27/28 Oct 2014 in Zurich
Discount Rates in Financial Reporting: A Practical Guide
Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Schweizerische Aktuarvereinigung.
Discount rates can have a material impact on the financial statements of insurance companies and pension plan sponsors. It is, therefore, not surprising that a diversity of viewpoints and practices with respect to discount rates has developed across regions and practice areas. Adding to that diversity, capital market conditions, which can have an impact on the selected discount rate(s), can vary significantly from one country to another. They can also change quickly and vary dramatically over 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 will cover topics beyond those addressed in the textbook. Advanced methods will be presented, together with applications. Participants may expect to discuss practical applications and European case studies not directly discussed in the textbook.
The seminar is suited for actuaries, actuarial students and other professionals involved and interested in actuarial modeling in life insurance and pensions.
Attendees are encouraged to bring a laptop computer with Microsoft Excel Solver installed.
Purpose and Nature
This seminar is based on the book “Discount Rates in Financial Reporting: A Practical Guide” (copyright © 2013 International Actuarial Association), but will also cover topics beyond those addressed in the textbook. Advanced methods will be presented, together with applications. Participants may expect to discuss practical applications and European case studies not directly discussed in the textbook.
The first day of the seminar will provide an introduction to discount rates, background on discounting, and the purposes 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 focus on the technical aspects of economic scenario generators and will explore their use in pricing/valuation through the use of case study format. Participants will also work on a case study exploring the use of economic scenarios in yield curve extrapolation, and the implications of various models. The day will continue with several case studies involving replicating portfolios, IFRS accounting for changes in discount rates, and a pension (IAS 19) example.
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. All participants will receive an e-book-copy of the book before the seminar.
Andrew H. DaltonAndrew 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.
Jeremy KentJeremy 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 SimpsonPhilip 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.
Dr Urs BarmettlerUrs Barmettler is a Principal and Actuary in the Zurich practice of Allea AG. Urs has worked in pensions for over 15 years. He is involved in all aspects of design, financial and consulting advice in relation to pension schemes, and has particular expertise in relation to international benefit accounting issues and mergers and acquisitions. Urs is a board member of the Swiss actuarial society and he is also representing the Society on the Pensions & Employee Benefit Committee of the IAA. He is a member of the IAS 19 working group of the Swiss chamber of pension actuaries and the enlarged working group of the chamber of auditors. Before he started his career as a pension consultant, Urs was involved in research in pure mathematics, differential geometry, at the Ecole Polytechnique in Paris. He has a PhD in Mathematics Federal Institute of Technology.
Venue & Accommodation
The seminar will take place at the hotel
Holiday Inn Zürich MesseWallisellenstrasse 48, 8050 Zurich, SwitzerlandPhone: +41 41 443 16 11Fax: +41 44 316 11 01www.holidayinn.com/zurichmesse
We have arranged special prices for accommodation: A single room costs CHF 260 per night incl. breakfast and VAT. This price is valid for bookings out of our allotment “EAA Seminar” until 28 September 2014. Please book your accommodation directly with the hotel. Kindly book early, as our allotment includes a limited number of rooms, and note the hotel’s cancellation policy.
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Partner of the Seminar