association (ONA) and member of Italian Actuarial Association (IIA).

Matthew G. Killough
Matt is a Principal and Consulting Actuary in Milliman’s Boston office.  He holds a PhD in mathematics from the Courant Institute of Mathematical Sciences at New York University and worked for several years as a mathematics professor at the University of Minnesota and Bowdoin College.  His academic areas of expertise include mathematical modeling, scientific computing, and numerical analysis.  Since joining the actuarial profession, Matt has provided consulting services to a broad range of clients that include self-insured corporations and captive insurance companies as well as traditional non-life insurers and insurance regulators.  His areas of particular professional expertise include reserving, economic capital modeling, and risk transfer analyses.  He also contributed to the development and testing of the stochastic reserving tools included within Arius™, Milliman’s property/casualty loss reserving software.  Matt is a Fellow of the Casualty Actuarial Society and a Member of the American Academy of Actuaries.

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. 

Florian Ketterer
Florian graduated in mathematics from the University of Karlsruhe and got his PhD from the University of Marburg. He began his career at Generali Germany, where he worked on stochastic modeling. After 2 years at Generali, he moved to Milliman Dusseldorf. Florian consults his clients on Least Squares Monte Carlo, Replicating Portfolios and Prophet model implementation work such as asset modeling or liability tariff options.

Ed Morgan