13/14 Oct 2014 in Budapest
Model Validation under Solvency II
Organised by the EAA - European Actuarial Academy GmbH.
The analysis and validation whether the standard formula under Solvency II is appropriate for a company and its risk exposure and structure is a particularly exciting challenge actuaries are facing with the introduction of Solvency II. Using concrete examples from the context of Solvency II we will introduce various validation techniques and procedures which can be applied to both, the Solvency II standard formula and more sophisticated internal model aspects.
The seminar targets actuaries and non-actuaries who work in the field of life insurance and want to get an introduction to and overview of best-practice validation techniques for standard formula and internal model calculations under Solvency II. It aims at giving a first introduction to the topic of model validation in the context of Solvency II and will be particularly relevant for an audience with basic knowledge of the standard formula (for life insurers).
Attendees are encouraged to bring a laptop computer with Microsoft Excel installed.
Purpose and Nature
Dr. Mario Hoerig and Dr. Lars Hoffmann serve as Practice Leader at Milliman’s Duesseldorf office.
Mario advises his Clients on various Internal Model implementation and validation topics involving proxy modelling techniques (such as Least Squares Monte Carlo or Replicating Portfolios), modelling of risk factors, validation of economic scenario generators and asset pricing. He is a member of the German actuarial society (DAV) and member of the DAV working party dedicated to the capital market scenario calibration in the context of the Solvency II standard formula.
Lars advises his Clients on all different aspects of stochastic models (implementation, validation, industrialization) for MCEV, Solvency II and SST. Lars is a member of the DAV and teaches a course in financial mathematics at the University of Cologne.
Venue & Accommodation
The seminar will take place at the hotel
Eurostars Budapest CenterKossuth Lajos utca, 7-9, 1053 Budapest, HungaryPhone: +36 1 328 5202Fax: +36 1 268 0001www.eurostarsbudapestcenter.com
We arranged special prices for accommodation. The special price is 79 € per night for a single room, including breakfast and taxes. It is valid for bookings by 14 September 2014 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel, and note the hotel’s cancellation policy.
SUPERIOR Sponsor of the Seminar