by EAA Added 2 years ago 0 597 Views

Speaker(s): Eberhard Müller (riskmueller consulting) Modelling natural catastrophes by means of stochastic simulation started in the late 1980s and has become increasingly common since. The degree of details – be it the geographic resolution, t

by VICA2018 Added 2 years ago 0 633 Views

Speaker(s): Ziyan Wang (University of Sao Paulo) Reinsurance is the most frequently used tool by insurance companies to reduce the level and the volatility of the aggregated losses' burden under their responsibility. Despite the financial and strategic be

by VICA2018 Added 2 years ago 0 1,429 Views

Speaker(s): Giorgio Alfredo Spedicato (Unipol Group) Pricing optimization is acquiring increasing importance in personal lines pricing in the most mature insurance market. As the level of competition increases, insurers are forced to optimize their rating

by VICA2018 Added 2 years ago 5 1,326 Views

Speaker(s): Jochen Stark (IBM), Alex Holzmüller (Dittrich & Partner Consulting), Sophie Richter-Mendau (IBM) The presentation will show how you can combine traditional statistical and mathematical approaches with machine learning to solve an insu

by VICA2018 Added 2 years ago 0 537 Views

Speaker(s): Thomas Heinze (Provinzial Rheinland) Given Markowitz's mean-risk model, maximization of diversification is established as an additional investment target next to return maximization and risk minimization. This widens the opportunity to transfe

by VICA2018 Added 2 years ago 2 866 Views

Speaker(s): Alberto Glionna (Generali), Pietro Parodi (SCOR) In Parodi (2014) it was argued that "all reserving methods based on claims triangulations, no matter how sophisticated the subsequent processing of the information contained in the triangle is,

by VICA2018 Added 2 years ago 0 564 Views

Speaker(s): Pietro Parodi, Peter Watson (SCOR) Benchmark loss curves (examples of which are the SR/Lloyd's curve for property rating, the ISO increased limit factor curves, tail severity distributions for casualty business) often arise out of resource-int

by VICA2018 Added 2 years ago 1 772 Views

Speaker: Ikuo Katayose (Resona Bank, Limited) Thank you for the charming German introduction! Professionalism covers everything actuaries do and encompasses the actuary's technical competence and skills, ethical behaviour and professional accountability t

by VICA2018 Added 2 years ago 0 765 Views

Speaker(s): Fatoumata Ndoye, Thomas Behar, Anani Olympio (Institut des Actuaires) Further information is presented in a detailed paper: Ndoye_Article.pdf A good risk management practice cannot be achieved without full understanding of all phenomena of tre

by VICA2018 Added 2 years ago 1 850 Views

Speaker(s): Nicolas Wesner (Mazars Actuariat) This paper presents a system for interactive multi-objective optimization that makes use of a genetic algorithm and very simple and intuitive interactive visualization techniques. In a first step optimal solut

by VICA2018 Added 2 years ago 0 870 Views

Speaker(s): Sure Mataramvura (University of Cape Town) This presentation considers the problem of an insurer who decides to allocate a proportion (1 - a(t)) of premiums to a re-insurance company (thereby retaining a proportion a(t) of premiums). The insur

by VICA2018 Added 2 years ago 0 984 Views

Speaker(s): Igawa Takayui (PricewaterhouseCoopers Aarata LLC) Further information is presented in a detailed paper: Igawa_Paper.pdf Many countries around the world confront problems related to longevity and investment difficulties caused by slowdown in ec

by VICA2018 Added 2 years ago 0 642 Views

Speaker(s): Igawa Takayui (PricewaterhouseCoopers Aarata LLC) Further information is presented in a detailed paper: Igawa_Paper.pdf PART 2: Many countries around the world confront problems related to longevity and investment difficulties caused by slowdo

by VICA2018 Added 2 years ago 0 905 Views

Speaker(s): Jonathan Karsenty (PwC) Given the current economic context, insurance fraud is a growing issue for all insurance companies and a day-to-day problem for claim handlers. As a proof, institutions are created all around the world to counteract fra

by VICA2018 Added 2 years ago 0 536 Views

Speaker(s): Giulia Padovan, David Brookes (Thatcham Research) The research objective of the present work was to define the most frequent accident scenario use cases for rear-end impact and single vehicle scenarios and the most frequent contextual factors

by VICA2018 Added 2 years ago 0 695 Views

Speaker(s): Sergey Smirnov, Andrey Zanochkin, Marat Kurbangaleev, Victor Lapshin (Financial Engineering and Risk Management Lab) The EIOPA approach for constructing the risk-free yield curve is based on the Smith-Wilson method (SW); its weaknesses due to

by VICA2018 Added 2 years ago 0 664 Views

Speaker(s): Drew Lawyer (Earnix) When trying to understand the customer decision making process it is easiest for us to break the customer decisions into independent, discrete choices: "Will I renew my auto policy?", "Will I add my motorcycle this year?",

by actuview Added 2 years ago 0 569 Views

Speaker(s): Rosalind Roussow (Sun Life Financial of Canada(UK)), Tim Bateman (Mazars) The value of with-profits for consumers working party has been set up by the Institute and Faculty of Actuaries to investigate whether consumers understand the value of

by VICA2018 Added 2 years ago 0 645 Views

Speaker(s): Colin Grenfell (SuperEasy Pty Ltd), Thomas Sneddon (Willis Towers Watson) Further information is presented in a detailed paper: Grenfell_Sneddon_Paper.pdf This paper analyses 58 years, or 232 quarters, of Australian investment performance from

by VICA2018 Added 2 years ago 1 684 Views

Speaker(s): Thomas Neusius (Wiesbaden Business School) The financial evolution of the german statutory insurance system for health and long-term care is analyzed with respect to the demographic dynamics. The german population will undergo a substantial sh

by VICA2018 Added 2 years ago 0 623 Views

Speaker(s): Lisa Altmann-Richer (Bupa) Private insurers including health, critical illness, income protection and life insurers are seeing a rise in claims due to the growing non-communicable disease (NCD) burden. Higher levels of physical activity have b

by VICA2018 Added 2 years ago 0 1,272 Views

Speaker(s): Luca Bianchi (Aviva Italia Holding) The current accounting rules in Life Insurance need to define premiums as revenues whose contribution to the profits depends on the actuarial valuation techniques accepted for defining technical provisions i

by VICA2018 Added 2 years ago 0 638 Views

Speaker(s): Mohamed Elsheemy (University of East Anglia) Social and demographic trends in the UK point out an ageing population and declining availability of family carers, leading to increase in the need for formal care. In England, formal care can be co

by VICA2018 Added 2 years ago 0 997 Views

Speaker(s): Estelle Gerondeau (Actuaris) The aim is to measure both the impact of using transitional measures on the metrics required by Solvency II and the impact of the possible choices an insurer could make within an ALM model. Particular attention wil

by VICA2018 Added 2 years ago 0 781 Views

Speaker(s): David Shkel (University of Hagen), Rainer Baule (University of Hagen) Structured financial products as a combination of classical investments such as stocks or bonds and derivatives provide investors with the possibility to buy a portfolio wit

by VICA2018 Added 2 years ago 1 637 Views

Speaker(s): Luis Eduardo Afonso (University of Sao Paulo), Helio Zylberstain (University of Sao Paulo) Brazil is experiencing a severe fiscal crisis, caused by a deficit of over USD 45 billion in the national pension scheme. For this reason, in December 2

by VICA2018 Added 2 years ago 0 661 Views

Speaker(s): Peter Hieber (University of Ulm), Jakob Klein (University of Ulm),An Chen (University of Ulm) Due to the increasing solvency requirements for return guarantees and a general decrease in interest rate levels, the attractiveness of equity-linked

by VICA2018 Added 2 years ago 0 606 Views

Speaker(s): Hailiang Yang (University of Hong Kong) This work is motivated by the valuation problem of Guaranteed Minimum Death Benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price

by VICA2018 Added 2 years ago 4 859 Views

Speaker(s): Kenichi Nogami (Accenture) Long term guarantee is very dangerous risk and most expensive factors of risk and capital management. More theoretical, more precise risk model may require more risk capital. For instance, long term care cost can be

by VICA2018 Added 2 years ago 0 608 Views

Speaker(s): Jed Linfield (Healthfirst) Risk adjustment has replaced medical underwriting for individual and small group plans in the United States; every year, a revenue neutral transfer of funds to the government (CMS) is done from insurers with low risk

by VICA2018 Added 2 years ago 1 578 Views

Speaker(s): Weihao Choo (Munich Re / Macquarie University) The global sharing economy is growing rapidly in sectors such as accommodation, transportation, services and finance. Two key features of a sharing economy are (1) decentralised operation and (2)

