Conference Program: Actuarial Specialties
Life Insurance (L)
Sessions
11: Delivery of Actuarial Services
(L)
(H)
(B)
(E)
Explore the effects of the elimination of gender as a factor in premium calculation on the pricing, product design and distribution of Life Insurance in the European Union. Learn how the design and administration of pension and life insurance products, and their reserve calculations and audit, can be based on a common formal notation. Additionally, gain insight into a software design for efficient reserve computations, including those for advanced and non-standard life insurance and pension products, that uses a flexible and precise notation that is both machine- and human-readable.
Explore the effects of the elimination of gender as a factor in premium calculation on the pricing, product design and distribution of Life Insurance in the European Union. Learn how the design and administration of pension and life insurance products, and their reserve calculations and audit, can be based on a common formal notation. Additionally, gain insight into a software design for efficient reserve computations, including those for advanced and non-standard life insurance and pension products, that uses a flexible and precise notation that is both machine- and human-readable.
12: Annuity Product Development
(L)
(H)
Find out about an annuity concept with coverage against serious illnesses and long term care, and how explicit representations for prices of some of the VA products can be derived in a hybrid model for insurance and market risks.
Find out about an annuity concept with coverage against serious illnesses and long term care, and how explicit representations for prices of some of the VA products can be derived in a hybrid model for insurance and market risks.
13: Projecting Mortality and Life Expectancy
(L)
(B)
Mortality trends play a key role in projecting the financial health of retirement systems. This session will explore the need for more sophisticated analyses and disclosures as well as techniques and outcomes.
Mortality trends play a key role in projecting the financial health of retirement systems. This session will explore the need for more sophisticated analyses and disclosures as well as techniques and outcomes.
22: Developing World Issues 1
(L)
(B)
(E)
Explore a new parsimonious framework that incorporates cause dependence in cause-specific mortality models, addressing a traditional modeling limitation. Gain insight into a proposed risk-based capital (RBC) model, designed to encourage regulators in Africa to introduce RBC into their regimes. The approach examines current models in Europe, Asia, and South Africa to come up with a model that would be suitable for African countries. Learn about the new 2013 mortality tables introduced in Sub-Saharan Africa and related critical challenges, including development and implementation, the impact on annuity and insurance products, and follow-up experience studies.
Explore a new parsimonious framework that incorporates cause dependence in cause-specific mortality models, addressing a traditional modeling limitation. Gain insight into a proposed risk-based capital (RBC) model, designed to encourage regulators in Africa to introduce RBC into their regimes. The approach examines current models in Europe, Asia, and South Africa to come up with a model that would be suitable for African countries. Learn about the new 2013 mortality tables introduced in Sub-Saharan Africa and related critical challenges, including development and implementation, the impact on annuity and insurance products, and follow-up experience studies.
23: Investments - People and Instruments
(L)
(H)
(N)
(B)
(E)
(P)
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
24: IFRS
(L)
The International Accounting Standards Board and the Financial Accounting Standards Board are expected to approve new accounting standards for insurance contracts early in 2015, which will be effective in 2018 or later. Discuss the current status of the standards and the theoretical and practical actuarial issues involved in implementing them.
The International Accounting Standards Board and the Financial Accounting Standards Board are expected to approve new accounting standards for insurance contracts early in 2015, which will be effective in 2018 or later. Discuss the current status of the standards and the theoretical and practical actuarial issues involved in implementing them.
25: Capital Models and Solvency II
(L)
(H)
(N)
(B)
(E)
(P)
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
26: Risk and Annuities - Hedging, Risk Factors, and Policyholder Behavior
(L)
(H)
(B)
(E)
(P)
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
31: Life Product Development
(L)
Learn how to align insurance propositions with middle market customers' needs; characteristics and aspects of with-profits/participating business; and insurance contracts within a Markov model.
Learn how to align insurance propositions with middle market customers' needs; characteristics and aspects of with-profits/participating business; and insurance contracts within a Markov model.
32: Developing World Issues 2
(L)
Find out how the HIV AIDS pandemic has impacted the industry including marketing, underwriting and claims. Learn how you can boost your marketing plan with the SOSTAC planning system. Also, hear about anomalies in the industry in Bangladesh and how actuarial students are trying to show more recent mortality trends.
Find out how the HIV AIDS pandemic has impacted the industry including marketing, underwriting and claims. Learn how you can boost your marketing plan with the SOSTAC planning system. Also, hear about anomalies in the industry in Bangladesh and how actuarial students are trying to show more recent mortality trends.
35: Financial Valuation under Difficult Circumstances
(L)
(H)
(N)
(B)
(E)
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
37: Longevity Risk
(L)
(B)
Individuals are living longer than ever before. In this session, we look at several research longevity initiatives that are addressing the challenges and opportunities associated with increasing lifespans.
Individuals are living longer than ever before. In this session, we look at several research longevity initiatives that are addressing the challenges and opportunities associated with increasing lifespans.
41: Product Development and Policyholder Behavior
(L)
(B)
Explore the effect of policyholder behavior on life insurance cash flows. Get the latest on evolving practices for measuring experience data and setting actuarial assumptions reflecting policyholder behavior. Discuss ways to improve the design of pension products. Finally, learn about what's at the forefront of actuaries' minds globally.
Explore the effect of policyholder behavior on life insurance cash flows. Get the latest on evolving practices for measuring experience data and setting actuarial assumptions reflecting policyholder behavior. Discuss ways to improve the design of pension products. Finally, learn about what's at the forefront of actuaries' minds globally.
42: Mortality Issues
(L)
(B)
(E)
Hear about a new approach to the problem of modeling pandemic flu, gain insight into the worldwide obesity epidemic and its implications for actuaries, and get more details on regime-switching models as they relate to Turkish mortality data and pricing.
Hear about a new approach to the problem of modeling pandemic flu, gain insight into the worldwide obesity epidemic and its implications for actuaries, and get more details on regime-switching models as they relate to Turkish mortality data and pricing.
43: Longevity Risk - Life
(L)
(B)
Three presentations on mortality trends and longevity risk.
Three presentations on mortality trends and longevity risk.
44: Investment Modeling
(L)
(H)
(N)
(B)
(E)
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
45: Liquidity and Reserve Risk
(L)
(H)
(N)
(B)
(E)
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
47: The Global Economic Outlook, and Its Implications for Insurance and Pensions
(L)
(B)
(E)
(C)
Crises, the current pace of economic activity, inflation and the interest rate environment both in advanced and emerging economies are creating a myriad of challenges world-wide. The first presenters expand upon your knowledge by expressing their ideas and opinions on the global economic outlook. The next speakers present an overview of different types of inflation measurements relevant in an economic and insurance context. The speakers then analyze the impact of inflation on insurers. The effects of inflation are discussed in detail along with the various means for insurers to protect themselves against inflation surprises. The final presenter discusses ERM for pension funds.
Crises, the current pace of economic activity, inflation and the interest rate environment both in advanced and emerging economies are creating a myriad of challenges world-wide. The first presenters expand upon your knowledge by expressing their ideas and opinions on the global economic outlook. The next speakers present an overview of different types of inflation measurements relevant in an economic and insurance context. The speakers then analyze the impact of inflation on insurers. The effects of inflation are discussed in detail along with the various means for insurers to protect themselves against inflation surprises. The final presenter discusses ERM for pension funds.
