4/5 Nov 2014 in Amsterdam
Market Valuation Methods for Life Insurance
Organised by the EAA - European Actuarial Academy GmbH in co-operation with the Dutch Actuarieel Instituut (AI).
In the context of IFRS norms, Embedded Value principles or Solvency II requirements, modern valuation of life and pension contingencies is a crucial point. Instead of using classical and static tools for estimating liabilities (classical and deterministic first actuarial order basis), market consistent principles are to be used. In particular, options embedded in the products must be considered and are of first importance. But unfortunately, market prices are generally not observable for insurance products and life options. As a consequence, we have to adapt the marked to market approach relevant in modern finance and move to a marked to model technique with the main constraint of staying nevertheless as consistent as possible with market principles.
The seminar is specially developed for life actuaries or statisticians working in product development or risk management departments. A practice of life insurance products and principles as well as a basic knowledge of options and stochastic finance are recommended.
Attendees are encouraged to bring a laptop computer with Microsoft Excel installed.
Purpose and Nature
The purpose of the seminar is to present basic principles of such modern valuation methods especially designed for life insurance trying to answer these questions:
• How to apply the valuation techniques of modern financial economics to life insurance? • How to compare classical pricing of life insurance with market valuation?• How to look at a life insurance product in terms of embedded options?• What are the specificities of the different valuation framework (IFRS, Solvency II, MCEV) regarding valuation?
The seminar will alternate between methodological concepts, practical examples and case studies (Excel) in order to ensure a comprehensive understanding of the techniques.
Pierre Devolder (Reacfin/UCL)Pierre Devolder holds a MSc. and PhD in Mathematics, as well as an MSc. in Actuarial Sciences. Besides being an active member of the Institute of Actuaries in Belgium (IA|BE) and a member of the Insurance Commission, he is also a professor at the University of Louvain (UCL) and president of the actuarial consulting company Reacfin s.a. (Louvain, Belgium). He is deputy chairman of the section AFIR of the I.A.A. His activities and research are focused on quantitative finance and pension theory, which he teaches at the Universities of Louvain (UCL), Strasbourg and Rabat. He has published various books in the actuarial field and is the author of many highly awarded articles by the leading actuarial society. In the past, Pierre worked for AXA Belgium, where he was a board member. He was also an expert appointed by the Belgian Minister of the Self-employed, SMEs and Agriculture. He is now member of the commission of experts appointed by the Belgian government for the pension reform.
Aurélie Miller (Reacfin)Aurélie holds a Master of Business Engineer from the Solvay Business School of Brussels (ULB) and a Master in Actuarial Sciences from the University of Louvain (UCL). She won the IA|BE thesis price in 2006 and was finalist of SCOR price 2007. She worked as PhD student in actuarial sciences at UCL and as assistant of Mathematics at ULB. Aurélie worked for 4 years as head of Non-Life Assets & Liabilities Modeling and Risk Management for Generali Belgium where she was responsible of the development of a Non-Life ALM model and of Solvency II activities (economic capital calculation, value calculation, validations activities…). She was also involved in other projects such as the improvement of the Life ALM tool and in the creation of a business plan for online sales. In 2013, Aurélie joined Reacfin as senior consultant for missions in the Non-Life, Life and Health and ORSA domains. Aurélie is a full member of the Institute of Actuaries in Belgium (IA|BE), where she holds the position of member of the non-life working group, as well as member of the education committee. She is also member of the board of ASALv (association of the alumni of actuarial science of Louvain-La-Neuve).
Venue & Accommodation
The seminar will take place at the hotel
Golden Tulip Amsterdam WestMolenwerf 1, 1014 AG Amsterdam, The NetherlandsPhone: +31 20 262 92 63Fax: +31 84 870 07 01www.goldentulipamsterdamwest.com
We have arranged special prices for accommodation. The special price is 95 € per night for a single room, including breakfast and taxes (excl. 5.5% city tax). It is valid for bookings by 6 October 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.