by IAA Added 2 years ago 2 974 Views

Speaker(s): Godfrey Perrott (IAA Act. Standards Committee), Micheline Dionne, Luc Farmer (both ISAP 4 Task Force of the ASC) The Actuarial Standards Committee of the IAA published the Exposure Draft of ISAP 4 - IFRS 17 Insurance Contracts on 27 February 2

by VICA2018 Added 2 years ago 1 577 Views

Speaker(s): Fernanda Salas ( VITALIS) As life expectancy rates increase all over the world, the menace of an epidemic of poverty in the old age looms ever larger in the not so distant future. To ensure sufficient retirement funds for the current working g

by VICA2018 Added 2 years ago 0 672 Views

Speaker(s): Georgios Symeonidis (Hellenic Actuarial Authority) Greece has one of the largest percentages of social security contributions for pensions, amounting to almost 24 percent for special groups of employees. At the same time, its pension system be

by VICA2018 Added 2 years ago 1 567 Views

Speaker(s): Geoff Rashbrooke (Institute of Governance & Policy Studies, NZ) Defined contribution schemes do not cause inequality; in their basic form, however, they do perpetuate it. Social security arrangements are generally redistributive; their aim

by Milliman Added 2 years ago 0 726 Views

Speaker(s): Michael Leitschkis, Russell Ward (Milliman) Insurers have made significant investments into their capital modelling capabilities in order to comply with the Solvency II requirements. Yet for a compliance exercise, this would be a very expensiv

by VICA2018 Added 2 years ago 0 476 Views

Speaker(s): Mark Hayes (Curtin University) This work investigates the risk-adjusted performances of South African interest bearing variable-term (bond) unit trusts over the period 30 November 2001 to 31 March 2016. The performances are assessed by recogni

by VICA2018 Added 2 years ago 0 648 Views

Speaker(s): Janinke Tol, Bianca Meijer (KPMG) Embedding time varying experience factors in projection mortality tables Further information is presented in a detailed paper: Tol_Paper.pdf This work provides an extension of the stochastic Li-Lee model used

by Milliman Added 2 years ago 0 679 Views

Speaker(s): Beatrice Male, Marie-Lise Tassoni (Milliman) The European retirement market is now home to a diverse and growing range of products designed to provide a regular income throughout retirement. These products provide different guarantees, differe

by VICA2018 Added 2 years ago 0 815 Views

Speaker(s): Jonas Eckert, Stefan Graf, Alexander Kling (ifa Ulm) Because of the long-term nature of insurance policies, the current low interest rate environment, and market based solvency capital requirements (e.g. under Solvency II), the fair valuation

by VICA2018 Added 2 years ago 0 948 Views

Speaker(s): Li Shen (Lyon Business School), Olivier Le Courtois (Lyon Business School) This work discusses the profit testing for a life insurance company that issues modern life insurance contracts, which are participating contracts, universal life contr

by VICA2018 Added 2 years ago 0 539 Views

Speaker(s): Franck Adekambi (University of Johannesbourg / CERAF) In the classical collective insurance risk model, the independence among inter-claim times is one of the crucial assumptions. However, in reality, one could easily find violations of such a

by actuview Added 2 years ago 0 736 Views

Speaker(s): Hans-Jochen Bartels (University of Mannheim), Johannes Bartels (BaFin) This contribution considers the capital requirements for portfolios of ordinary life annuity contracts under the regime of Solvency II (SII).

by EAA Added 2 years ago 1 940 Views

Speaker(s): Henning Wergen (EAA) Presentation by Henning Wergen, Executive Director EAA, (Full presentation "CERA Education by EAA" ) on how to become a Certified Enterprise Risk Actuary on invitation of theInstituto de Actuarios Españoles in Madri

by VICA2018 Added 2 years ago 1 575 Views

Speaker(s): Raffaelo Marcelloni (INAIL) The Theoretical Replacement Rates (TRRs) express the ratio between the annual pension amount received in the first year of retirement and the annual amount of final salary. They measures the change of the worker's g

by VICA2018 Added 2 years ago 1 450 Views

Speaker(s): Raffaelo Marcelloni (INAIL) The Theoretical Replacement Rates (TRRs) express the ratio between the annual pension amount received in the first year of retirement and the annual amount of final salary. They measures the change of the worker's g

by VICA2018 Added 2 years ago 0 489 Views

Speaker(s): Landi du Toit (University of Cape Town) Analysis Of Impact On Return-to-work Vocational rehabilitation (VR) is a process that enables disabled people to access, maintain or return to employment. The World Health Organisation (WHO) notes an inc

by VICA2018 Added 2 years ago 1 543 Views

Speaker(s): Hans-Jochen Bartels (Universität Mannheim) This contribution considers the capital requirements for portfolios of ordinary life annuity contracts under the regime of Solvency II (SII). The dynamic behaviour of the capital requirements und

by VICA2018 Added 2 years ago 1 657 Views

Speaker: Brent Walker This recording is about the 21st Century solar grand minimum and Earth's likely magnetic reversal. It details how space weather events and changes in the plasma configuration of the sun influence weather on Earth, earthquakes and vol

by VICA2018 Added 2 years ago 0 709 Views

Speaker(s): Daniela Alejandra Gonzalez Ramirez (National University of Mexico), Carlos Contreras Cruz (National University of Mexico) Nowadays Mexico faces one of the biggest demographic challenges in its history: the population ageing. This phenomenon wi

by VICA2018 Added 2 years ago 1 650 Views

Speaker: Steffen Schumann Commonly used aggregate loss reserving methods, such as Chain Ladder or Cape-Cod, have the disadvantage that they do not include all the information each single loss contains. A possible solution for this are Single Loss Developm

by VICA2018 Added 2 years ago 0 672 Views

Speaker: Göran Kauermann Big Data is certainly one of the buzzwords of the last five years. With the digital revolution nearly everything can today be measured, recorded or protocolled. The amount of data exceeds multiples of peta bytes with an annua

by VICA2018 Added 2 years ago 0 508 Views

Speaker(s): Denise Gómez-Hernández (Universidad Autónoma de Querétaro), Felipe Pérez-Sosa (Universidad Autónoma de Querétaro) A comparison of latin american pension systems for the period 1997-2016 As a con

by WTW Added 2 years ago 0 629 Views

Speaker(s): Nick Callil (Willis Towers Watson), Tim Furlan (Russell Investments) The comprehensive income products for retirement system In 2014 Australia held a broad financial system inquiry. One of the recommendations of that inquiry was the developmen

by VICA2018 Added 2 years ago 0 743 Views

Speaker(s): Henning Wergen (Deutsche Aktuar-Akademie GmbH)

by VICA2018 Added 2 years ago 0 480 Views

Speaker(s): Landi du Toit (University of Cape Town) Vocational rehabilitation (VR) is a process that enables disabled people to access, maintain or return to employment. The World Health Organisation (WHO) notes an increase in the need for work rehabilita

by VICA2018 Added 2 years ago 0 603 Views

Speaker(s): Paul Glasserman (Columbia University) Financial institutions regularly rely on a vast number of models for valuation and risk measurement. Models may range in complexity from simple spreadsheets to advanced Monte Carlo simulations and other nu

by Allianz Added 2 years ago 0 757 Views

Speaker(s): Tom Wilson (Allianz Group) Capital management is becoming one of the most important value creation levers in the insurance industry and it’s ascendency has prompted the development of new analytical frameworks as well as a new way to loo

by VICA2018 Added 2 years ago 0 552 Views

Speaker(s): Stefan Graf (Institut fuer Finanz- und Aktuarwissenschaften) The PRIIPs-regulation (EU regulation 1286/2014) requires manufacturers of so-called packaged-retail and insurance-based products ("PRIIPs") to draw up a pan-European standardized key

by Allianz Added 2 years ago 0 732 Views

Speaker(s): Olaf Schmitz (Allianz Lebensversicherungs-AG) In-Force Management (IFM) became more and more relevant in recent years. As a result of the low interest rate environment insurance undertakings started to search for new income sources and the exi

by VICA2018 Added 2 years ago 1 579 Views

Speaker(s): Tobias Huber (LMU Munich), Johannes Jaspersen (LMU Munich) Extreme lapse rates can severely distort life insurers' liquidity and profitability. We develop a model based on extreme value theory to assess the risk of such a policyholder run and

by Allianz Added 2 years ago 2 693 Views

Speaker(s): Andreas Niemeyer (Allianz Lebensversicherung), Tobias Rieck (Allianz Deutschland) At the beginning of 2018 the regulation on Packaged Retail and Insurance-based Investment Products (PRIIPs) of the EU becomes effective (EU regulation No. 1286/2

by VICA2018 Added 2 years ago 0 585 Views

Speaker(s): Ken Hohman (American Academy of Actuaries), Martin Stevenson (Actuaries Institute),Ted Goldman (American Academy of Actuaries) In a country where employer-sponsored retirement plans are an essential part of the national retirement system, and