51: Reinsurance: Modeling Mortality Rating Factors
(L)
(E)
Brush up on what is meant by financing reinsurance, and differences between cash/non-cash financing and risks. Hear reinsurance solutions for group business, and get a recap of the specifics of group business and solutions. And, see a practical demonstration of using GLMs to determine mortality rating factors.
Brush up on what is meant by financing reinsurance, and differences between cash/non-cash financing and risks. Hear reinsurance solutions for group business, and get a recap of the specifics of group business and solutions. And, see a practical demonstration of using GLMs to determine mortality rating factors.
52: Research Perspectives on Regulation
(L)
(E)
Get leading edge perspectives on risk! Hear new research results related to regulatory risk and systemic risk/modeling risk from the Society of Actuaries.
Get leading edge perspectives on risk! Hear new research results related to regulatory risk and systemic risk/modeling risk from the Society of Actuaries.
55: New Ideas
(L)
(H)
(N)
(B)
(E)
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
58: Managing Longevity Risk
(L)
(B)
(C)
In today's world there exists a need to fully manage longevity risk and develop models that are practical for specific purposes. The authors of the papers discuss their thoughts on managing longevity as it applies to resolving conflict between the need for complexity for the individual populations versus the requirement for robustness in future forecasts and the development of risk transfer in capital and risk management.
In today's world there exists a need to fully manage longevity risk and develop models that are practical for specific purposes. The authors of the papers discuss their thoughts on managing longevity as it applies to resolving conflict between the need for complexity for the individual populations versus the requirement for robustness in future forecasts and the development of risk transfer in capital and risk management.
60: Valuation Techniques
(L)
(B)
Take a deeper dive into the Thiele differential equation, get a sound definition of forward rates (and find out what's unique about that definition) and discuss zero/low interest rate economies in developed countries, including solvency regulation, stock market, longer duration CDS rate and more.
Take a deeper dive into the Thiele differential equation, get a sound definition of forward rates (and find out what's unique about that definition) and discuss zero/low interest rate economies in developed countries, including solvency regulation, stock market, longer duration CDS rate and more.
61: Solvency
(L)
(E)
Examine the natural hedging approach proposed to internally hedge systematic longevity risk exposures. Check out a proposed method that generates parameters drawn from a given set that maximizes the reserve. And hear a comparison of simulation results of the financial development of insurance portfolios containing policies with differing guarantee designs.
Examine the natural hedging approach proposed to internally hedge systematic longevity risk exposures. Check out a proposed method that generates parameters drawn from a given set that maximizes the reserve. And hear a comparison of simulation results of the financial development of insurance portfolios containing policies with differing guarantee designs.
62: Underwriting
(L)
(B)
Learn new techniques for modeling policyholder behavior and worldwide differences in the types of underwriting done, life expectancies, and mortality improvement.
Learn new techniques for modeling policyholder behavior and worldwide differences in the types of underwriting done, life expectancies, and mortality improvement.
67: Wellness, Behavior, and Medical Inflation
(L)
(H)
In the overall medical inflation landscape, where effects of demographic changes and supply side inflation are often well understood by actuaries, does wellness behavior (or the lack thereof) make a significant contribution to containing (or exacerbating) medical inflation? Evidence from studies in South Africa and Canada will be presented.
In the overall medical inflation landscape, where effects of demographic changes and supply side inflation are often well understood by actuaries, does wellness behavior (or the lack thereof) make a significant contribution to containing (or exacerbating) medical inflation? Evidence from studies in South Africa and Canada will be presented.
74: International Perspective about the Future of the Actuarial Profession, Part One
(L)
(N)
(P)
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Solvency measurement is definitely one of the most sensitive actuarial tasks in insurance company. The intention of the first paper is to make clearer the key challenges of Solvency II regime implementation in small transitional countries, considering the small countries characteristics and the Solvency II complexity. The quantity of data is growing rapidly with respect to risks, customers and their behavior. Are actuaries evolving in way that will leverage their unique skill set by taking on the challenge of quantifying risk in this ‘brave new [data-intensive] world’? The second set of presenters will share their vision for the Actuary as the preeminent professional in the new data driven (business) world.
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Solvency measurement is definitely one of the most sensitive actuarial tasks in insurance company. The intention of the first paper is to make clearer the key challenges of Solvency II regime implementation in small transitional countries, considering the small countries characteristics and the Solvency II complexity. The quantity of data is growing rapidly with respect to risks, customers and their behavior. Are actuaries evolving in way that will leverage their unique skill set by taking on the challenge of quantifying risk in this ‘brave new [data-intensive] world’? The second set of presenters will share their vision for the Actuary as the preeminent professional in the new data driven (business) world.
78: IAIS Global Capital Standards
(L)
(H)
(N)
(B)
(E)
(P)
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
79: The Importance of Big Data in the Life and Health Insurance Industry
(L)
(H)
This session shows how the world of insurance, underwriting and product development could change in response to Big Data.
This session shows how the world of insurance, underwriting and product development could change in response to Big Data.
82: Operational Risk
(L)
(H)
(N)
(B)
(E)
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
83: International Perspective about the Future of the Actuarial Profession, Part Two
(L)
(P)
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Speakers will discuss the role that actuaries should play in the constantly changing global environment. Topics will include the evolution of the actuarial profession; social security and the role of the actuary in Latin America; and the new accounting standards for Indonesian actuaries.
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Speakers will discuss the role that actuaries should play in the constantly changing global environment. Topics will include the evolution of the actuarial profession; social security and the role of the actuary in Latin America; and the new accounting standards for Indonesian actuaries.
87: ORSA: Perspectives on an International Practice
(L)
(H)
(N)
(B)
(E)
(P)
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
89: Pushing the Limits - Extremes, Stress Scenarios, and Risk of Ruin
(L)
(H)
(N)
(B)
(E)
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
93: Risk Classification Systems
(L)
(H)
(N)
(B)
(E)
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
94: Risk Management in Practice - Part 1
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
97: Predictive Modeling: Too Much of a Good Thing?
(L)
(H)
(N)
(P)
A debate. Modern insurance is really just a formalized community risk sharing with an insurance company administering the process. This process depends on a collective view of risk. Hundreds of policyholders sign contracts that state that their collective cohort will make any policyholder, who has an unfortunate event, whole. It is this use of the collective that makes insurance work. And it is a miraculous financial instrument. But, modern reality is significantly different than the insurance nirvana outlined above. Today there is a strongly increased focus on individual equity that erodes the principles of collective risk sharing. Or, does the application of predictive modeling increase the power of the collective? Our two speakers will wrestle with these issues in a debate format.
A debate. Modern insurance is really just a formalized community risk sharing with an insurance company administering the process. This process depends on a collective view of risk. Hundreds of policyholders sign contracts that state that their collective cohort will make any policyholder, who has an unfortunate event, whole. It is this use of the collective that makes insurance work. And it is a miraculous financial instrument. But, modern reality is significantly different than the insurance nirvana outlined above. Today there is a strongly increased focus on individual equity that erodes the principles of collective risk sharing. Or, does the application of predictive modeling increase the power of the collective? Our two speakers will wrestle with these issues in a debate format.
114: Risk Management in Practice - Part 2
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
115: Uncertainty - A Continuing Discussion
(L)
(H)
(N)
(B)
(E)
(P)
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
116: Leveraging New Insights from the Global Burden of Disease and Risks to Achieve Great Health Gains at Lower Costs
(L)
(H)
This session discusses The Global Burden of Disease and Risk, and its implications for adult health priorities. Integrating the Global Burden of Disease and related financial data on healthcare costs in order to project cost trends and estimate prevention gains will be demonstrated. There will also be a case study from the Congressional Budget Office on modelling the long term impact of an increase in the Federal Tobacco Excise Tax.
