18 - 22 Sep 2017 in Vienna

CERA, Module B: Taxonomy, Modelling and Mitigation of Risks

CERA Education.

Over the last decade, the concept of Enterprise Risk Management (ERM) has gained significant momentum in the insurance industry and beyond. This came with the recognition of risk as being something not per se to be avoided, but to be optimally exploited in the frame of a company’s risk appetite. ERM is going beyond traditional risk management in that it is holistic, and encompasses strategic risk management as well as risk culture.

Many of these developments are reflected in regulatory changes, such as Solvency II (although these focus on policyholder protection and less on opportunities). Solvency II requires an actuarial and a risk management function in all (re-)insurance undertakings. Actuaries should see this as an opportunity to broaden their role, and to show that they are ideally equipped to carry out these tasks.

Against this backdrop, in November 2009, several actuarial associations launched the CERA credential as a global risk management designation for actuaries. CERA pursues the following goals:

  • Strengthen international recognition of the actuarial profession’s enterprise risk management (ERM) expertise
  • Promote the development of more actuaries internationally with training in ERM
  • Present new opportunities for actuaries worldwide to use their expertise in an expanding range of areas
  • Send a strong message to employers and candidates that the skill set of actuaries offers significant risk management expertise

Based on the 2011-implemented education und examination system of the German Actuarial Association, the EAA offers a series of training courses and exams (through DAV) to study for the CERA designation to all actuaries who want to deepen their knowledge in Enterprise Risk Management.

By passing this training and examination course, members of the German Actuarial Association gain their CERA designation. Members of other national actuarial associations have to get in touch with their association to check the possibilities to use the EAA route.

The Seminar ‘Taxonomy, Modelling and Mitigation of Risks’

The seminar focuses on quantitative analyses of financial and non-financial risks of an insurance company and the effect and possible applications of risk mitigation techniques. After an introduction to the economic valuation of an insurance company, including stochastic valuation models and approximation techniques for life companies, and the building blocks of its economic balance sheet, the risk measure as well as the relevant regulatory requirements of Solvency II will be discussed. Different concepts of risk modelling covering from standard formula to fully internal models will be presented.

After a deep-dive into the risk classification, strategic, reputation and operational risks are dealt with. Afterwards methods for modelling market, credit and underwriting risks will be presented in detail. The discussion of each risk starts with its definition, how it can be identified and distinguished from other risks, and its classification according to SII. The taxonomy is followed by qualitative and quantitative valuation approaches - including scenario analyses, stress tests, deterministic and stochastic assessments, and quantifications according to the standard formula and an internal model. Furthermore, crucial aspects of any model such as assumptions, distributions, calibration and validation are discussed, as well as limitations and criteria for the adequacy of a model for solving a given problem.

Having introduced and discussed the risk modelling, tools and techniques will be discussed that are available in the insurance business to mitigate these risks. That includes the discussion around the implications of reinsurance and securitisation as well as portfolio managemetn. We will also present what life insurance companies subject to traditional with profit business can do to hedge their main risks.

Both elements, risk modelling and measurement as well as risk mitigation, are closely related and interact with each other, what will be reflected in the topics presented and the structure of the seminar.

The consolidated view on risks in a company and an outlook on Group models close the course.

The course has been designed for experienced practitioners who use model results in practice and seek guidance for management decisions. Therefore, the focus is not on technical details but on the understanding of risk models and their results, and on the derivation of management actions. Consequently, examples and case studies are a core component of the seminar.


The seminar is open to all persons who are interested in obtaining comprehensive skills on Enterprise Risk Management. The understanding of the business model of an insurance company (life and non-life) is a prerequisite that participants should be aware of. Basic knowledge of deterministic and stochastic valuation models as well as value based management is recommended.

During this seminar, you will not need your laptop.

Purpose and Nature

This seminar is one part in a course that consists of four modules. They can be booked as a whole series to fulfil the requirements for receiving the CERA designation, or individually as CPD training. Written exams on the course are offered subsequently.

Please contact your actuarial association regarding the recognition of the seminars and the exams. The national association has to be at least Acceding Party of the CERA Global Association so that an actuary who passes this course may receive the CERA credential. Please visit www.ceraglobal.org to get information if your association is entitled to issue the CERA designation.

Recommended Literature
Course material will be distributed by the EAA.


The language of the seminar will be English. The exam will be, as per your preference, in German or English (to be chosen onsite).


Dr Guido Bader
Guido Bader studied Mathematics at the University of Karlsruhe (Germany). From September 2001 to August 2009 he worked for Gothaer Insurance Group in different positions. Since September 2009 he works for Stuttgarter Insurance Group, since April 2010 as member of the Management Board. There he is responsible for Life Business. Guido Bader is a member of the Board of the German Actuarial Association (DAV) and chaired the Investment Committee. He now chairs the working group Enterprise Risk Management and the working group which is responsible for the German CERA qualification.

Wolfgang Baumann
Wolfgang Baumann studied Mathematics at Karlsruhe University. Since 2008 he works for Willis Towers Watson in the Risk Consulting and Software Business. Career steps prior to this contain Morgan Stanley, Towers Perrin and Credit Suisse. He holds lectures for the DAA since the inception of the German CERA program.