by VICA2018 Added 2 years ago 1 484 Views

Speaker(s): Frank van Berkum (UvA) Pension funds must adjust population-wide mortality forecasts for the valuation of their liabilities, since the combined effect of the many factors that determine their participants' survival probabilities typically diff

by VICA2018 Added 2 years ago 1 941 Views

Speaker(s): Salma Jamal (KPMG ), Lorenzo Invernizzi (Zurich Insurance Company Ltd.) Actuaries are well acquainted with traditional reserving methods such as chain ladder and Bornhuetter-Ferguson. These traditional actuarial methods have been shown over ma

by VICA2018 Added 2 years ago 0 452 Views

Speaker(s): Aldona Skucaite (Vilnius University), Asia Billig (Office of the Superintendent of Financial Institutions Canda) Social Security benefits in most developed countries continue to be a major source of income during the retirement years. Therefor

by VICA2018 Added 2 years ago 1 763 Views

Gunther Kraut (Munich Re)

by VICA2018 Added 2 years ago 1 689 Views

Participant(s): Sue Kean (Old Mutual Group), Tom Wilson (Allianz Group), Frieder Knüpling (Scor)

by VICA2018 Added 2 years ago 0 732 Views

Speakers: René Billing, Frank Schönfelder How does a P&C actuary and Data Science fit together to create value for the company? And where are the limitations? The Working Group Pricing of the German Association of Actuaries would like to s

by VICA2018 Added 2 years ago 0 467 Views

Speaker(s): Till Foerstemann (Deutsche Bundesbank)

by VICA2018 Added 2 years ago 0 401 Views

Speaker(s): Carmen Boadas Penas (University of Liverpool), Humberto Godinez-Olivares (QRI International LLC),Steven Haberman (CASS Business School) The decline in fertility rates, the increase in longevity and the current forecasts for the ageing of the b

by VICA2018 Added 2 years ago 1 819 Views

Speaker(s): Michael Fackler (independent actuary) In (re)insurance premium rating, older loss data are often adjusted before the statistical evaluation by means of an "external" inflation index (calculated not from the data itself). By doing so, it is imp

by VICA2018 Added 2 years ago 0 885 Views

Speaker(s): Marco Aleandri (University La Spienza) In this study, we focus our attention on the most relevant non-market risk in insurance, that is, lapse risk. It is basically linked to the behavior of policyholders facing various situations such as agin

by VICA2018 Added 2 years ago 0 461 Views

Speaker(s): Anna-Maria Hamm (Leibniz Universität Hamm) In many countries insurance premiums are subject to an insurance premium tax that replaces the common value-added tax (VAT) used for most products and services. Insurance companies cannot deduct

by Allianz Added 2 years ago 0 438 Views

Speaker(s): Michael Klamser (Allianz Versicherungs AG) The Paper, mentioned above, is aiming at an audience of practitioners in the motor commercial business, who are interested in getting to know a possible application of the calculation of big (so-calle

by VICA2018 Added 2 years ago 0 389 Views

Couples start thinking about protection for their child from the time a pregnancy is confirmed. A key part of such protection is against congenital illnesses which would otherwise render the child uninsurable or without an adequate cover in the future. A

by VICA2018 Added 2 years ago 1 389 Views

Speaker(s): Thomas Neusius (Wiesbaden Management School) Private health insurance in Germany is designed as a life-long contract. This corresponds to an automatic renewal where pricing is based on the initial medical underwriting, but without further risk

by VICA2018 Added 2 years ago 0 483 Views

Speaker(s): David Richter (PwC GmbH WPG) In Germany, private health insurance contracts providing a life-long cover have a long tradition. For such contracts there exists a well-established set of measures, regulatory boundaries and calculation rules ensu

by Milliman Added 2 years ago 0 434 Views

Speaker(s): Patricia L. Renzi (Milliman)

by msg_life Added 2 years ago 0 530 Views

Speaker(s): Axel Helmert (msg life central europe gmbh)

by VICA2018 Added 2 years ago 0 468 Views

Speaker(s): Kay Schaumlöffel (BaFin) Actuaries play an important role in insurance companies. Insurance supervision relies partly on the quality of actuarial activities inside the companies. Insurance supervisory laws contain minimum requirements for

by SwissRE Added 2 years ago 1 459 Views

Speaker(s): Amanda Hosken (Swiss Re) As actuaries and risk professionals, we are considered custodians of the solvency and integrity of the insurance industry. As we review history, we see evidence of that responsibility in practice. Our duty is to manage

by VICA2018 Added 2 years ago 0 436 Views

Speaker(s): Frank Grund (BaFin)

by VICA2018 Added 2 years ago 0 491 Views

Speaker(s): David Blake (Pensions Institute at Cass Business School) We start by covering the keyrisks in retirement, such as interest rate risk, inflation risk, investment and reinvestment risk, and longevity risk. We then look at the components of a ret

by VICA2018 Added 2 years ago 0 520 Views

Speaker(s): Thomas Møller (PFA Pension) We study the problem of valuating life insurance contracts in the presence of taxes and future profits. The basic framework consists of the classical finite state Markov chain modeldescribing the possible sta

by VICA2018 Added 2 years ago 0 572 Views

Speaker(s): Jürgen Bierbaum (ALTE LEIPZIGER – HALLESCHE Konzern) As a result of strongly declining interest rates and increasing capital requirements due to Solvency II the guarantees included in traditional participating annuity products have

by VICA2018 Added 2 years ago 1 480 Views

Speaker(s): Kai Kaufhold (Ad Res), Peter Nielsen (RGA) Can disability income protection insurance be profitable for an insurer? Is there an inherent risk in the product design of disability income insurance that makes it difficult to accurately predict ou

by VICA2018 Added 2 years ago 0 671 Views

Speaker(s): Kristian Juul Schomacker (Edlund A/S) Calculation of cash flows for unit-linked products is a common actuarial task. We propose a multistate model to treat simultaneously biometric risk and policyholder options. Within the model, we get insigh

by VICA2018 Added 2 years ago 2 813 Views

Speaker(s): Paul Embrechts (ETH Zurich) Value-at-Risk (VaR) and Expected Shortfall (ES) are the two main risk measures widely in use by both the banking and the insurance industry. A major issue concerns the topic of model uncertainty at the level of risk

by VICA2018 Added 2 years ago 0 405 Views

Speaker(s): Jennifer Alonso-García (UNSW Sydney, CEPAR) Globally, more reliance is increasingly being placed on pre-funding as an ageing demographic renders unfunded social security structures unsustainable. Pre-funding creates very large privately

by VICA2018 Added 2 years ago 0 387 Views

Speaker(s): Martin Stevenson (M A STEVENSON & CO, Actuaries Institute (Australia), First State Super) In respect of retirement income systems, actuaries are very prominent in the domains of pensions and Social Security. However, a retiree's living arr

by VICA2018 Added 2 years ago 0 436 Views

Speaker(s): Catherine Donnelly (Heriot-Watt University) In the UK, more and more people are asked, how do they want to invest for retirement. They are given 'attitude to risk' questionnaires to elicit their attitude to investment risk. Given a choice betw

by VICA2018 Added 2 years ago 0 403 Views

Speaker(s): Ralph Rogalla (St. Johns University) People who delay claiming Social Security receive higher lifelong benefits upon retirement. We survey individuals about their willingness to delay claiming if they were able to receive a lump sum in lieu of

by VICA2018 Added 2 years ago 2 568 Views

Speaker(s): Montserrat Guillen (Universitat de Barcelona) The transition towards semi-autonomous vehicles is expected to contribute to lower the frequency of motor accidents and to have a significant impact for the automobile insurance industry. Rating me

by VICA2018 Added 2 years ago 0 446 Views

Speaker(s): Gareth Peters (Heriot-Watt University) A new class of multi-factor extension of the family of Lee-Carter stochastic mortality models is explored. We build upon the time, period and cohort stochastic model structure to extend it to include exog

by VICA2018 Added 2 years ago 2 592 Views

Speaker(s): Katrien Antonio (KU Leuven) Insurance companies use predictive models for a variety of analytic tasks, including pricing, marketing campaigns, claims handling, fraud detection and reserving. Typically, these predictive models use a selection o

by VICA2018 Added 2 years ago 0 425 Views

Speaker(s): Jan-Philipp Schmidt (TH Köln) This paper proposes a practical way for modeling and projecting health insurance expenditures over short time horizons, based on observed historical data. The present study is motivated by a similar age struc

by VICA2018 Added 2 years ago 0 477 Views

Speaker(s): Ermanno Pitacco (University of Trieste) Life annuities constitute an appropriate tool providing the retiree with a lifelong income. Nevertheless, we can observe that, in many countries, the propensity to convert into a life annuity the resourc