This session discusses The Global Burden of Disease and Risk, and its implications for adult health priorities. Integrating the Global Burden of Disease and related financial data on healthcare costs in order to project cost trends and estimate prevention gains will be demonstrated. There will also be a case study from the Congressional Budget Office on modelling the long term impact of an increase in the Federal Tobacco Excise Tax.
117: Papers Presented by French Actuaries on Models in Life and Non-Life Insurance
(L)
(N)
The presented papers are winners of a contest organised by the French actuaries to help recent actuaries to participate at the ICA2014.
The presented papers are winners of a contest organised by the French actuaries to help recent actuaries to participate at the ICA2014.
204: Limited Attendance Session 4 - Tour U.S. Federal Insurance Office at Department of the Treasury
(L)
(H)
(N)
(B)
(E)
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
Health Insurance and Related Topics (H)
Sessions
11: Delivery of Actuarial Services
(L)
(H)
(B)
(E)
Explore the effects of the elimination of gender as a factor in premium calculation on the pricing, product design and distribution of Life Insurance in the European Union. Learn how the design and administration of pension and life insurance products, and their reserve calculations and audit, can be based on a common formal notation. Additionally, gain insight into a software design for efficient reserve computations, including those for advanced and non-standard life insurance and pension products, that uses a flexible and precise notation that is both machine- and human-readable.
Explore the effects of the elimination of gender as a factor in premium calculation on the pricing, product design and distribution of Life Insurance in the European Union. Learn how the design and administration of pension and life insurance products, and their reserve calculations and audit, can be based on a common formal notation. Additionally, gain insight into a software design for efficient reserve computations, including those for advanced and non-standard life insurance and pension products, that uses a flexible and precise notation that is both machine- and human-readable.
12: Annuity Product Development
(L)
(H)
Find out about an annuity concept with coverage against serious illnesses and long term care, and how explicit representations for prices of some of the VA products can be derived in a hybrid model for insurance and market risks.
Find out about an annuity concept with coverage against serious illnesses and long term care, and how explicit representations for prices of some of the VA products can be derived in a hybrid model for insurance and market risks.
15: CRO Roundtable - Life
(H)
(B)
(E)
(P)
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
23: Investments - People and Instruments
(L)
(H)
(N)
(B)
(E)
(P)
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
25: Capital Models and Solvency II
(L)
(H)
(N)
(B)
(E)
(P)
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
26: Risk and Annuities - Hedging, Risk Factors, and Policyholder Behavior
(L)
(H)
(B)
(E)
(P)
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
35: Financial Valuation under Difficult Circumstances
(L)
(H)
(N)
(B)
(E)
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
44: Investment Modeling
(L)
(H)
(N)
(B)
(E)
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
45: Liquidity and Reserve Risk
(L)
(H)
(N)
(B)
(E)
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
55: New Ideas
(L)
(H)
(N)
(B)
(E)
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
67: Wellness, Behavior, and Medical Inflation
(L)
(H)
In the overall medical inflation landscape, where effects of demographic changes and supply side inflation are often well understood by actuaries, does wellness behavior (or the lack thereof) make a significant contribution to containing (or exacerbating) medical inflation? Evidence from studies in South Africa and Canada will be presented.
In the overall medical inflation landscape, where effects of demographic changes and supply side inflation are often well understood by actuaries, does wellness behavior (or the lack thereof) make a significant contribution to containing (or exacerbating) medical inflation? Evidence from studies in South Africa and Canada will be presented.
68: Improve Health and Lower Diabetes Costs – A Comparison of Seven Countries
(H)
Healthcare spending growth is a global issue. This presentation will look at how seven countries across the globe are improving their population health and lowering health care costs by focusing on a growing chronic disease –diabetes. We will also look at how health actuaries can use their expertise to contribute to the overall goal of improving outcomes and lowering costs to the healthcare system.
Healthcare spending growth is a global issue. This presentation will look at how seven countries across the globe are improving their population health and lowering health care costs by focusing on a growing chronic disease –diabetes. We will also look at how health actuaries can use their expertise to contribute to the overall goal of improving outcomes and lowering costs to the healthcare system.
75: Health Systems and Reforms
(H)
(P)
Find out about national health insurance schemes in West Africa and challenges ahead of the initiators and actuaries. Get an understanding of how governments handle the challenge of providing healthcare to constituents, with a look at systems/models. And, look at what aspects of modeling are consistent or vary across countries.
Find out about national health insurance schemes in West Africa and challenges ahead of the initiators and actuaries. Get an understanding of how governments handle the challenge of providing healthcare to constituents, with a look at systems/models. And, look at what aspects of modeling are consistent or vary across countries.
76: Balancing the Roles of Public and Private Health Care Systems Around the World
(H)
(C)
Access to affordable healthcare for the low-income population is an important issue around the world. The presenters at the start of this session explore how different countries have designed their healthcare safety net. The speakers provide comparative information regarding program design, financing arrangements and relative cost, access to care, quality of care, and other issues; explore the impact of population demographics and income distribution; and discuss how microinsurance has been used to fill an important void in countries without a formal healthcare safety net. In addition, presenters examine the actuarial aspects of measuring health system costs, access, and quality. The speakers at this presentation address aspects of modeling that are consistent across countries and aspects that vary based on various environmental, political, and policy characteristics.
Access to affordable healthcare for the low-income population is an important issue around the world. The presenters at the start of this session explore how different countries have designed their healthcare safety net. The speakers provide comparative information regarding program design, financing arrangements and relative cost, access to care, quality of care, and other issues; explore the impact of population demographics and income distribution; and discuss how microinsurance has been used to fill an important void in countries without a formal healthcare safety net. In addition, presenters examine the actuarial aspects of measuring health system costs, access, and quality. The speakers at this presentation address aspects of modeling that are consistent across countries and aspects that vary based on various environmental, political, and policy characteristics.
78: IAIS Global Capital Standards
(L)
(H)
(N)
(B)
(E)
(P)
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
79: The Importance of Big Data in the Life and Health Insurance Industry
(L)
(H)
This session shows how the world of insurance, underwriting and product development could change in response to Big Data.
This session shows how the world of insurance, underwriting and product development could change in response to Big Data.
82: Operational Risk
(L)
(H)
(N)
(B)
(E)
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
84: Long Term Care and its Sustainability
(H)
(P)
See a visual display that enables the sustainability of elderly support/care programs in developed countries to be understood quickly. Plus—a survey yields insights about insurer attitudes, as senior officers at life insurance, life reinsurance and financial services consultancies in the LTCI market look into the future.
See a visual display that enables the sustainability of elderly support/care programs in developed countries to be understood quickly. Plus—a survey yields insights about insurer attitudes, as senior officers at life insurance, life reinsurance and financial services consultancies in the LTCI market look into the future.
85: Challenges and Solutions to Health Actuarial Matters in Developing Countries
(H)
In this session, the insurability of HIV positive people, compared to those suffering from other chronic conditions, as well as different models of providing low cost health insurance are investigated.
In this session, the insurability of HIV positive people, compared to those suffering from other chronic conditions, as well as different models of providing low cost health insurance are investigated.
