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SEMINAR

7/8 Mar 2019 in Vienna

An Introduction to Economic Scenario Generators and their Validation

The Economic Scenario Generators are at the core of stochastic models used by insurance companies. The applications of stochastic models are very diverse and include such applications as economic capital under Solvency II, ALM projections, dynamic hedging etc. All these applications impose different requirements upon the generation and the validation of economic scenarios.

Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Österreichische Förderungsgesellschaft der Versicherungsmathematik (ÖFdV) GmbH.

Participants

This seminar has NOT been designed for those participants eager to find out which capital market scenario will materialize in the coming months and years so that they can maximize their wealth. Unfortunately, we have lost our crystal ball, which is a real shame.

This seminar has been developed for professionals who are interested in Economic Scenario Generators because they deal with one or more applications of those and who are familiar with the basic concepts of financial maths. In-depth knowledge of capital market models is clearly NOT a pre-requisite, as this seminar does not aim at ESG experts. We might offer a follow-up seminar for ESG experts separately.

Attendees are encouraged to bring a laptop computer with Microsoft Excel installed.

Purpose and Nature

In the seminar, we begin by describing random number simulation techniques, which underpin ESG work. We also talk about variance reduction techniques, which improve the efficiency / the precision of stochastic modelling. We move on to discuss risk-neutral equity modelling and interest rate modelling. We conclude our program on day 1 by considering real-world scenario generation.

On day 2, we talk about ESG validation aspects before moving on to the ESG applications. First, we introduce the ESG Rebasing technology, which allows the users to produce univariate and combined stress scenarios by recycling their baseline ESG package. We continue by discussing a case study of a UK Internal Model Firm, which has implemented Daily Solvency Monitoring to operationalize their Solvency II calculations for risk management purposes.

Language

The language of the seminar will be English.

Lecturers

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 Manager 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.

Participant Feedback

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Venue & Accommodation

The seminar will take place at the

Hotel & Palais Strudlhof
Pasteurgasse 1
1090 Vienna, Austria
Phone: +43 1 319 2522
http://www.strudlhof.at/en/

We have arranged special prices for accommodation. The special rate is 99 € per night including breakfast, VAT and wireless LAN. It is valid for bookings by 19 February 2019 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel by sending an e-mail to hotel@strudlhof.at, and note the hotel’s cancellation policy.

​Sponsor

CLASSIC Sponsor of the Seminar