by VICA2018 Added 2 years ago 0 437 Views

Speaker: Marcus Christiansen (Carl von Ossietzky University of Oldenburg) In the life insurance literature a novel decomposition approach was recently proposed that uses martingale representations for defining meaningful risk decompositions of future liab

by VICA2018 Added 2 years ago 0 661 Views

Speaker(s): Kudzai Chigiji (WesBank Group), Michael Florig (Crédit Agricole CIB) Actuaries have been involved in banking for more than a decade in some jurisdictions such as Australia and South Africa. Other jurisdictions are only starting to devel

by VICA2018 Added 2 years ago 1 476 Views

Speaker(s): Nina Ndebele (Institute and Faculty of Actuaries) The purpose of this presentation is to discuss how the current limited capacity in the ReTakaful (Islamic-compliant reinsurance) industry presents an opportunity for conventional reinsurance pr

by VICA2018 Added 2 years ago 1 767 Views

Speaker(s): Jochen Wieland (The Boston Consulting Group GmbH), Mauro Piccinini (Boston Consulting Gourp) Life insurance companies in Germany face a challenging market environment and find themselves under pressure of high guarantees that they sold to thei

by Milliman Added 2 years ago 0 552 Views

Speaker(s): Bridget Macdonnell (Milliman), Monika Smatralova (Permanent Tsb) Have you ever wondered what options would be available to your company should it get into financial difficulty? Does your company have a ‘plan B’ and how practical an

by VICA2018 Added 2 years ago 0 402 Views

Speaker(s): Eberhard Müller (riskmueller consulting GmbH) Assessing operational risks in the insurance industry was not the prime task of actuaries, especially because of scarce and often biased data. Nevertheless there have been some recent efforts

by Allianz Added 2 years ago 0 474 Views

and macroeconomic models of the financial sector Speaker(s):Jochen Kienberger (Allianz Global Life dac) The latest financial crisis sparked a vivid debate about financial regulation and systemic risk. The general public, as well as academic debate, seeme

by VICA2018 Added 2 years ago 0 443 Views

Speaker(s): Sven Ludwig (FIS Systeme GmbH) With the completion of Solvency II projects, the next challenge enters the center stage. How to manage the company in the new regime? How to steer the Market Consistent Embedded Value, how to manage the capital?M

by VICA2018 Added 2 years ago 0 558 Views

Speaker(s): Cristina Mano (Cantanhede Mano Consultoria em Atuária), Elena Rasa (Grupo Zurich Italy) The technology evolution of the last years has deeply changed the way customers and consumers interact among themselves and share data. They seem to

by VICA2018 Added 2 years ago 1 530 Views

Speaker(s): Robert Brown (University of Waterloo), Mary Hosford (Commonwealth of Massachusetts) Is there such a thing as too much predictive modeling? Might we reach a point at which predictive models become so good that certain individuals or businesses

by VICA2018 Added 2 years ago 2 732 Views

Speaker(s): Louise Francis (Francis Analytics and Actuarial Data Mining, Inc.), Axel Wolfstein (Verti) The Phase 2 ASTIN Big Data Working party focused on introducing key Predictive Modeling methods used by actuaries. Phase 2 has a focus on hands-on appli

by VICA2018 Added 2 years ago 0 822 Views

Speaker(s): Tom Jenkins (OpenText) Artificial Intelligence (AI) combined with Actuarial Science will offer new insights into human behavior and will have a profound impact for society. An essential element within AI is the quality of data. Data is collect

by VICA2018 Added 2 years ago 0 528 Views

Speaker(s): Randy Bauslaugh (McCarthy Tétrault LLP), Hendrik Garz (Sustainalytics) For over a decade, many pension funds, government agencies and even actuarial counsultancies have signed on to the United Nations-supported Principles of Responsible

by VICA2018 Added 2 years ago 0 400 Views

Intergenerational equity has been a relevant qualitative concept in plan design, management and governance of public and private pension plans. There are, however, challenges even in defining what constitutes equity or an adequate level of intergeneration

by VICA2018 Added 2 years ago 0 555 Views

Speaker(s): Assia Billig (IAA Population Issues Working Group) Inequality is unavoidable and may be natural in many places in society, however, there is a "tipping point" that if attained, the result may be detrimental to societal development. Evidence su

by VICA2018 Added 2 years ago 1 632 Views

Speaker(s): Andrew Peterson (Society of Actuaries), Ted Goldman (American Academy of Actuaries) As the retirement system in the US has continued to shift from a paternalistic environment to a participant-focused environment, individuals are increasingly b

by VICA2018 Added 2 years ago 0 409 Views

Speaker(s): Ismo Vesa Antero Risku (Finnish Centre for Pensions) Combining historical data and results of long-term projections, our study explores the lifetime pension benefits and contributions under the Finnish private sector earnings-related pension s

by VICA2018 Added 2 years ago 1 396 Views

Speaker(s): Stefan Wolfgang Wetzel (ALTE LEIPZIGER Versicherung AG) A classic tariff in private accident insurance in Germany is usually split up into in two categories of professions: professions without and with physical activity ("Gefährdungsklass

by VICA2018 Added 2 years ago 1 495 Views

Speaker(s): Pietro Parodi (SCOR), Peter Watson (Cass Business School) Severity loss amount distributions can rarely be derived from first principles. One such example is the use of generalized Pareto distribution for losses above a large threshold, which

by VICA2018 Added 2 years ago 6 728 Views

Speaker(s): David Hand (Imperial College London) While the theory of actuarial and statistical methods has developed gradually over time from the mid-seventeenth century, it is only relatively recently that the computer has had its impact on the practical

by VICA2018 Added 2 years ago 0 519 Views

Speaker(s): Joël Wagner (University of Lausanne), Michel Fuino (University of Lausanne, Faculty HEC) Due to the demographic changes and population aging occurring in many countries, the financing of long-term care (LTC) poses a systemic threat. The s

by VICA2018 Added 2 years ago 0 483 Views

Speaker(s): Shuji Tanaka (Nihon University) In recent years, as tightness of social security resources has become a real problem, it is required to solve the difficult problem of achieving efficiency of medical and nursing care expenditure without lowerin

by VICA2018 Added 2 years ago 0 461 Views

Speaker: Jörg Schiller In this paper, we analyze selection effects in the German market for private complementary long-term care insurance contracts (CompLTCI) within a static and dynamic framework. Using data on more than 98,000 individuals from a G

by VICA2018 Added 2 years ago 0 551 Views

Speaker(s): Michel Fuino (University of Lausanne, Faculty HEC) Long-term care (LTC) delivered to elderly persons in need of assistance in activities of daily living is a topic of increasing importance. In the coming decades, the financing of LTC, the need

by VICA2018 Added 2 years ago 0 830 Views

Speaker(s): Heloise Labit Hardy (ARC Centre of Excellence in Population Aging Research) The exposure of a life insurance company to mortality and longevity risks depends on the profile of its insured portfolio. This is well known that the mortality of an

by VICA2018 Added 2 years ago 0 478 Views

Speaker(s): Ermanno Pitacco (University of Trieste) Multi-state models, combined with Markov (and semi-Markov) hypotheses, have provided, since the seminal contributions by M. H. Amsler and J. Hoem, a unifying approach to actuarial calculations in the fra

by VICA2018 Added 2 years ago 0 442 Views

Speaker(s): Zoe Woodroffe (Gen Re) Evolution in the work place and the rise of entrepreneurship has led to an increased need for individual disability insurance. Despite this penetration is low in many markets including the UK. This talk will cover the pe

by VICA2018 Added 2 years ago 1 466 Views

Speaker(s): Thomas Møller (PFA Pension) We study the problem of valuating life insurance contracts in the presence of taxes and future profits. The basic framework consists of the classical finite state Markov chain modeldescribing the possible sta

by VICA2018 Added 2 years ago 1 718 Views

Speaker(s): Michael Pannenberg (HDI Leben) Setting a maximum technical interest rate (MTIR) has been a standard procedure to assure that sufficiently high reserves are built up under local GAAP. Since premiums need to be high enough to finance reserves, t

by VICA2018 Added 2 years ago 1 708 Views

Speaker(s): Eric Dal Moro (SCOR), Yuriy Krvavych (PWC London) With the upcoming IFRS 17 regime, significant changes for the valuation of insurance liabilities are expected. In particular, there is a specific requirement of IFRS 17 to disclose "the confide

by Allianz Added 2 years ago 1 813 Views

Speaker(s): Wolfgang Siegert (Allianz Lebensversicherungs-AG) Life insurance companies are currently operating in a low interest rate environment. Since 2011 German GAAP demands from companies to build increased reserves for guaranteed interest rates; tho

