17 - 19 Feb 2020 in Vienna
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 the Österreichische Förderungsgesellschaft der Versicherungsmathematik (ÖFdV) GmbH.
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.
Pierre-Edouard ArrouyPierre-Edouard is leading the financial modelling team inside the Research & Development section of Milliman Paris; his consulting work relates to the design, the implementation and the review of financial models within risk-neutral and real-world ESGs. His current research topics deal with calibration methods for interest rates models with stochastic volatility, modelling of credit risk, as well as the pricing of complex derivatives. He is also actively involved in the development of the cloud based ESG solution Milliman CHESS®.
Dominic ClarkDominic is a Principal with Milliman’s Milan office. He is qualified as a Fellow of the UK Institute of Actuaries, and has over 25 years’ industry experience as a consulting actuary. He has significant experience in the areas of Solvency II, economic capital, financial reporting, valuations, and actuarial modeling. He is also a published author on the topic of dynamic policyholder behaviour. Dominic holds a BSc (with Honours) in Mathematics and Computer Science from the University of Birmingham, UK and a Masters in Financial Management and Control from the IE Business School in Madrid.
Jeff CourcheneJeff’s area of expertise is international property and casualty insurance: particularly reserving, reinsurance analysis, mergers and acquisitions (M&A) activity, advanced pricing techniques, and dynamic financial modeling. Jeff has extensive experience in matters related to both personal and commercial lines of business in the United States, United Kingdom, Middle East, and continental Europe. His experience includes leading the review of reserves of various European (re)insurers as part of due diligence assignments, leading dynamic financial modeling projects both in the United States and Europe, and contributing to Milliman internal Solvency II working party as an author and presenter. Jeff is a Fellow of the Casualty Actuarial Society and a Member of the American Academy of Actuaries.
Andrew H. DaltonAndrew is a Principal and Consulting Actuary in Milliman’s Philadelphia office and a primary author contributing to Life sections of the book “Stochastic Modeling – Theory and Reality from an Actuarial Perspective”. Andrew’s professional experience includes work on actuarial appraisals for mergers and acquisitions, asset and liability analysis, cash flow testing, and economic capital for life and health companies. Andrew is a Fellow of the Society of Actuaries and a Member of the American Academy of Actuaries. He holds a Masters Degree in Business Administration, concentrating in Finance and Statistics, from the Leonard N. Stern School of Business of New York University.
Steven HooghwerffSteven is a consulting actuary in the Amsterdam office of Milliman. He has worked in the financial and consulting industry for more than 10 years. Steven's specialty is in the area of life insurance and risk management, and he also advises P&C insurers. His main focus is advising insurers and other financial institutions on developing and using risk models, such as Asset Liability Management (ALM), Economic Capital and Solvency II in their strategic decision making.
Christoph was managing director of the actuarial consulting firm arithmetica for more than 17 years. His consulting focus was on actuarial modelling in pensions, finance and non-life insurance. He was actuarial function holder under Solvency II for two insurance companies in Austria and he developed a partial internal model for an international insurance group. He is a fellow of the Aktuarvereinigung Österreichs (AVÖ), and active in the Actuarial Association of Europe (AAE) as well as in the International Actuarial Association (IAA). Christoph served for different roles in the AVÖ, among others he was president for six years.
Job PrinceJob is a consultant in Milliman’s Amsterdam office. He has worked in the financial and consulting industry for more than 7 years. Job’s main area of expertise is financial risk management and valuation. Over the past years he has developed strong quantitative skills in the market risk domain. His main focus is developing models for ALM and Economic Capital and assisting financial institutions to incorporate this into day to day decision-making.
Mark ShaplandMark is a Principal and Consulting Actuary in Milliman’s Dubai office and a primary author contributing to Non-Life sections of the book. Mark’s area of expertise is non-life insurance, particularly pricing (personal and commercial lines), reserving (including reserve variability and asbestos liabilities), individual risk and association-type dividend plans and premium rates for large accounts, reinsurance, data management, and dynamic risk modeling. Mark has international experience, having worked in Europe for four years, as well as shorter assignments in many other countries. He also has extensive experience in the development of actuarial software tools and was the lead actuary for the Milliman Arius® software development team. Mark is a Fellow of the Casualty Actuarial Society, a Fellow of the Society of Actuaries and a Member of the American Academy of Actuaries.
Venue & Accommodation
The seminar will take place at the
Hotel & Palais StrudlhofPasteurgasse 11090 Vienna, AustriaPhone: +43 1 319 2522http://www.strudlhof.at/en/
We have arranged special prices for accommodation. The special rate is 99 € per night including breakfast and VAT. It is valid for bookings by 1 February 2020 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 firstname.lastname@example.org, and note the hotel’s cancellation policy.
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