87: ORSA: Perspectives on an International Practice
(L)
(H)
(N)
(B)
(E)
(P)
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
89: Pushing the Limits - Extremes, Stress Scenarios, and Risk of Ruin
(L)
(H)
(N)
(B)
(E)
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
93: Risk Classification Systems
(L)
(H)
(N)
(B)
(E)
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
94: Risk Management in Practice - Part 1
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
96: Cost, Access, and Quality - The US Health System and the Affordable Care Act
(H)
This session will discuss the Affordable Care Act and the state of health coverage in the US, and with Cost Containment. The presentation will also consider in detail the recent efforts in Massachusetts to address cost growth. Massachusetts is home to the most expensive health care in the country and perhaps in the world. The presentation will review recent legislation and initiatives both by government and the industry to ‘bend the cost curve.’
This session will discuss the Affordable Care Act and the state of health coverage in the US, and with Cost Containment. The presentation will also consider in detail the recent efforts in Massachusetts to address cost growth. Massachusetts is home to the most expensive health care in the country and perhaps in the world. The presentation will review recent legislation and initiatives both by government and the industry to ‘bend the cost curve.’
97: Predictive Modeling: Too Much of a Good Thing?
(L)
(H)
(N)
(P)
A debate. Modern insurance is really just a formalized community risk sharing with an insurance company administering the process. This process depends on a collective view of risk. Hundreds of policyholders sign contracts that state that their collective cohort will make any policyholder, who has an unfortunate event, whole. It is this use of the collective that makes insurance work. And it is a miraculous financial instrument. But, modern reality is significantly different than the insurance nirvana outlined above. Today there is a strongly increased focus on individual equity that erodes the principles of collective risk sharing. Or, does the application of predictive modeling increase the power of the collective? Our two speakers will wrestle with these issues in a debate format.
A debate. Modern insurance is really just a formalized community risk sharing with an insurance company administering the process. This process depends on a collective view of risk. Hundreds of policyholders sign contracts that state that their collective cohort will make any policyholder, who has an unfortunate event, whole. It is this use of the collective that makes insurance work. And it is a miraculous financial instrument. But, modern reality is significantly different than the insurance nirvana outlined above. Today there is a strongly increased focus on individual equity that erodes the principles of collective risk sharing. Or, does the application of predictive modeling increase the power of the collective? Our two speakers will wrestle with these issues in a debate format.
103: Microinsurance Panel Discussion - Sponsored by the IAA Microinsurance Working Group
(H)
Microinsurance is growing and fairly rapidly moving from NGO-driven projects to commercialization. In this context, the role of actuaries is becoming very important, and widely recognized, as a necessary means to assure adequate pricing, effective monitoring, and sound solvency standards. This session is intended to offer attendees at ICA2014 an overview of these trends and how actuaries are becoming involved in them.
Microinsurance is growing and fairly rapidly moving from NGO-driven projects to commercialization. In this context, the role of actuaries is becoming very important, and widely recognized, as a necessary means to assure adequate pricing, effective monitoring, and sound solvency standards. This session is intended to offer attendees at ICA2014 an overview of these trends and how actuaries are becoming involved in them.
104: Healthcare Cost Differentials and Cost Drivers
(H)
By investigating how healthcare costs differ by region in South Africa, drivers of medical inflation are identified. Further, a study on health costs in the last year of life also sheds light on cost drivers.
By investigating how healthcare costs differ by region in South Africa, drivers of medical inflation are identified. Further, a study on health costs in the last year of life also sheds light on cost drivers.
105: CRO Roundtable - P/C
(H)
(N)
(E)
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
108: China's Risk Oriented Solvency System for P&C Companies
(H)
(N)
(E)
(P)
In March 2012, China Insurance Regulatory Commission (“CIRC”) launched a three-year project to research and develop a more robust China risk oriented solvency system (“C-ROSS”). CIRC organized 13 task forces to research the solvency framework, capital modeling, and various risk types for both life and P&C insurance exposure. The speakers for today’s panel include officers from the CIRC, and leaders of various C-ROSS task forces, including the “P&C Underwriting Risk Project” and the “Other Risks and Risk Correlation Project”. Presentation 1: Introduction of C-ROSS 1. The main characteristics and shortcomings of the current solvency system in China 2. The objectives of C-ROSS 3. The structure of C-ROSS and its main characteristics 4. The difficulties in building C-ROSS and the timetable for finishing C-ROSS 5. C-ROSS and the international common standard in solvency system Presentation 2: As an emerging market country, China's insurance industry reflects the classic characteristics of rapid development and big change. The current measurements of underwriting risk of a property and casualty insurance company in China Risk Oriented Solvency System (C-ROSS) are creatively designed to meet Chinese realistic conditions. Several stochastic models are tested and evaluated in Quantitative Impact Study (QIS), including a new stochastic chain ladder model to better capture the inherent risk. A set of weighted coefficients of variance is reached by taking into consideration the applicability of each used stochastic model. Then a new hierarchical reduction method is introduced to decide the magnitude of risk factors (reserve and premium) for each risk unit. As a core measurement, it provides effective solution to scale impact and systemic risk. C-ROSS tends to not only the insurance company’s overall capital requirement but also the amount needed for various risk type and business of line. Finally, C-ROSS recognizes that volatility alone cannot portray the risk profile accurately. As a result, some regulatory indicators are put into the calculation to punish behavior such as artificially lowering reserve and premium rate level. Presentation 3: Natural Catastrophe is the most volatile P&C risk that C-Ross tries to quantify. This presentation illustrates a new approach, Event-linked Dependency, to create the new correlation among regions in the C-Ross Nat Cat framework. Solvency II inherits its framework from Basel II of EU Banking Industry. One big difference between banking and insurance, from the actuarial point of view, is that the risk distribution of the banking industry is relatively asymmetric, while the distribution of the insurance industry is generally right-skewed, especially for the catastrophe risks. For cat risks, this kind of feature defies good solutions under a correlation matrix framework. The correlation matrix approach creates inconsistencies between theoretical results and cat model results. To solve the issue, a new approach, which is to minimize the weighted-MSE instead of relying on a presumed distributions, is discussed. This new correlation framework is planned for use in the China Risk Oriented Solvency System (C-ROSS) for calibrating cat risks. We hope colleagues from the actuarial field worldwide can provide feedbacks to this new approach before China Risk Oriented Solvency System (C-ROSS) is formally rolling out in 2015. Presentation 4: As one of the largest insurance groups in China, Pingan plays an important role in China financial market, and has been developing its enterprise risk management system. The global financial crisis underscored the need for public authorities to act promptly and proactively to identify financial firms that are systemically important and to take measures to lessen the impact and reduce the risk. In 2013 Pingan was selected to be one of the GSIIs (Global Systematically Important Insurers), this opportunity has brought a series of challenges and higher requirements on risk management and capital management. We would like to share our thoughts on this issue and hope colleagues from the actuarial field worldwide can provide suggestions on the topic of systematic risk management