by VICA2018 Added 2 years ago 1 818 Views

Speaker(s): Ralf Korn (Technische Universität Kaiserslautern), Franziska Diez (Fraunhofer ITWM) While in simple one-factor models the evolution of the yield curve in time is totally determined by the evolution of the short rate, this is not the case

by VICA2018 Added 2 years ago 0 459 Views

Speaker(s): Paul Glasserman (Columbia University)

by VICA2018 Added 2 years ago 0 655 Views

Speaker: Alexander McNeil

by VICA2018 Added 2 years ago 0 516 Views

Speaker: Alf Gohdes Probably one of the most basic tools applied in actuarial work is that of discounting payments due in the future to compute a present value of such future payments, thereby taking into account the time value of money. The reverse proce

by VICA2018 Added 2 years ago 2 630 Views

Speaker(s): Andreas Johannleweling (KPMG AG), Stefan Engeländer The application of IFRS on insurance contracts is different for issuer (the life insurer) and the policyholder, in case of covering post-employment benefits by insurance contracts. In Ma

by VICA2018 Added 2 years ago 0 393 Views

Speaker(s): Graham Pearce (Mercer Deutschland GmbH) IFRS or US GAAP is often taken to be a measure of "fair value" of employee benefit related liabilities. The paper would discuss the valuation of pension and similar obligations, and why the value a buyer

by VICA2018 Added 2 years ago 1 486 Views

Speaker(s): Rolf Ketzler (German Insurance Association) Real and nominal interest rates in most advanced economies have been on a strong downward trend over the past three decades. A number of structural factors like population ageing, higher global savin

by VICA2018 Added 2 years ago 1 696 Views

Speaker: Karen Clark The traditional catastrophe models are a “one size fits all” product, and the same assumptions are applied to all insurers. But no two insurers are the same with respect to catastrophe losses. The same level of property da

by VICA2018 Added 2 years ago 0 493 Views

Speaker(s): A. Sevtap Kestel (Middle East Technical University (METU)) Most actuarial models rely on an assumption that both claim counts and aggregate claim amounts are independent which does not always reflect the reality and is too restrictive in diffe

by VICA2018 Added 2 years ago 0 369 Views

Speaker(s): Ralf Korn (Technische Universität Kaiserslautern) In classical continuous- or discrete-time portfolio optimization the market model underlying the optimization problem is completely specified. In contrast to that, stress scenarios are an

by VICA2018 Added 2 years ago 1 719 Views

Speaker(s): Qiheng Guo (Georgia State University), Daniel Bauer (University of Alabama) Allocating capital to business lines is a key actuarial task in an insurance company, since the risk associated with different lines has to be supported by capital. In

by VICA2018 Added 2 years ago 0 462 Views

Speaker(s): Markus Wahl (Technical University of Munich) Liability driven investment (LDI) strategies that take stochastic liabilities into account have become increasingly important for insurance companies and pension funds due to market developments suc

by VICA2018 Added 2 years ago 0 423 Views

Speaker(s): Kathleen Rybczynski (University of Waterloo) With the large baby-boom cohort entering retirement, many are concerned that the expected drop in saving and investment will result in substantially diminished asset prices and compromised pension p

by VICA2018 Added 2 years ago 0 391 Views

Speaker(s): J. Iñaki De La Peña (University of the Basque Country (UPV/EHU)) Usually, when Immunization is used in the insurance companies , the investment strategy contemplates the first and second order of Taylor's development (Duration an

by SwissRE Added 2 years ago 0 914 Views

Speaker(s): Josée Kaulich-Bartz (Swiss Reinsurance Company), Walter Olbricht (University of Bayreuth) Is the majority of the sum insured in a portfolio of life insurance policies due to a few large or rather due to many small contracts? Is this 'co

by VICA2018 Added 2 years ago 2 765 Views

Speaker(s): Frank Schiller (Munich Re) Own occupation disability income protection insurance (henceforth: DI) is a complex product with a dependence on various individual, socio-economic and medical risk factors. Our experience analysis is based on more t

by VICA2018 Added 2 years ago 0 443 Views

Speaker(s): Brnic Van Wyk (QSuper) In 2013 QSuper launched the QSuper Lifetime product with a unique lifecycle strategy that uses age and account balance (wealth, or savings in the fund) to cohort default defined contribution (DC) members.Traditional asse

by VICA2018 Added 2 years ago 0 427 Views

and security of benefits in occupational pension institutions (IORPS) Speaker(s): Stefan Nellshen (Bayer-Pensionskasse VVaG) We assess how certain regulatory requirements for occupational pension institutions (IORPs) influence (asset-liability-management-

by VICA2018 Added 2 years ago 1 350 Views

Speaker(s): Ruud Smits (Aegon) (risk-bearing investments in the payout phase: method and consequences) This presentation discusses methods to pay out the accumulated capital in DC pensions, ranging from lump sum payments to guaranteed lifelong benefits th

by VICA2018 Added 2 years ago 0 755 Views

Speaker(s): John Anderson (Sygnia Asset Management), Steven Empedocles (Sygnia Asset Management) The framework we put forward here seeks to address the 'annuity puzzle', a behavioural contradiction observed in practice between individuals' retirement goal

by VICA2018 Added 2 years ago 0 613 Views

Speaker(s): Donatien Hainaut (Université Catholique de Louvain UCL) This article proposes a robust framework, compliant with the ORSA, to evaluate the solvency capital requirement (SCR) of a participating life insurance with death benefits. The pre

by WTW Added 2 years ago 0 611 Views

Speaker(s): Klaus-Peter Nischke, Michael Kluettgens (Willis Towers Watson) The use of limit systems is common practice in insurance companies. With the introduction of the new EU regulatory system Solvency II, new requirements have come up for the risk ma

by VICA2018 Added 2 years ago 0 788 Views

for the term structure of risk-free interest rates Speaker(s): Peter Løchte Jørgensen (Aarhus University) In the European Union financial regulation requires that life and pension (L&P) companies use the Smith-Wilson (2000) model for the

by VICA2018 Added 2 years ago 1 603 Views

Speaker(s): Thomas Behar (CNP assurances) Actuarial association of Europe will organize a slot with presentations and a panel discussion. The topic , 2 years of Solvency II from a European point of view, will bring together pratical experience from differ

by VICA2018 Added 2 years ago 2 436 Views

Speaker(s): Paul Embrechts (ETH Zurich) Some personal examples On October 7, 1994, within the Department of Mathematics of the ETH Zurich, we founded RiskLab in collaboration with the banking and insurance industry. A key premise was the notion of precomp

by VICA2018 Added 2 years ago 0 439 Views

Speaker(s): Alexander McNeil (University of York) In this talk we present some recent work on the validation of risk models using reported probability-integral-transform or PIT values. We develop a flexible framework in which backtests are constructed usi

by IAA Added 2 years ago 1 632 Views

Speaker(s): Eberhard Müller (riskmueller consulting GmbH), Dave Sandberg (Allianz), Sam Gutterman (self-employed), Stuart Wason Presentation on IAA Risk Book

by VICA2018 Added 2 years ago 0 399 Views

Speaker(s): Benjamin Weigert (Deutsche Bundesbank)

by VICA2018 Added 2 years ago 0 561 Views

Speaker(s): Ken Beckman (Central States Indemnity) This presentation will discuss an actuarial model that offers direct financial incentives to health care providers who help reduce the prevalence of chronic disease. In contrast to most current health car

by VICA2018 Added 2 years ago 0 444 Views

in order to maximise the effectiveness of prevention programs Speaker(s): Céline Blattner (ACTUARIS), Jean-Louis Rulliere (ISFA / Lyon1 University) Using customer behavior study to improve the rate of accession to prevention programs, and targeting

by VICA2018 Added 2 years ago 0 466 Views

Speakers: Lisa Morgan, Anne Drouin (ILO)

by WTW Added 2 years ago 2 566 Views

Speaker(s): Juergen Fodor (Willis Towers Watson) This presentation (30 minutes) is intended to provide a comparison of the new pure DC plans in Germany - coming into effect in 2018 - with existing DC plans in other countries, in particular the Netherlands

by VICA2018 Added 2 years ago 4 786 Views

Participant(s): Mikko Myrskyla

by VICA2018 Added 2 years ago 0 475 Views

Speaker(s): Thomas Hagemann (Mercer Deutschland GmbH), Georg Thurnes (Aon Hewitt) This presentation (45 minutes) is intended to provide an overview about how the German DC works in practice. To understand why pure DC is such a revolution in Germany we fir

by VICA2018 Added 2 years ago 0 424 Views

by VICA2018 Added 2 years ago 0 518 Views

Speaker: Stefan Oecking In summer 2017 the new "pure defined contribution pension" system was introduced in Germany. This new regime is limited to Union contracts and incorporates the potential to [revolutionise employers' pensions in Germany] [totally ch

