ERM Session on Artificial Intelligence (Recording available)
Panelists:
Efficient and Reliable Solvency II Loss Estimates With Deep Neural Networks
Ning Lin (Deloitte), Zoran Nikolić (Deloitte)
Developing a Counter-Cyclical Risk Measure
Marie Kratz (ESSEC CREAR), Marcel Bräutigam (ESSEC CREAR / LPSM Sorbonne Université), Michel Dacorogna (Prime Re Solutions)
Threshold Portfolio Return for Swiss Pension Funds Based on Nested Stochastic Modelling
Ljudmila Bertschi (Member of Swiss Chamber of pension fund experts, SKPE), Urs Barmettler (Member of Swiss Chamber of pension fund experts, SKPE)/ Dr. math ETHZ), Mauro Triulzi (Dr. math ETHZ), Lionel Candaux (University of Lausanne / Swiss Chamber of pension fund
experts, SKPE)
Consequences of IBOR Reform on Insurance Sector
Eleonore Haguet-Trouplin (BNP), Patrice Odo (CDC)
The European Safe Asset Debate
Malcolm Kemp (Barnett Waddingham)
Machine Learning : quelles opportunités de pilotage ALM pour un assureur vie?
Benjamin Tessiaut (Command Strategy Advisory), Nicolas Dusserre (Command Strategy Advisory)
Extreme cyber losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk
Kwangmin Jung (Drake University)
Analysis and Evaluation of the Mexican Market Behaviour, its Investors and its most relevant Companies through the Monetary, Economic and International Constructs, Using PLS-SEM Modeling
Fernando Jose Marine Osorio (Anáhuac University Mexico), Juan Carlos Bribiesca Aguirre (Anáhuac University Mexico)
Intercultural Research and Motor Insurance Premiums: Prejudices, Multi-dimensional Criteria and Global Trends
Michael Fackler (Consulting Actuary)
Financial Engineering: A New Longevity Bond to Manage Individual Longevity Risk
Michael Sherris (School of Risk and Actuarial Studies, UNSW Business School), Yuxin Zhou (School of Risk and Actuarial Studies, UNSW Business School), Mengyi Xu (School of Risk and Actuarial Studies, UNSW Business School), Jonathan Ziveyi (School of Risk and Actuarial Studies, UNSW Business School)
A Review of the Solvency II Risk Margin
Malcolm Kemp (Barnett Waddingham)
Actuarial (R)evolutions
Pierre Miehe (Milliman)
Aligning Retirement Goals and Outcomes
Catherine Donnelly (Risk Insight Lab, Heriot-Watt University)
Cyber Risk: The Responsibility of the Actuary in Setting up Individual, Collective and Coordinated Protection
Emmanuelle Huguet (Addactis), Thomas Bastard (Addactis)
In Measuring the Value Creation by Enterprise Risk Management for Insurance Companies: Does ESG (economic, social, governance) Performance Matter?
Madhu Acharyya (GCU London)
Prospective Modelling of Temporary Disability Risk: Proposal for a Two-dimensional Model and Machine Learning Algorithms Combined Approach
(joint session with PBSS & IAALS)
Fatoumata Ndoye (Fixage)
Download the full AFIR-ERM program here.
Dans un contexte économique et réglementaire en perpétuelle mouvance, le pilotage ALM de l’assureur vie doit nécessairement faire intervenir une optimisation de la structure de son passif.A cette fin, cette contribution p
This paper proposes a measure of the probable maximum cyber loss, which stands for the worst cyber loss likely to occur, with an alternative approach to estimating the potential loss size of an extreme event. It shows that the predicted cyber loss likely
This paper explores reasons why some policymakers and researchers propose creating additional European (Eurozone) safe assets and why others think that this may be challenging. By 'safe' assets we mean ones that are as free from credit risk as possible, p
This paper presents how the IT and actuarial science have evolved in parallel since antiquity, and how the recent speed up of IT evolution could revolution actuarial science: is it today easier for an actuary to pick up machine learning than it is for a d
(The presentation is held in french) The ongoing 4th industrial revolution already opened fantastic opportunities for Cyber crime, from the emergence of the Internet in the 80’s to the day-to-day reliance of both individuals and companies on cloud s
This paper proposes a new type of longevity bond as a post-retirement investment product for individuals to hedge their longevity risk which has the flexibility to meet both income and bequest needs. The payoffs of the bond are composed of flexible monthl
According to the FRP5 Guidelines of the Swiss Chamber of pension fund experts (SKPE) the threshold portfolio return corresponds to the annual portfolio return which the pension fund requires to keep the funding ratio constant. The difference between the e
We present fundamental findings from the field of empirical intercultural research. These findings are of interest to the insurance industry in their own right. They become even more interesting, however, when viewed through the eyes of an actuary who app
The implementation of Enterprise Risk Management (ERM) in the financial sector, insurance . in particular, has gained increasing attention in recent years. However, the majority of studies used financial data and overlooked the non-performance of the comp
- How should you invest your pension plan savings, if you want to reach a desired level ofincome? We show the distribution of your possible retirement income under differentinvestment strategies.- Each strategy is derived from the optimization of a functi
The cost of the risk of work stoppage has been rising for a number of years. This increase is explained in particular by psychosocial risks. This article models the rate of prescription of work stoppages thanks to a model whose fundamentals are identical
The Solvency II Directive from 2009 requires from life insurance companies to derive the full probability distribution forecast for one-year losses. Since no analytical formula for one-year losses exists and a full Monte Carlo nested calculation is comput
This paper reviews the current design of the Solvency II risk margin. The current aim of the risk margin is to provide a quantification of the hypothetical cost a third party would expect to charge (in addition to the Solvency II 'best estimate liability'
Investors can experience behaviors that usually are seen entirely irrational from the classical economic principles. The focus of this research is to generate formative or reflective behavioral constructs, which helps to measure the economic effects of in
In the aftermath of IBOR scandals and due to a decrease on volume of transactions associated to interest rate indexes, regulators required a transition to new reference rates. In Europe, European Parliament and Council of the European Union adopted The Be