In March 2012, China Insurance Regulatory Commission (“CIRC”) launched a three-year project to research and develop a more robust China risk oriented solvency system (“C-ROSS”). CIRC organized 13 task forces to research the solvency framework, capital modeling, and various risk types for both life and P&C insurance exposure. The speakers for today’s panel include officers from the CIRC, and leaders of various C-ROSS task forces, including the “P&C Underwriting Risk Project” and the “Other Risks and Risk Correlation Project”. Presentation 1: Introduction of C-ROSS 1. The main characteristics and shortcomings of the current solvency system in China 2. The objectives of C-ROSS 3. The structure of C-ROSS and its main characteristics 4. The difficulties in building C-ROSS and the timetable for finishing C-ROSS 5. C-ROSS and the international common standard in solvency system Presentation 2: As an emerging market country, China's insurance industry reflects the classic characteristics of rapid development and big change. The current measurements of underwriting risk of a property and casualty insurance company in China Risk Oriented Solvency System (C-ROSS) are creatively designed to meet Chinese realistic conditions. Several stochastic models are tested and evaluated in Quantitative Impact Study (QIS), including a new stochastic chain ladder model to better capture the inherent risk. A set of weighted coefficients of variance is reached by taking into consideration the applicability of each used stochastic model. Then a new hierarchical reduction method is introduced to decide the magnitude of risk factors (reserve and premium) for each risk unit. As a core measurement, it provides effective solution to scale impact and systemic risk. C-ROSS tends to not only the insurance company’s overall capital requirement but also the amount needed for various risk type and business of line. Finally, C-ROSS recognizes that volatility alone cannot portray the risk profile accurately. As a result, some regulatory indicators are put into the calculation to punish behavior such as artificially lowering reserve and premium rate level. Presentation 3: Natural Catastrophe is the most volatile P&C risk that C-Ross tries to quantify. This presentation illustrates a new approach, Event-linked Dependency, to create the new correlation among regions in the C-Ross Nat Cat framework. Solvency II inherits its framework from Basel II of EU Banking Industry. One big difference between banking and insurance, from the actuarial point of view, is that the risk distribution of the banking industry is relatively asymmetric, while the distribution of the insurance industry is generally right-skewed, especially for the catastrophe risks. For cat risks, this kind of feature defies good solutions under a correlation matrix framework. The correlation matrix approach creates inconsistencies between theoretical results and cat model results. To solve the issue, a new approach, which is to minimize the weighted-MSE instead of relying on a presumed distributions, is discussed. This new correlation framework is planned for use in the China Risk Oriented Solvency System (C-ROSS) for calibrating cat risks. We hope colleagues from the actuarial field worldwide can provide feedbacks to this new approach before China Risk Oriented Solvency System (C-ROSS) is formally rolling out in 2015. Presentation 4: As one of the largest insurance groups in China, Pingan plays an important role in China financial market, and has been developing its enterprise risk management system. The global financial crisis underscored the need for public authorities to act promptly and proactively to identify financial firms that are systemically important and to take measures to lessen the impact and reduce the risk. In 2013 Pingan was selected to be one of the GSIIs (Global Systematically Important Insurers), this opportunity has brought a series of challenges and higher requirements on risk management and capital management. We would like to share our thoughts on this issue and hope colleagues from the actuarial field worldwide can provide suggestions on the topic of systematic risk management
112: Strategies for Managing the Monthly Medical Insurance Valuation Process
(H)
(E)
Down syndrome, autism and cerebral palsy - these are conditions that manifest at birth or in early childhood. They result in lifelong impairments. The economic costs can be hundreds of thousands or even millions of dollars over the life of the child. Families must pay for direct costs not covered by health insurance and indirect costs such as the loss of earnings when a working parent must tend to the child. Presenter David Morel will propose an insurance product to respond to this financial risk. There will almost always be some restatement of IBNR reserves. The best method or combination of methods to use in a particular situation may be dependent upon factors and actuarial judgment that cannot be tested through a scientific model. While management may continually inquire about the level of restatement, the actuary is aware that restatements will not go away. This paper’s focus is on the management of the IBNR process.
Down syndrome, autism and cerebral palsy - these are conditions that manifest at birth or in early childhood. They result in lifelong impairments. The economic costs can be hundreds of thousands or even millions of dollars over the life of the child. Families must pay for direct costs not covered by health insurance and indirect costs such as the loss of earnings when a working parent must tend to the child. Presenter David Morel will propose an insurance product to respond to this financial risk. There will almost always be some restatement of IBNR reserves. The best method or combination of methods to use in a particular situation may be dependent upon factors and actuarial judgment that cannot be tested through a scientific model. While management may continually inquire about the level of restatement, the actuary is aware that restatements will not go away. This paper’s focus is on the management of the IBNR process.
114: Risk Management in Practice - Part 2
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
115: Uncertainty - A Continuing Discussion
(L)
(H)
(N)
(B)
(E)
(P)
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
116: Leveraging New Insights from the Global Burden of Disease and Risks to Achieve Great Health Gains at Lower Costs
(L)
(H)
This session discusses The Global Burden of Disease and Risk, and its implications for adult health priorities. Integrating the Global Burden of Disease and related financial data on healthcare costs in order to project cost trends and estimate prevention gains will be demonstrated. There will also be a case study from the Congressional Budget Office on modelling the long term impact of an increase in the Federal Tobacco Excise Tax.
This session discusses The Global Burden of Disease and Risk, and its implications for adult health priorities. Integrating the Global Burden of Disease and related financial data on healthcare costs in order to project cost trends and estimate prevention gains will be demonstrated. There will also be a case study from the Congressional Budget Office on modelling the long term impact of an increase in the Federal Tobacco Excise Tax.
204: Limited Attendance Session 4 - Tour U.S. Federal Insurance Office at Department of the Treasury
(L)
(H)
(N)
(B)
(E)
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
Non-Life Insurance (General Insurance; Property/Casualty Insurance) (N)
Sessions
23: Investments - People and Instruments
(L)
(H)
(N)
(B)
(E)
(P)
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
25: Capital Models and Solvency II
(L)
(H)
(N)
(B)
(E)
(P)
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
35: Financial Valuation under Difficult Circumstances
(L)
(H)
(N)
(B)
(E)
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
44: Investment Modeling
(L)
(H)
(N)
(B)
(E)
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
45: Liquidity and Reserve Risk
(L)
(H)
(N)
(B)
(E)
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
55: New Ideas
(L)
(H)
(N)
(B)
(E)
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
64: Model Risk in Reserving and Catastrophe Modeling
(N)
Reserving models are coming under increasing scrutiny by stakeholders. In this session, presenters share a methodology for incorporating oft-neglected model uncertainty into reserve variability estimates using a case study. A method for dealing with missing data and partial triangles is also presented. The problem of variable exposure periods is also addressed.
Reserving models are coming under increasing scrutiny by stakeholders. In this session, presenters share a methodology for incorporating oft-neglected model uncertainty into reserve variability estimates using a case study. A method for dealing with missing data and partial triangles is also presented. The problem of variable exposure periods is also addressed.
66: The Actuaries Climate Index and the Actuaries Climate Risk Index
(N)
(E)
There is a large difference between the general public's knowledge of Climate Change, and the evidence. The Actuaries Climate Index is being developed to educate the public about Climate Change, and to enhance our profession. The Actuaries Climate Risk Index will also include exposures as a measure of Climate Change Risk. A description will be provided of how the indices are being developed, and what characteristics we want the indices to have. In this interactive session, participants will see some of the indices in the development stage, and will be able to provide feedback on whether the indices communicate the right information in the right way.
There is a large difference between the general public's knowledge of Climate Change, and the evidence. The Actuaries Climate Index is being developed to educate the public about Climate Change, and to enhance our profession. The Actuaries Climate Risk Index will also include exposures as a measure of Climate Change Risk. A description will be provided of how the indices are being developed, and what characteristics we want the indices to have. In this interactive session, participants will see some of the indices in the development stage, and will be able to provide feedback on whether the indices communicate the right information in the right way.
70: Property and Motor Ratemaking Topics
(N)
The papers presented in this session address important auto merit rating design and implementation questions.
The papers presented in this session address important auto merit rating design and implementation questions.
71: Which Reserving Methods are Best?