Prof Dr Hubert Bornhorn
Hubert Borthorn is a Professor for mathematics and statistics at the Faculty of Business at Dortmund University of Applied Sciences and Arts. He is a member of the German Actuarial Association (DAV). Hubert studied mathematics in Münster and Oxford and holds a Ph.D. and a master’s degree in mathematics from WWU Münster. Hubert’s areas of expertise include Financial Risk Management, Asset Management for insurance companies and Actuarial Mathematics. Before attaining his current position he worked almost 10 years for a life insurance company.

Dr Steve Brüske
Dr Steve Brüske studied Mathematics and made his PhD in Münster. He has been working as an actuary at HDI Global SE in Hanover since 2007, where he is responsible for creating the internal models. Since 2012 Dr Brüske has been a member of the DAV and the DAV Working Group "Internal Models". As a lecturer for DAA, he is involved in the basic knowledge "modeling" and CERA "Classification and Modeling of Risks" (Module B).

Dr Nora Gürtler
Nora Gürtler is a member of the Management Board of Generali Deutschland Group. She is the CRO of Generali Deutschland and heads the Enterprise Risk Management since 2011. Between 2003 and 2011 she was responsible for non-life DFA models, Embedded Value calculations, Economic Balance Sheet valuations and the related value based management. Nora Gürtler studied Mathematics at the University of Karlsruhe (Germany) and at École Normale Supérieure at Lyon (France) and graduated in Mathematical Statistics before joining Tillinghast’s non-life team. She is a qualified actuary (Aktuar DAV) and CERA.

Dr Peter Henseler
Peter Henseler studied Physics at Bonn University. Since 2012 he works for Generali Deutschland Group. He heads the group Financial Risk Methodology within the Enterprise Risk Management, after having started his career in 2010 in the actuarial department of Zurich Deutscher Herold Lebensversicherung AG. He is a qualified actuary and a member of the German Actuarial Association (DAV) since 2014.

Michael Klüttgens
Michael is a Director at Towers Watson and is leading its insurance consulting activities in Germany. Michael is a member of the German Actuarial Association (DAV) and a member of the Pillar I Life working group of the AAE. Michael holds a master’s degree in mathematics from RWTH Aachen. He attained the CERA credential in 2013. Michael’s areas of expertise include Risk Management, Financial Reporting, M&A and Value-Based Management. He has led many QIS related projects in Europe, including the QIS3/4 Benchmarking study for the CRO Forum, and also worked several years in the Towers Watson team at Insurance Europe in Brussels. He has worked on group wide risk management function/ORSA implementation assignments. Michael has worked on several internal model review and implementation projects. He holds the Appointed Actuary Function for a Swiss client Michael performed multiple M&A assignments in the Nordics and CEE.

Dr Ingo Kraus
Ingo is Head of ALM / Quantitative Methods and Models at ERGO Insurance Group, Germany. In particular, he and his team are giving quantitative support for ALM / strategic asset allocation and are in charge of many aspects of asset modeling with respect to valuation and risk management. Ingo is a member of the German Actuarial Association (DAV) and CFA chartholder. He holds a PhD in mathematics from Albert Ludwigs Universität Freiburg. Ingo’s areas of expertise include Value-Based Management, Risk Management and particularly Asset Liability Management. He worked for many years in actuarial teams (product development, valuation, actuarial steering) and later in strategic asset allocation functions.

Dr Michael Leitschkis
Michael Leitschkis studied Mathematics in Cologne and Philadelphia. Since 2012, he works for Milliman, where he is Principal in the Life Technology Solutions practice. Before this he worked at Generali Deutschland Group as Head of Actuarial Modelling for almost five years. He started his career at B&W Deloitte in Cologne. Michael Leitschkis is member of the German Actuarial Association (DAV) and CERA. He has delivered a number of talks and lectures on various topics of risk modeling and risk management.

Dr Frank Schiller
Frank Schiller has a PhD in Mathematics and is a qualified actuary. He has been working in insurance since 2001, starting his career as an Actuarial Consultant for the former KarstadtQuelle Versicherung Fürth (now ERGO Direkt) and in 2005 he became Risk Manager at Munich Re. From 2008 Frank Schiller was in charge of the Centre of Competence Direct Insurance Life at Munich Re and, together with his team, supported primary insurers with topics such as biometric portfolio analysis, risk management and product development. From 2011to 2015 Frank Schiller was Chief Risk Officer for Swiss Life, first in Switzerland and later in Germany. Since 2015 he took over the role as Chief Pricing Office for Life and Health reinsurance at MunichRe for Europe, Latin America and Middle East.

Viktor Turov
Viktor Turov studied Mathematics in Hannover. Since 2014 he works for KPMG as a risk management consultant. He started his career in 2008 at Talanx Holding in Hannover. Furthermore he is a member of DAV/DGVFM working group “Capital Management”.

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Venue & Accommodation

The seminar will take place at the

Seminarhotel Springer-Schlössl
Tivoligasse 73
1120 Vienna, Austria
Phone: +43 1 813392935

We have arranged special prices for accommodation. A single room costs 85 € per night, including breakfast, VAT and city tax. This price is valid for bookings out of our allotment "EAA Seminar" until 27 August 2017. 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.