This website uses cookies to provide a better user experience. Please find more information Okhere. #CCCCCC #000000


16/17 May 2019 in Warsaw

Modelling and Validating Longevity under Solvency II

The European Solvency II regulations lead to significant changes within risk management of insurance companies. Under these regulations companies calculate a 99.5% Value-at-Risk over a one-year horizon using an Internal Model, or by using the Standard Formula provided by EIOPA. In this seminar we focus on modelling longevity trends and calculating longevity risk. We define longevity risk as the risk of unexpected changes in the trend underlying future mortality rates. For the simulation of mortality rates, a wide variety of stochastic models have been proposed in literature. We will discuss various aspects of mortality model specification, calibration, and application, and provide ideas and practical advice for the implementation of these models. Also examples of modelling portfolio-specific mortality and the validation of mortality models under Solvency II will be discussed.
Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Polskie Stowarzyszenie Aktuariuszy.


The seminar is specially developed for (life) actuaries, risk managers or statisticians working in actuarial, risk management and model validation departments. A basic knowledge of life techniques in actuarial science and statistics is useful but not required.

Attendees are encouraged to bring a laptop computer with Microsoft Excel and also Cran R  installed. The latest version of Cran R can be downloaded via the website

Purpose and Nature

The seminar combines methodological concepts within mortality modelling with many practical examples and applications in a Solvency II context. A case study will be performed in order to obtain full understanding of the presented techniques. After attending this seminar, participants will be familiar with calibrating mortality models, the theoretical framework behind these models, model implementation and most recent insights within mortality modelling under Solvency II.

During the seminar, participants will have the opportunity to apply mortality models, analyse model fits, calculate impacts and validate model choices within Excel and Cran R, both for population and portfolio-specific mortality. Outcomes will also be compared to the Solvency II Standard Formula scenario for mortality and longevity risk.


The language of the seminar will be English.


Dr Katrien Antonio
Katrien Antonio is professor in the Insurance research group at KU Leuven (Belgium) and associate professor in the Actuarial Sciences and Mathematical Finance group at the University of Amsterdam. Katrien studied Mathematics at KU Leuven and obtained her PhD degree in 2007 at the same university. Her research puts focus on statistical modelling for life and non-life insurance, including stochastic loss reserving, pricing models and stochastic mortality models. In 2014 Katrien was a member of the working group of the Dutch Actuarial Association that published a stochastic mortality model for The Netherlands. She was also the lead researcher in charge of the 2015 Belgian mortality projection, published by the Institute of Actuaries in Belgium.

Wilbert Ouburg
Wilbert Ouburg is Head of Risk Management at Nationale Nederlanden, part of NN Group. He studied both Mathematics (Utrecht University) and Actuarial Science & Mathematical Finance (University of Amsterdam), and followed a post-graduate teaching programme in mathematics. His master’s thesis on Bayesian mortality modelling was awarded the Netspar thesis award. He is a member of the Royal Dutch Actuarial Society and a Financial Risk Manager at the Global Association of Risk Professionals. Over the last years Wilbert was chair of the AG2018 work group of the Dutch Actuarial Association, that published a stochastic mortality model for the Dutch population.

Michel Vellekoop
Michel Vellekoop is full professor in the Actuarial Sciences and Mathematical Finance group at the University of Amsterdam. He studied Applied Mathematics at the University of Twente and obtained his PhD. degree in 1998 at Imperial College in London for research on nonlinear filtering problems for stochastic processes. Since then he has focused on applications in finance and insurance, both as an academic and as director of research for the Derivatives Technology Foundation. His main interests are valuation and risk management problems for contingent claims in complete as well as incomplete markets. Since 2009 he has been theme coordinator for Netspar, the Dutch research network for studies on pensions, ageing and retirement. Since 2014 he has been a member of the committee of the Dutch Actuarial Association that was responsible for the design of a new stochastic mortality model for the Netherlands.

Participant Feedback

4.4 of 5 Points

Venue & Accommodation

The seminar will take place at the

Holiday Inn Warsaw City Centre
Twarda 52
00-831 Warsaw, Poland
Phone: +49 89 743 515-0
hotel website

We have arranged special prices for accommodation. The special rate is 115 € per night including breakfast and VAT. It is valid for bookings by 25 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.