(N)
The paper by Gremillet/Zanón/Miele suggests the Reversible Jump Markov Chain Monte Carlo is best. The Forray and the Nevruz/Gençtürk papers investigate and discuss how the setting of loss reserves are dependent on the models used. Attend this session to judge for yourself.
The paper by Gremillet/Zanón/Miele suggests the Reversible Jump Markov Chain Monte Carlo is best. The Forray and the Nevruz/Gençtürk papers investigate and discuss how the setting of loss reserves are dependent on the models used. Attend this session to judge for yourself.
72: Parameter Estimates, Copula Tail Dependence and Large Claim Reinsurance
(N)
(E)
The Pretorius paper addresses model parameter estimation using an example of improving property reinsurance pricing of earthquake losses. The Pettere paper addresses the tail dependence property of a copula using as an example the impact of large loss X enlarging the probability that loss Y will also be large. The Gacovska paper examines the impact of reinsuring the k-th largest claim, or the aggregate amount of the k largest claims, in a portfolio.
The Pretorius paper addresses model parameter estimation using an example of improving property reinsurance pricing of earthquake losses. The Pettere paper addresses the tail dependence property of a copula using as an example the impact of large loss X enlarging the probability that loss Y will also be large. The Gacovska paper examines the impact of reinsuring the k-th largest claim, or the aggregate amount of the k largest claims, in a portfolio.
74: International Perspective about the Future of the Actuarial Profession, Part One
(L)
(N)
(P)
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Solvency measurement is definitely one of the most sensitive actuarial tasks in insurance company. The intention of the first paper is to make clearer the key challenges of Solvency II regime implementation in small transitional countries, considering the small countries characteristics and the Solvency II complexity. The quantity of data is growing rapidly with respect to risks, customers and their behavior. Are actuaries evolving in way that will leverage their unique skill set by taking on the challenge of quantifying risk in this ‘brave new [data-intensive] world’? The second set of presenters will share their vision for the Actuary as the preeminent professional in the new data driven (business) world.
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Solvency measurement is definitely one of the most sensitive actuarial tasks in insurance company. The intention of the first paper is to make clearer the key challenges of Solvency II regime implementation in small transitional countries, considering the small countries characteristics and the Solvency II complexity. The quantity of data is growing rapidly with respect to risks, customers and their behavior. Are actuaries evolving in way that will leverage their unique skill set by taking on the challenge of quantifying risk in this ‘brave new [data-intensive] world’? The second set of presenters will share their vision for the Actuary as the preeminent professional in the new data driven (business) world.
77: The Forward-Thinking Actuary
(N)
(C)
Actuarial work has existed in one form or another for more than a century. Over time, it has evolved much in thinking, scope and enabling technology. But, we we look forward to the next century, how will it continue to evolve? What are the critical skills actuaries need to possess both to keep pace and advance the profession? Actuaries with different backgrounds and different specialities will address these issues and more in a session that is expected to have broad appeal to actuaries across multiple specialities. The session will be interactive and audience participation is encouraged.
Actuarial work has existed in one form or another for more than a century. Over time, it has evolved much in thinking, scope and enabling technology. But, we we look forward to the next century, how will it continue to evolve? What are the critical skills actuaries need to possess both to keep pace and advance the profession? Actuaries with different backgrounds and different specialities will address these issues and more in a session that is expected to have broad appeal to actuaries across multiple specialities. The session will be interactive and audience participation is encouraged.
78: IAIS Global Capital Standards
(L)
(H)
(N)
(B)
(E)
(P)
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
80: Novel Uses of Data
(N)
Each of these papers takes a difficult issue in general insurance and proposes a data-driven approach to a potential solution. The papers explore the potential for using automobile telematics information, survey current practice internationally for charging an appropriate rate for new drivers with no claims history.
Each of these papers takes a difficult issue in general insurance and proposes a data-driven approach to a potential solution. The papers explore the potential for using automobile telematics information, survey current practice internationally for charging an appropriate rate for new drivers with no claims history.
81: Stochastic Reserving and the CAS Committee on the Theory of Risk Capital Allocation Research Project
(N)
Stochastic loss reserving is enhancing the examination of loss reserve variability. Capital allocation, often used in pricing and planning, is typically based on a risk measure but a multitude of measures exist. The papers look at presenting and evaluating stochastic loss reserving methods as well as presenting a research project performing a comprehensive evaluation of the many approaches to allocating capital. Several interesting sources of data used in these analyses will be introduced.
Stochastic loss reserving is enhancing the examination of loss reserve variability. Capital allocation, often used in pricing and planning, is typically based on a risk measure but a multitude of measures exist. The papers look at presenting and evaluating stochastic loss reserving methods as well as presenting a research project performing a comprehensive evaluation of the many approaches to allocating capital. Several interesting sources of data used in these analyses will be introduced.
82: Operational Risk
(L)
(H)
(N)
(B)
(E)
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
86: Global Consulting Approaches and Methods
(N)
(B)
(E)
(C)
Ready for fun? This session is for you. You are now the CEO of a major multinational insurance company known for your steely nerve and snap judgment. Everyone around you is a competitor and every bit as stone cold sharp as you. But times are changing, and to continue to survive in this jungle of an international market, you also need to change - either merge with one of your competitors or buy them outright. There is an increasing interest in international pension plans (IPPs) for expatriates as a consequence of the trend towards globalisation of businesses and the increasing challenges of retaining globally mobile employees in domestic pension plans. The Hansen presentation traces the development of IPPs over the past three decades, how they typically operate at present and how they might continue to develop in the future.
Ready for fun? This session is for you. You are now the CEO of a major multinational insurance company known for your steely nerve and snap judgment. Everyone around you is a competitor and every bit as stone cold sharp as you. But times are changing, and to continue to survive in this jungle of an international market, you also need to change - either merge with one of your competitors or buy them outright. There is an increasing interest in international pension plans (IPPs) for expatriates as a consequence of the trend towards globalisation of businesses and the increasing challenges of retaining globally mobile employees in domestic pension plans. The Hansen presentation traces the development of IPPs over the past three decades, how they typically operate at present and how they might continue to develop in the future.
87: ORSA: Perspectives on an International Practice
(L)
(H)
(N)
(B)
(E)
(P)
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
89: Pushing the Limits - Extremes, Stress Scenarios, and Risk of Ruin
(L)
(H)
(N)
(B)
(E)
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
90: Practical Introduction to Predictive Models (with software) Panel
(N)
(E)
Applications of predictive modeling have seen rapid growth in insurance. The session will feature practical applications with open source free software and public databases.
Applications of predictive modeling have seen rapid growth in insurance. The session will feature practical applications with open source free software and public databases.
91: Regulatory Issues: What Are the Latest Developments for Non-Life Companies in Emerging Economies?
(N)
(E)
Solvency 2 requirements are a reality in many countries. These papers discuss the issues faced by insurers in emerging economies who face a shortage of data and numerous other model validation issues. The first paper addresses the challenges in Armenia in estimating the "technical provisions" regarding best estimate valuation and risk margin. The second paper discusses models to evaluate underwriting risk, reinsurance credit risk, market risk, and operational risk for reinsurers in developing countries.
Solvency 2 requirements are a reality in many countries. These papers discuss the issues faced by insurers in emerging economies who face a shortage of data and numerous other model validation issues. The first paper addresses the challenges in Armenia in estimating the "technical provisions" regarding best estimate valuation and risk margin. The second paper discusses models to evaluate underwriting risk, reinsurance credit risk, market risk, and operational risk for reinsurers in developing countries.
