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WEB SESSION

13 Nov 2020

ERM and QRM in Life Insurance: An Introduction

Risk Management (RM) constitutes a recent achievement for the actuarial culture and profession, especially if compared to the long history of actuarial mathematics. However, RM principles entered into the insurance field without “destroying” the actuarial methods. On the contrary, actuarial methods and relevant applications have been extended in order to properly capture risk-related issues. In this context, Enterprise Risk Management (ERM) provides guidelines for a sound management of risks. At the same time, ERM should improve actuaries’ awareness of corporate issues, for example: capital allocation, creation of value, business models, organization, etc.
The objective of this web session is twofold. On the one hand, it aims to provide the participant with the basic concepts of ERM in life insurance, with a specific focus on the quantitative phases of the RM process, i.e. risk assessment, impact assessment and monitoring, which constitute the Quantitative Risk Management (QRM). On the other, the web session stresses the need to extend the (traditional) actuarial toolkit in order to capture in quantitative terms the risk profile of life insurance lines of business.
The participant should then recognize a “bridge” between the traditional life insurance mathematics, mainly based on the equivalence principle and hence deterministic, and risk-oriented approaches, based on stochastic models (but also on appropriate deterministic assessments) and allowing for diverse scenarios.

Organised by the EAA - European Actuarial Academy GmbH.

Participants

The web session is open to all interested persons. Basic knowledge of actuarial mathematics is appropriate.

Technical requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme GotoTraining/GotoWebinar is used for the web session). Please also make sure that you are joining the web session with a stable internet connection.

Purpose and Nature

The training aims at providing the participants with a good understanding of the basic aspects of ERM in life insurance, with specific focus on the quantitative phases of the RM process, that is, on QRM.
To this purpose, the web session first focuses on the general features of QRM methodology, then addressing a specific application to life annuity business. Both deterministic and stochastic approaches to risk and impact assessment will be presented and discussed.

Language

The language of the web session will be English.

Lecturers

Ermanno Pitacco
Ermanno Pitacco is professor of Actuarial mathematics and Life insurance technique in the University of Trieste as well as academic director of the Master in Insurance and Risk Management at the MIB Trieste School of Management. In addition, he has been visiting professor in various universities (recently: University of New South Wales, Sydney; University of Louvain-La-Neuve; University of Ljubljana, University of Zagreb, University of Kyoto). Main fields of scientific interest are life and health insurance mathematics and techniques, pension mathematics, longevity risk, mortality heterogeneity. He is author or co-author of textbooks and papers in the fields of scientific interest. His papers have been published, among the others, on: Insurance Mathematics & Economics, ASTIN Bulletin, Journal of Pension Economics and Finance, Risks, Geneva Papers on Risk and Insurance, Belgian Actuarial Bulletin, Journal of Actuarial Practice, Applied stochastic models in business and industry, AStA Advances in Statistical Analysis, European Actuarial Journal, Annals of Actuarial Science, Giornale dell’Istituto Italiano degli Attuari.
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Seminar Details
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4 of 5 Points


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