Michael Leitschkis is a Principal with Milliman. Michael has been dealing with various ESG aspects for about 10 years in the context of MCEV and Solvency II, including credit risk modelling and proxy modelling techniques such as Least Squares Monte Carlo. He has been part of the German Actuarial Society (DAV) working party dedicated to Economic Scenario Generators and taught Financial Mathematics at the University of Cologne.
Russell Ward is a Principal with Milliman, focusing on capital modelling, guarantee product development and ALM all of which involve the use of ESGs. Prior to joining Milliman, Russell headed Ernst & Young’s actuarial modelling services for Europe leading implementation of stochastic asset-liability models and the review of ESGs for some of the firm’s audit clients. While on secondment to the FSA, Russell played a key role in the development of the regulator’s approach to the review of risk-based capital under the Individual Capital Assessment (ICA) regime.
Mario Zacharias is a Consultant at the Düsseldorf office of Milliman. He specializes in market risk modelling of life insurance companies and assists his Clients with the implementation and validation of valuation and real-world models for market risk factors and their aggregation, as well as with the application of Least Squares Monte Carlo (LSMC) proxy models in the context of Internal Models under Solvency II.