by VICA2018 Added 2 years ago 0 577 Views

Speaker: Reiner Dietz This presentation (45 minutes) is intended to provide insights into the challenges of managing pure defined contribution (DC) assets according to the new German regulations. Before 2018, the framework of occupational pensions in Germ

by Milliman Added 2 years ago 1 502 Views

Speaker: Tigran Kalberer Many, especially large and international, insurance companies use internal models for risk measurement, e.g. under Solvency II. Internal models can reflect the risk profile of insurers more adequately than the standard formula and

by VICA2018 Added 2 years ago 7 1,293 Views

Speaker: Naoki Sunamoto Integrated management of capital, risk and return is essential for the contemporary ERM. The relationships between three elements are measured by three metrics: ESR, ROE and RORC. The risk adjusted return metrics represented by ROR

by SwissRE Added 2 years ago 0 403 Views

Speakers: Stefan Reimann, David Baumgartner Temporal clustering of events is a well-documented phenomenon for natural disasters such as winter storms, earthquakes, or floods [1,2,3,4,8]. It constitutes a footprint for memory in the arrival process.The ref

by Deloitte Added 2 years ago 1 825 Views

Speaker: Peter Devlin Actuary 4. 0: how will actuaries‘ careers develop given the change in the employment markets taking place? Given the predicted "end of professions", this paper will make use of the DAV study of their membership that Deloitte Ge

by Deloitte Added 2 years ago 2 831 Views

Speakers: Darryl Wagner, Caroline Bennet The world is changing at an increasing pace and is disrupting everything from how one orders goods and services, stays in a hotel/AirBnB, to how they take a taxi/Uber. Increasingly, this disruption is affecting the

by VICA2018 Added 2 years ago 0 623 Views

Speakers: Lesley Traverso, Jules Gribble The actuarial profession, globally, is at a cross roads. It can continue down a 'safe' and narrow path of relying on the 'statutory castle' to provide guaranteed employment for actuaries. This carries the risk of s

by VICA2018 Added 2 years ago 0 555 Views

Speaker: Christian Furrer We study modeling and estimation for a class of empirical Bayes models which allow for group heterogeneity in the classic Markov chain life insurance setting. Special cases of these models have previously been studied in the actu

by VICA2018 Added 2 years ago 0 516 Views

Speakers: Kristian Buchardt, Thomas Møller We consider the problem of valuation and hedging of cash flows in life and pension insurance, where the cash flows can be dependent on the investment returns in a certain way. Examples of such cash flows a

by VICA2018 Added 2 years ago 0 460 Views

Speaker: Petar Jevtic We consider a partial equilibrium model for pricing a longevity bond in a model with stochastic mortality intensity that affects the income of economic agents. The agents trade in a risky financial security and in the longevity bond

by VICA2018 Added 2 years ago 0 436 Views

Speaker: Jörn Sass We analyze the effects of mandatory unisex tariffs in insurance contracts on equilibrium insurance premia and equilibrium welfare. In the European Union, these are in effect since December 2012 following a ruling of the European Co

by VICA2018 Added 2 years ago 0 461 Views

Speaker(s): Ana Carolina Maia (UNIVERSITY OF SÃO PAULO), Joao Vinicius de Franca Carvalho (University of Sao Paulo) Anti-selection in the health insurance market can be a perverse and compromising phenomenon of insurance portfolio sustainability, w

by VICA2018 Added 2 years ago 0 392 Views

Speaker: Douglas Andrews We argue for the introduction of an alternative home-equity-release product based on the return on a regional house-price-index. This product would provide greater access to equity release for retirement-age homeowners and provide

by VICA2018 Added 2 years ago 1 441 Views

Speaker: Dale Hall This session will provide an overview of the latest Society of Actuaries' mortality research efforts to: update the Human Mortality Database understand data from the US Centers for Disease Control pursue the understanding of age/period/

by VICA2018 Added 2 years ago 0 703 Views

Speakers: Johannes Lörper, Franziska Foellmer Insuring longevity is one of the most important tasks of German life insurance companies. The main products for this protection are annuities. In reserving for, designing and supervising these products, a

by SwissRE Added 2 years ago 0 488 Views

Speaker: Paul Murray Recent population data in some developed countries has shown a meaningful decline in mortality improvement rates. We will consider the possible causes for the decline in improvement observed, looking at the sources for the shift by ke

by VICA2018 Added 2 years ago 1 889 Views

Speaker: Shaun Wang Cyber risk, and more broadly, data information security risk takes on increased importance in today’s digital economy. There are several challenges in quantification of cyber risks, which calls for new actuarial theories for cybe

by VICA2018 Added 2 years ago 1 664 Views

Speaker: Holger Theismann Usually in non-life insurance prices are determined by explicit formulas. The unit costs for claims or administration and the proportional costs like commissions for agents are considered in these formulas. In case steering of pr

by VICA2018 Added 2 years ago 1 636 Views

Speaker: Annina Saluz

by VICA2018 Added 2 years ago 0 622 Views

Speaker(s): Caroline Grégoire (CG4 Coaching) In this presentation, the topic of actuarial and risk communication at a broader level will be handled. Actuarial/Risk reporting is surely a part of it, still actuarial and risk communication relates to

by VICA2018 Added 2 years ago 0 443 Views

Speaker(s): Maria Heep-Altiner (Cologne University of Applied Science) All over the world, individuals and entities are exposed to risk defined as a negative deviation from their "normal" expectations - sometimes with very high economic impacts. In this c

by VICA2018 Added 2 years ago 0 482 Views

Speaker(s): Arian Cani, Markus Binder (University of Regensburg), Markus Haas (University of St. Gallen)

by VICA2018 Added 2 years ago 0 438 Views

Speaker(s): Fabian Winter (Munich Re) Advanced Statistical analyses can enhance traditional actuarial methods to highlight trends and behaviours which can be crucial to the running of a healthcare portfolio. This presentation outlines current new thinking

by VICA2018 Added 2 years ago 0 412 Views

Speaker(s): Daniela Rode (RISK-CONSULTING Prof. Dr. Weyer GmbH) Digitalization is creating new business models in the insurance industry. Health insurers are striving to transform themselves from being a claims payer to being a health player. They want to

by VICA2018 Added 2 years ago 0 420 Views

Speaker(s): Jürgen Huschens (IBM) The world and options of technology is developing at an increasing speed. While topic areas like Big Data or Real-time Analytics are starting to be digested by the Insurance Industry, new technology topics like IoT,

by VICA2018 Added 2 years ago 0 498 Views

Speaker(s): Stuart Schulman (Conduent HR Services) The United Nations Joint Staff Pension Fund (the "Fund") is a pension scheme that covers over 120,000 active employees and over 70,000 retirees and beneficiaries from twenty-two (22) agencies in the Unite

by VICA2018 Added 2 years ago 0 600 Views

Speaker(s): Brian Ridsdale (IAA Mortality Working Group) Over the past forty years many countries have seen a consistent trend of improving longevity. Yet in the past few years some countries have experienced a reduction in the rate of improvement, or eve

by VICA2018 Added 2 years ago 0 468 Views

Speaker(s): Richard Herrmann (Heubeck), Cathy Love Soper (Barnett Waddingham Actuaries and Consultants Limited) Besides the discount rate longevity is the most important assumption for the value of pension obligations. Thus the actuary has to have a close

by VICA2018 Added 2 years ago 0 534 Views

Over the last 5-10 years, more and more actuaries have recognized the importance of target-group-oriented communication of actuarial issues. If you want to become a qualified actuary, nowadays, in some countries, you have to check your communicative skill

by Milliman Added 2 years ago 1 530 Views

Speaker(s): Zachary Brown (Milliman) Insurance is a tremendously important industry full of intelligent and talented people. Many of them have amazing ideas that could revolutionize the way insurance companies help people manage risk in their lives. But c

by VICA2018 Added 2 years ago 0 506 Views

Speaker(s): Dieter Köhnlein (Mazars), Michael Tripp (Mazars LLP) In European Insurance there is an ongoing trend to source out internal functions. In general there is sufficient literature available related to the topic, less is available in the spec

by VICA2018 Added 2 years ago 0 561 Views

Speaker: Christos Mitas We harness the flexibility and extensibility of the Bayesian Hierarchical Modelling (BHM) paradigm to understand the frequency and severity of cyber incidents relating to breach of privacy and data exfiltration. As we continuously

by VICA2018 Added 2 years ago 1 413 Views

Speaker: Dale Hall This presentation will provide an overview of the latest SOA climate research focusing on analysis from recently completed climate risk projects. Included in the presentation is an update on the Actuaries Climate Index. Sponsored by the

by VICA2018 Added 2 years ago 0 444 Views

Speaker(s): Sam Gutterman (self-employed) Climate change will have wide-ranging effects around the world, including on mortality, the focus of this paper, which summarizes some of the leading research around the world. It also describes possible future im

by VICA2018 Added 2 years ago 0 513 Views

Speaker(s): Mathias Raschke (R+V Versicherung) In this contribution, statistical aspects of models for aggregated losses from natural catastrophes are discussed in the sense of scientific peer-review. It is shown, with the aid of an example of earthquake

by VICA2018 Added 2 years ago 0 464 Views

Speaker(s): Mogens Steffensen (University of Copenhagen) We discuss the design of pension products. The theoretical context is decision making under uncertainty with notions of preferences like risk aversion, habit formation, and resolutionof uncertainty.

