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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
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
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
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
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
Speaker(s): Paul Glasserman (Columbia University)
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
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
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
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.
Universal Life (UL) is a widespread type of personal insurance in many countries around the world. lts design combines the protection of bife insurance with the income provided by investment funds, through profit sharing, transparency of individual accoun
Calibration of Economic Scenarios Generators: Key Challenges Speakers:Alexandre Boumezoued, Pierre-Edouard Arrouy, Paul Bonnefoy The context of a prolonged decline in interest rates has led most life insurers to make profound changes, particularly with re
Speaker: Paul Fulcher (Milliman) Recording from 29 January 2020 A review of the Risk Margin – Solvency II and beyond (Discussion of report from the IFoA Risk Margin Working Party) The risk margin has proven a controversial element of the Solvency I
This paper aims to calculate the fiscal and distributive impacts on the Brazilian National Pension Scheme, generated from the original version of the pension reform presented by the president Jair Bolsonaro in the beginning of 2019. This is the most compr
The paper summarises the main features and trends in pension fund ESG risks disclosure around the world available to regulators, members and the public. It includes reference to statutory requirements, general practice and voluntary disclosures in relatio
The following SAI Event Page includes PDF of the slides: Please seehttps://web.actuaries.ie/events/2020/04/webinar-investing-covid19-international-perspective
Economic valuation standards are widely used in the insurance industry and provide the basis for the Swiss Solvency Test, Solvency II, and IFRS 17. The application of these standards has given rise to many questions, such as whether the 6% cost of capital
Websession by the IAA's Recourse & Environment Working Group in January 2019.
Universal Life policies dominated the market during the 1980’s and 1990’s. They introduced flexibility to the market as they replaced traditional with-profit reversionary bonus and unit linked endowment products. However this paper puts forwar
In this one-hour session, four leaders from RGA Asia share their views from different, yet integrated, perspectives to help insurers make sense of the evolving global pandemic, covering the following themes: General medical and epidemiological overview of