92: Solvency and Risk Based Capital: What Does the Research Show?
(N)
(E)
Meeting the requirements of Solvency II will be a challenge to insurers worldwide. In the U.S., the Own Risk and Solvency Assessment, which is part of Solvency II, will be a new regulatory tool. The first paper explores alternative methodologies in order to describe claim-size and aggregate claim amount distributions in non-life insurance. The second paper explores a range of methods to calculate the Solvency Capital Requirement proposed in Solvency II's Quantitative Impact Study 5. The third paper reports on work done by the Casualty Actuarial Society's Risk Based Capital Working Parties.
Meeting the requirements of Solvency II will be a challenge to insurers worldwide. In the U.S., the Own Risk and Solvency Assessment, which is part of Solvency II, will be a new regulatory tool. The first paper explores alternative methodologies in order to describe claim-size and aggregate claim amount distributions in non-life insurance. The second paper explores a range of methods to calculate the Solvency Capital Requirement proposed in Solvency II's Quantitative Impact Study 5. The third paper reports on work done by the Casualty Actuarial Society's Risk Based Capital Working Parties.
93: Risk Classification Systems
(L)
(H)
(N)
(B)
(E)
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
94: Risk Management in Practice - Part 1
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
97: Predictive Modeling: Too Much of a Good Thing?
(L)
(H)
(N)
(P)
A debate. Modern insurance is really just a formalized community risk sharing with an insurance company administering the process. This process depends on a collective view of risk. Hundreds of policyholders sign contracts that state that their collective cohort will make any policyholder, who has an unfortunate event, whole. It is this use of the collective that makes insurance work. And it is a miraculous financial instrument. But, modern reality is significantly different than the insurance nirvana outlined above. Today there is a strongly increased focus on individual equity that erodes the principles of collective risk sharing. Or, does the application of predictive modeling increase the power of the collective? Our two speakers will wrestle with these issues in a debate format.
A debate. Modern insurance is really just a formalized community risk sharing with an insurance company administering the process. This process depends on a collective view of risk. Hundreds of policyholders sign contracts that state that their collective cohort will make any policyholder, who has an unfortunate event, whole. It is this use of the collective that makes insurance work. And it is a miraculous financial instrument. But, modern reality is significantly different than the insurance nirvana outlined above. Today there is a strongly increased focus on individual equity that erodes the principles of collective risk sharing. Or, does the application of predictive modeling increase the power of the collective? Our two speakers will wrestle with these issues in a debate format.
98: The Expanding Role of the Actuary in Catastrophe Loss Estimation and Management
(N)
(C)
Traditionally, insurance companies licensed catastrophe models from three vendors, each with its own front and back end sytems to handle the model input and output. Newer technology is now offering many more options. What does all of this mean for underwriters, management, and actuaries? This session will illustrate new and expanded information available to actuaries for estimating catastrophe loss potential, understanding model uncertainty, and developing their own view of risk.
Traditionally, insurance companies licensed catastrophe models from three vendors, each with its own front and back end sytems to handle the model input and output. Newer technology is now offering many more options. What does all of this mean for underwriters, management, and actuaries? This session will illustrate new and expanded information available to actuaries for estimating catastrophe loss potential, understanding model uncertainty, and developing their own view of risk.
100: ERM and Value Maximization
(N)
(E)
Regulators, rating agencies and others are demanding robust ERM strategies from insurers. This session will present several applications of ERM including capital modeling, price optimization and performance measures.
Regulators, rating agencies and others are demanding robust ERM strategies from insurers. This session will present several applications of ERM including capital modeling, price optimization and performance measures.
101: Predictive Modelling Methods/Reserving Individual claims
(N)
This session will feature claims oriented practical applications of models. One paper will explain a model that can be used to estimate ultimate values for individual claims. The other paper will show how "unsupervised learning" data mining approaches can be used to model "suspicious" claims for further investigation by specialists.
This session will feature claims oriented practical applications of models. One paper will explain a model that can be used to estimate ultimate values for individual claims. The other paper will show how "unsupervised learning" data mining approaches can be used to model "suspicious" claims for further investigation by specialists.
105: CRO Roundtable - P/C
(H)
(N)
(E)
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
106: An Introduction to Takaful
(N)
(C)
Takaful is an alternative to insurance. The fact that takaful is developed in accordance to Islamic business principles and practices does not impede the effectiveness of takaful in meeting the risk management needs of its consumers as well as meeting the profit requirements of shareholders, but rather enhances it with values build around a socially responsible overlay. Come learn about takaful, and about the role of actuaries in takaful.
Takaful is an alternative to insurance. The fact that takaful is developed in accordance to Islamic business principles and practices does not impede the effectiveness of takaful in meeting the risk management needs of its consumers as well as meeting the profit requirements of shareholders, but rather enhances it with values build around a socially responsible overlay. Come learn about takaful, and about the role of actuaries in takaful.
107: Autonomous Vehicles: Advances in Automobile Technology and Implications for the Insurance Industry
(N)
(C)
There has been a considerable amount of interest in the popular press on advances in driver assistance programs. Some are talking of “driver-less” cars in the near future. What do we know about the real world performance of such systems today, and what is a realistic time frame for their introduction into the marketplace? As cars become more and more automated, lawmakers and regulators will face new challenges in governing the testing and driving of these cars. Insurers will face new challenges in collecting data, setting rates, and determining liability. Panelists Kim Hazelbaker and Mike Stienstra will discuss the latest advances in crash-avoidance technology and the issues insurers need to address to be prepared for the emerging automated vehicle market.
There has been a considerable amount of interest in the popular press on advances in driver assistance programs. Some are talking of “driver-less” cars in the near future. What do we know about the real world performance of such systems today, and what is a realistic time frame for their introduction into the marketplace? As cars become more and more automated, lawmakers and regulators will face new challenges in governing the testing and driving of these cars. Insurers will face new challenges in collecting data, setting rates, and determining liability. Panelists Kim Hazelbaker and Mike Stienstra will discuss the latest advances in crash-avoidance technology and the issues insurers need to address to be prepared for the emerging automated vehicle market.