by VICA2018 Added 2 years ago 0 581 Views

Speaker(s): Darius Weglarz (SCOR)

by VICA2018 Added 2 years ago 5 1,285 Views

Participant(s): Peter Praet ( European Central Bank) Statement by the ECB

by VICA2018 Added 2 years ago 0 793 Views

Participant(s): Stephen O'Hearn (PwC), Klaus Wiener (German Insurance Association), Moderation: Ken Mungan (Milliman)

by VICA2018 Added 2 years ago 1 652 Views

Speaker(s): Marc Slutzky (Milliman), Dan Theodore (Milliman),Stuart Silverman (Milliman) Longevity risk can be described primarily as a "Tail Risk" for negative cash flows that occur years into the future after the original investment is exhausted. The se

by Allianz Added 2 years ago 1 680 Views

Speaker(s): Thorsten Hiester (Allianz Lebensversicherungs-AG) The need for care is one of the most challenging issues for all countries which undergo a demographic change from younger to elderly people due the associated longevity risk. In response to thi

by VICA2018 Added 2 years ago 0 362 Views

Speaker: Enrico Biffis In this talk I will provide a cross sectoral overview of securities lending, and then focus more explicitly on the insurance space, as well as discuss the perspective of regulators addressing the issue of systemic risk contribution

by VICA2018 Added 2 years ago 0 702 Views

Speaker: Andrew Cairns In this session we will consider the impact of longevity risk on the solvency of life insurers. Specifically, we will consider what the options are for an insurer to manage its exposure to longevity risk. In recent years risk manage

by VICA2018 Added 2 years ago 1 426 Views

Speaker: Yahia Salhi This article proposes a parsimonious alternative approach for modeling the stochastic dynamics of mortality rates. Instead of the commonly used factor-based decomposition framework, we consider modeling mortality improvements using a

by VICA2018 Added 2 years ago 1 548 Views

Speaker: Andrés Villegas In the context of population aging, various types of longevity sharing retirement income products have been recently proposed. Those alternative products enable individuals to insure their idiosyncratic mortality risk while

by VICA2018 Added 2 years ago 0 520 Views

Speaker: Jonathan Ziveyi The pricing of longevity-linked securities depends not only on stochastic processes followed by underlying factors, but also the attitude of investors towards the risk of those factors. In this research, we investigate how to deri

by VICA2018 Added 2 years ago 0 419 Views

Speaker: Laurent Marescot Recent advances in modelling technologies are enabling the industry to manage risk and exposure better. The availability of more data to calibrate models, increasing capabilities to run models at higher resolution and faster, and

by VICA2018 Added 2 years ago 0 553 Views

Speaker: Carina Götzen

by VICA2018 Added 2 years ago 1 510 Views

Speaker: Bernhard Reinhardt

by VICA2018 Added 2 years ago 0 457 Views

Speaker: Peter Sousounis

by VICA2018 Added 2 years ago 0 571 Views

Speakers:J.-Matthias von der Schulenburg, Emile Stipp It is a well-known phenomenon that the costs for health care have increased much more than the GDP or the general inflation rate. One component of the health care cost increase is medical inflation. Ob

by VICA2018 Added 2 years ago 0 511 Views

Speakers: Frank Wild, Christian Jacke The drug related consumption and expenses continue to increase every year. This is particularly true for private insurances (PKV) which reimburse pharmaceutical innovations. In comparison to the compulsory sickness in

by VICA2018 Added 2 years ago 0 577 Views

Speaker(s): Dr. Christine Arentz, Frank Wild In Germany, long-term care insurance has been introduced as a pay-as-you go (PAYG) financing scheme in 1995. This system is however not sustainable with demographic change leading to a growing number of very ol

by VICA2018 Added 2 years ago 0 386 Views

Speaker: Ian Duncan The cost of dying in is significant; in the United States, about one-third of all Medicare expenses are incurred in the last 6 months of a person's life with 8 out of 10 deaths being covered under the Medicare benefit. We discuss the c

by VICA2018 Added 2 years ago 0 565 Views

Speakers:Denis Latulippe, Carolyn Kaiser The United Nations Joint Staff Pension Fund (UNJSPF) is a 60+ year old defined benefit plan providing retirement, disability, and death benefits to over 120,000 staff members of the United Nations and 23 other inte

by VICA2018 Added 2 years ago 1 828 Views

Speaker: Rainer Berntzen

by VICA2018 Added 2 years ago 0 1,204 Views

Participants: Peter Devlin, Gurvan Le Guern, Alf Gohdes

by VICA2018 Added 2 years ago 2 602 Views

Speaker: Alf Gohdes -how the low investment return expectations impact the retirement savings planning of the man-in-the-street - This paper attempts to quantify the impact that lower investment return expectations have on the retirement planning of the a

by VICA2018 Added 2 years ago 0 550 Views

Speakers: Nicola Doering, Nigel Sloam und Paul Timmins In Germany in 2009 there was a reform of the Pension Adjustment Act, which deals with pension rights in a divorce case. This new act has massively boosted the role of the actuary during this process.

by VICA2018 Added 2 years ago 0 514 Views

Speaker: Charles Cowling The Pensions and Employee Benefits Committee of the International Actuarial Association created a working party to produce an educational monograph on the funding of DB plans and the role of actuaries. This paper looks at the fund

by VICA2018 Added 2 years ago 0 446 Views

Speaker: Randy Bauslaugh The global occupational retirement savings deficit is reportedly $70 trillion and growing. There are common factors contributing to this deficit in developed economies, including trends towards self-employment, conversion from def

by VICA2018 Added 2 years ago 2 1,744 Views

Speaker: Friedrich Loser Several claim prediction competitions on "Your Home of Data Science" kaggle.com were dominated and finally won by applying non-parametric machine learning methods, e.g. random forest and gradient tree boosting, instead of using pa

by VICA2018 Added 2 years ago 0 889 Views

Speakers: Frank Schönfelder, Clemens Frey New techniques related to machine learning, big data and analytics gain more and more attention from the actuarial community, but also decision-makers the insurance industry. There is also a trend in the Germ

by VICA2018 Added 2 years ago 0 436 Views

A classical construction principle for dependent failure times is to consider shocks that destroy components within a system. The arrival times of shocks can destroy arbitrary subsets of the system, thus introducing dependence. The seminal model - based o

by VICA2018 Added 2 years ago 1 799 Views

Speaker: Mario V. Wüthrich Classical claims reserving works on so-called claims reserving triangles which are aggregated insurance portfolios. A crucial assumption in classical claims reserving is that these aggregated portfolios are sufficiently hom

by VICA2018 Added 2 years ago 0 433 Views

Speaker: Ralf Korn

by VICA2018 Added 2 years ago 0 748 Views

Speakers: Jessica Chen, Damjan Vukcevic Modern-day genetic research has uncovered thousands of genetic variants that are associated with greater risk of common human diseases, such as cancer, heart disease and diabetes. These variants are generally common

by VICA2018 Added 2 years ago 0 494 Views

Speaker: Peter Banthorpe, Cathryn Lewis detailed health and lifestyle data. a study based on half a million lives in the uk biobank cohort RGA have sponsored a ground-breaking research project at King’s College London. The research focuses on predic

by VICA2018 Added 2 years ago 0 447 Views

Speaker: Alfred Müller In the theory of risk measures expectiles have recently found increasing interest as they are the only risk measures that are coherent and elicitable. Comparing expectiles is mathematically equivalent to comparing Omega ratios,

by VICA2018 Added 2 years ago 0 479 Views

Speaker:Stéphane Loisel In this talk, we present challenges related to understanding, modelling, hedging and monitoring longevity risk. We first describe longevity risk and its potential consequences for the insurance and pension industry. We then

by VICA2018 Added 2 years ago 1 567 Views

Speaker: Bernhard Kaufmann The insurance industry worldwide has faced numerous changes and innovations in recent years. These essentially arise from a changing global risk landscape, digitalisation, big data and automation, new regulatory demands. This pr

