8 - 10 May 2019 in Copenhagen
Stochastic Modeling – Theory and Reality from an Actuarial Perspective
As recently as the mid-1990s, most models used in financial analysis of insurance were deterministic. Based on sets of static parameters and assumptions, these models largely ignored random fluctuations that were likely to occur. Sensitivity analyses were performed but were generally limited to a fixed number of defined scenarios. This deterministic approach is rapidly being replaced by stochastic modeling that can better inform insurers on pricing, financial planning, and capital assessment strategies. Huge advancements in computing power have made it possible for actuaries and financial planners to better understand the increasingly complex risk profiles of insurers’ evolving product design.
This seminar is based on the book from the International Actuarial Association “Stochastic Modeling – Theory and Reality from an Actuarial Perspective” (copyright © 2010 International Actuarial Association) which intends to provide actuaries with a comprehensive resource that details current stochastic methods, provides background on the stochastic technique as well as their advantages and disadvantages.
Organised by the EAA – European Actuarial Academy GmbH in cooperation with Den Danske Aktuarforening.
The seminar is suited for actuaries, actuarial students and other professionals involved and interested in actuarial modeling in life and non-life.
Attendees are encouraged to bring a laptop computer with Microsoft Excel installed.
Purpose and Nature
The seminar will cover a wide range of topics presented in the book “Stochastic Modeling – Theory and Reality from an Actuarial Perspective”. The first day of the seminar will focus on risk management and actuarial modeling issues. The day will start with an introduction to stochastic modeling, including a practical discussion of when stochastic models are appropriate or necessary and when they may not be. The day continues with a case study designed to be of interest to actuaries in all practice areas.
The second day (and the morning of the third day) of the seminar will be split into two separate sessions, one that will focus on life actuarial issues and the other will focus on non-life actuarial issues. In the life session, the lecturers will present stochastic models for interest rates, mortality and morbidity, among other risk factors, and will demonstrate how these models can be developed, calibrated, implemented and reviewed. This will also involve detailed case studies illustrating the use of stochastic models in life insurance business.
In the non-life sessions, the lecturers will present an overview of stochastic models, including triangle based, frequency / severity, catastrophe financial and dynamic risk models, and will demonstrate how these models can be developed, calibrated, implemented and reviewed. Building on this overview, the lecturers will then take you through a deeper look at the Mack and ODP Bootstrap models and discuss the calculation of one-year reserving risk. As with the life session, the early sessions will focus on the technical aspects of stochastic models and the later sessions will be a case study format intended to demonstrate the practical application of these models.
The third day will continue the separate life and non-life sessions in the first session. In the second session, we will again have a joint session to discuss a concluding case study focusing on senior management perspective.
All participants will receive a copy of the book “Stochastic Modeling – Theory and Reality from an Actuarial Perspective” which is presented by the International Actuarial Association (IAA) in collaboration with Milliman. A guide for practitioners interested in understanding this important emerging field, this book presents the mathematical and statistical framework necessary to develop stochastic models in any setting (insurance or otherwise). Sufficient mathematical detail is presented but no advanced background in mathematics or statistics is required.
Venue & Accommodation
The seminar will take place at the hotel
Comwell Conference Center CopenhagenCenter Boulevard 5 2300 Copenhagen S, DenmarkPhone: +45 32 47 30 30hotel website
We have arranged special prices for accommodation at the AC Hotel Bella Sky Copenhagen, Center Boulevard 5, 2300 Copenhagen S, Denmark. The special rate is 1,495 DKK (single room, including breakfast and VAT). It is valid for bookings by 16 April 2019 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel using this booking link and note the hotel’s cancellation policy.
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Partner of the Seminar