by VICA2018 Added 2 years ago 6 903 Views

Speaker: Marcel Wiedemann What if claims reserving could be done at the speed of light? We are proposing exactly that! Reserving 4.0 – our vision of real-time reserving, making it faster, more detailed as well as enhancing quality. But, why are we p

by VICA2018 Added 2 years ago 0 544 Views

Speaker: Mathias Lindholm We introduce a complete program for the valuation of aggregate non-life insurance liability cash flows based on claims triangle data. The valuation is fully consistent with the principle of valuation by considering the costs asso

by VICA2018 Added 2 years ago 0 436 Views

Speaker: Jürgen Fischer Munich Re is currently performing for the third time (after 2010 and 2014 and 2017) the so-called High Cost Claims analysis in the Private Health Insurance sector of Germany. A High Cost Claim (HCC) is defined as all benefits

by VICA2018 Added 2 years ago 0 417 Views

Speaker: Hanno Reich The German legislator has introduced optional covers in German Public Health Insurance in 2007. In my presentation I will explain the background of this decision, the different products which were introduced in the market and details

by VICA2018 Added 2 years ago 0 443 Views

Speaker: Hanno Reich Health insurance markets and systems for health insurance vary widely globally. In particular private health insurance competes with or supplements the public health system. Thus a broad range of different products are offered in the

by VICA2018 Added 2 years ago 1 865 Views

Participants: Olav Cuiper, Alf Neumann, Andrew Rear, Corinne Trocellier, John Haley

by Milliman Added 2 years ago 0 428 Views

Speakers: Didier Serre, Joanne Buckle High cost technologies, mostly targeting rare diseases and genetic disorders, are becoming a growing source of concern to public and private payers. The front-loaded budget impact of novel curative therapies, potentia

by VICA2018 Added 2 years ago 0 505 Views

Speaker: Alexander Bohnert An analysis of underwriting risk underwriting costs and classification systems Against the background of the demographic development with an ageing society and rising life expectancies in most industrialized countries, solutions

by VICA2018 Added 2 years ago 0 445 Views

Speaker:Assia Billig Increases in longevity and decreases in fertility have led to the aging of many countries' populations and to increases in old-age dependency ratios. At the same time, current interest rates in many countries are at very low levels. T

by VICA2018 Added 2 years ago 0 550 Views

Speakers: Steve Bonnar,Aniketh Pittea Although declining in popularity, employment-based defined benefit pension plans (EDBPP) still are expected to provide an important source of post-retirement income to many individuals in developed countries. Such pla

by VICA2018 Added 2 years ago 0 477 Views

Sven Wiesinger Over the last decade, a vivid market for pension block transactions has developed. Initially concentrated on the UK, market activities are spreading into increasingly more countries. Like any life and health insurance business, pension bloc

by VICA2018 Added 2 years ago 2 841 Views

Speaker:Satraajeet Mukherjee Insurance companies deal with a lot of structured and unstructured claims data in their daily activities. With the growing popularity of big data and machine learning algorithms in other industries, there is a call for insuran

by Deloitte Added 2 years ago 0 526 Views

Speaker: Jurjen Boog The actuarial cycle links the core actuarial activities of non-life insurance: pricing, reserving, risk and performance management. However, in practice little communication exists between the models in each of the individual elements

by VICA2018 Added 2 years ago 1 481 Views

Speaker: Markus Knecht It is widespread practice in short tailed lines to model the large loss activity by fitting a distribution to the empirical samples available. This method does not extend in a straight forward manner to long tailed lines as the empi

by VICA2018 Added 2 years ago 0 703 Views

Speaker:Mario V. Wüthrich

by VICA2018 Added 2 years ago 0 428 Views

Speaker: Loïc Berger

by VICA2018 Added 2 years ago 0 461 Views

Speaker:Esko Kivisaari Are actuaries neutral technicians when it comes to mitigation of climate change? Actuaries have expertise in valuing the future, for example when it comes to pension liabilities - should actuaries develop expertise to take into acco

by msg_life Added 2 years ago 1 1,179 Views

Speaker: Stefan Nörtemann Due to technological progress in connection with Actuarial Data Science and Digitalization, summarized under the buzzword Big Data, a plethora of opportunities (insurance analytics) & challenges (innovative products) for

by VICA2018 Added 2 years ago 0 640 Views

Speaker: Mathias Ott The definition of Bitcoin late in 2009 was not recognized to be a revolution in the financial industry. About ten years later a value of more than $2.000 per bitcoin can be observed, as well as a traded volume of $300.000.000 per day.

by Sven Added 2 years ago 1 437 Views

Speaker: Sam Gutterman In 2016, the FSB asked Michael Bloomberg to chair a taskforce. With one eye on the crisis of 2008, the FSB was worried that a lack of information about (climate) risks can lead to a mispricing of assets / misallocation of capital an

by VICA2018 Added 2 years ago 4 1,394 Views

Participants: Gabriel Bernardino, Yannick Hausmann, Felix Hufeld, Elise Liebers, Patrick Raaflaub, Victoria Saporta Moderation: Nils Dennstedt

by VICA2018 Added 2 years ago 1 644 Views

Speakers: Sarah Kroemer, Wolfgang Stummer For the calculation of premiums, financial reserves, annuities, pension benefits, various benefits of social insurance programs, and many other quantities, a realistic representation of mortality rates is of funda

by VICA2018 Added 2 years ago 0 605 Views

Speakers: Santiago Fiallos, Vincent Noel In the last century, life expectancy has increased significantly due to medical advances and changes in lifestyle. As the aged population grows, the estimation and the modelling of mortality rates at very old ages

by VICA2018 Added 2 years ago 0 780 Views

Speaker: Martin Genz There exists a variety of literature on the question how the age distribution of deaths changes over time as life expectancy increases. However, corresponding terms like extension, compression, or rectangularization are sometimes defi

by VICA2018 Added 2 years ago 1 561 Views

Speaker: Johannes Schupp Due to the observed and persistently strong improvements in life expectancy, the estimation of future mortality improvements and trends by actuaries and demographers gains more and more social and financial importance. Often, (sto

by VICA2018 Added 2 years ago 0 555 Views

Speakers: Ayse Arik, Andrew Cairns Pension buy-out is a special financial asset issued to offload the pension liabilities holistically in exchange for an upfront premium. In this paper, we concentrate on the pricing of pension buy-outs under dependencebet

by VICA2018 Added 2 years ago 4 868 Views

Speaker: Yosuke Goto With the recent progresses such as the enforcement of Solvency II in Europe, the publication ICS version 1.0 and development of ERM, needs for timely calculation of indicators with huge computation is growing (e.g. risk measurements o

by VICA2018 Added 2 years ago 0 663 Views

Speaker: Astrid Seltmann As marine insurance is usually no issue at actuarial conferences, I propose to give an overview over the global marine insurance market and its characteristics, challenges and opportunities with specific focus on issues relevant t

by VICA2018 Added 2 years ago 4 1,720 Views

Participants: Olaf Cuiper, Corinne Trocellier, Alf Neumann, Andrew Rear, John Haley

by VICA2018 Added 2 years ago 0 926 Views

Speakers: Shu Yi Lim, Nicholas Chee Lek Yeo Actuaries calculate ultimate loss by employing various standard actuarial techniques combined with expert judgment. These calculations are often manual and time-consuming. Judgments are biased. To ensure the act

by VICA2018 Added 2 years ago 0 677 Views

Speaker: Ana Mata This research paper fills the void in the currently available actuarial literature related to information required by the reinsurance underwriter but often lacking when pricing property per risk coverages worldwide. Results from surveys

by VICA2018 Added 2 years ago 1 887 Views

Speakers: Lukas Hahn, Marc Linde Projection of own funds and capital requirements over a multi-year horizon has become a fundamental component in modern risk- and value-based business planning and regulatory requirements for insurance companies. For examp

by VICA2018 Added 2 years ago 1 607 Views

Speaker: Peter Vekas Hunt and Blake (2015) and Villegas et al. (2016) have recently created an attractive unifying framework of several popular mortality forecasting techniques (including the Poisson variant of the famous Lee - Carter model as well as the

by VICA2018 Added 2 years ago 0 482 Views

Speaker: Alexander Bohnert This paper proposes a system for the automatic adjustment of pension benefits taking into account the mortality risk of the dependency level of the beneficiary. To that end a simplified multi-state Markov chain model is included

by VICA2018 Added 2 years ago 0 409 Views

Speaker(s): Dirk Kuijpers

by VICA2018 Added 2 years ago 0 853 Views

Speaker: Marian Elliott Across the world, various regulatory frameworks are in place for appropriate measurement and management of risk; indeed IORPII mandates a separate risk management function as well as an “own risk assessment”. But how sh