108: China's Risk Oriented Solvency System for P&C Companies
(H)
(N)
(E)
(P)
In March 2012, China Insurance Regulatory Commission (“CIRC”) launched a three-year project to research and develop a more robust China risk oriented solvency system (“C-ROSS”). CIRC organized 13 task forces to research the solvency framework, capital modeling, and various risk types for both life and P&C insurance exposure. The speakers for today’s panel include officers from the CIRC, and leaders of various C-ROSS task forces, including the “P&C Underwriting Risk Project” and the “Other Risks and Risk Correlation Project”. Presentation 1: Introduction of C-ROSS 1. The main characteristics and shortcomings of the current solvency system in China 2. The objectives of C-ROSS 3. The structure of C-ROSS and its main characteristics 4. The difficulties in building C-ROSS and the timetable for finishing C-ROSS 5. C-ROSS and the international common standard in solvency system Presentation 2: As an emerging market country, China's insurance industry reflects the classic characteristics of rapid development and big change. The current measurements of underwriting risk of a property and casualty insurance company in China Risk Oriented Solvency System (C-ROSS) are creatively designed to meet Chinese realistic conditions. Several stochastic models are tested and evaluated in Quantitative Impact Study (QIS), including a new stochastic chain ladder model to better capture the inherent risk. A set of weighted coefficients of variance is reached by taking into consideration the applicability of each used stochastic model. Then a new hierarchical reduction method is introduced to decide the magnitude of risk factors (reserve and premium) for each risk unit. As a core measurement, it provides effective solution to scale impact and systemic risk. C-ROSS tends to not only the insurance company’s overall capital requirement but also the amount needed for various risk type and business of line. Finally, C-ROSS recognizes that volatility alone cannot portray the risk profile accurately. As a result, some regulatory indicators are put into the calculation to punish behavior such as artificially lowering reserve and premium rate level. Presentation 3: Natural Catastrophe is the most volatile P&C risk that C-Ross tries to quantify. This presentation illustrates a new approach, Event-linked Dependency, to create the new correlation among regions in the C-Ross Nat Cat framework. Solvency II inherits its framework from Basel II of EU Banking Industry. One big difference between banking and insurance, from the actuarial point of view, is that the risk distribution of the banking industry is relatively asymmetric, while the distribution of the insurance industry is generally right-skewed, especially for the catastrophe risks. For cat risks, this kind of feature defies good solutions under a correlation matrix framework. The correlation matrix approach creates inconsistencies between theoretical results and cat model results. To solve the issue, a new approach, which is to minimize the weighted-MSE instead of relying on a presumed distributions, is discussed. This new correlation framework is planned for use in the China Risk Oriented Solvency System (C-ROSS) for calibrating cat risks. We hope colleagues from the actuarial field worldwide can provide feedbacks to this new approach before China Risk Oriented Solvency System (C-ROSS) is formally rolling out in 2015. Presentation 4: As one of the largest insurance groups in China, Pingan plays an important role in China financial market, and has been developing its enterprise risk management system. The global financial crisis underscored the need for public authorities to act promptly and proactively to identify financial firms that are systemically important and to take measures to lessen the impact and reduce the risk. In 2013 Pingan was selected to be one of the GSIIs (Global Systematically Important Insurers), this opportunity has brought a series of challenges and higher requirements on risk management and capital management. We would like to share our thoughts on this issue and hope colleagues from the actuarial field worldwide can provide suggestions on the topic of systematic risk management
In March 2012, China Insurance Regulatory Commission (“CIRC”) launched a three-year project to research and develop a more robust China risk oriented solvency system (“C-ROSS”). CIRC organized 13 task forces to research the solvency framework, capital modeling, and various risk types for both life and P&C insurance exposure. The speakers for today’s panel include officers from the CIRC, and leaders of various C-ROSS task forces, including the “P&C Underwriting Risk Project” and the “Other Risks and Risk Correlation Project”. Presentation 1: Introduction of C-ROSS 1. The main characteristics and shortcomings of the current solvency system in China 2. The objectives of C-ROSS 3. The structure of C-ROSS and its main characteristics 4. The difficulties in building C-ROSS and the timetable for finishing C-ROSS 5. C-ROSS and the international common standard in solvency system Presentation 2: As an emerging market country, China's insurance industry reflects the classic characteristics of rapid development and big change. The current measurements of underwriting risk of a property and casualty insurance company in China Risk Oriented Solvency System (C-ROSS) are creatively designed to meet Chinese realistic conditions. Several stochastic models are tested and evaluated in Quantitative Impact Study (QIS), including a new stochastic chain ladder model to better capture the inherent risk. A set of weighted coefficients of variance is reached by taking into consideration the applicability of each used stochastic model. Then a new hierarchical reduction method is introduced to decide the magnitude of risk factors (reserve and premium) for each risk unit. As a core measurement, it provides effective solution to scale impact and systemic risk. C-ROSS tends to not only the insurance company’s overall capital requirement but also the amount needed for various risk type and business of line. Finally, C-ROSS recognizes that volatility alone cannot portray the risk profile accurately. As a result, some regulatory indicators are put into the calculation to punish behavior such as artificially lowering reserve and premium rate level. Presentation 3: Natural Catastrophe is the most volatile P&C risk that C-Ross tries to quantify. This presentation illustrates a new approach, Event-linked Dependency, to create the new correlation among regions in the C-Ross Nat Cat framework. Solvency II inherits its framework from Basel II of EU Banking Industry. One big difference between banking and insurance, from the actuarial point of view, is that the risk distribution of the banking industry is relatively asymmetric, while the distribution of the insurance industry is generally right-skewed, especially for the catastrophe risks. For cat risks, this kind of feature defies good solutions under a correlation matrix framework. The correlation matrix approach creates inconsistencies between theoretical results and cat model results. To solve the issue, a new approach, which is to minimize the weighted-MSE instead of relying on a presumed distributions, is discussed. This new correlation framework is planned for use in the China Risk Oriented Solvency System (C-ROSS) for calibrating cat risks. We hope colleagues from the actuarial field worldwide can provide feedbacks to this new approach before China Risk Oriented Solvency System (C-ROSS) is formally rolling out in 2015. Presentation 4: As one of the largest insurance groups in China, Pingan plays an important role in China financial market, and has been developing its enterprise risk management system. The global financial crisis underscored the need for public authorities to act promptly and proactively to identify financial firms that are systemically important and to take measures to lessen the impact and reduce the risk. In 2013 Pingan was selected to be one of the GSIIs (Global Systematically Important Insurers), this opportunity has brought a series of challenges and higher requirements on risk management and capital management. We would like to share our thoughts on this issue and hope colleagues from the actuarial field worldwide can provide suggestions on the topic of systematic risk management
110: New Uses of Data and a New Approach to Extended Warranties
(N)
This session first looks at global trends in property insurance , while the second panel considers the issue of mileage limitations on vehicle extended warranties.
This session first looks at global trends in property insurance , while the second panel considers the issue of mileage limitations on vehicle extended warranties.
111: Two Views of the Financial Implications of Resource Limits
(N)
(E)
We know that resource limits are of many types, including water, oil, and arable land. The financial implications of resource limits are not well understood, however. We present two views of these financial implications. Are the financial implications close at hand, affecting the financial system in both in the 2008-2009 recession, and in likely future recessions? Or can they only be expected to affect the financial system much later? Or are both near-term limits and distant limits issues that actuaries and insurers should be concerned about? Oliver Bettis will present results from a research project on limits to growth, commissioned by the IFoA and carried out by the Global Sustainability Institute at Anglia Ruskin University, led by Dr Aled Jones. This research focuses on the long term implications of resource limits to economic growth. A simple actuarial model will be presented which explores likely issues through scenario planning methodologies. Gail Tverberg will present research results showing that the financial system is already being affected by resource limits. Countries such as Greece and Spain are already feeling the effect of resource limits (high oil prices impacting their tourist revenue), providing a model of what may be ahead.
We know that resource limits are of many types, including water, oil, and arable land. The financial implications of resource limits are not well understood, however. We present two views of these financial implications. Are the financial implications close at hand, affecting the financial system in both in the 2008-2009 recession, and in likely future recessions? Or can they only be expected to affect the financial system much later? Or are both near-term limits and distant limits issues that actuaries and insurers should be concerned about? Oliver Bettis will present results from a research project on limits to growth, commissioned by the IFoA and carried out by the Global Sustainability Institute at Anglia Ruskin University, led by Dr Aled Jones. This research focuses on the long term implications of resource limits to economic growth. A simple actuarial model will be presented which explores likely issues through scenario planning methodologies. Gail Tverberg will present research results showing that the financial system is already being affected by resource limits. Countries such as Greece and Spain are already feeling the effect of resource limits (high oil prices impacting their tourist revenue), providing a model of what may be ahead.
113: Competition, Ratemaking and Ethics
(N)
This session focuses on competition from a macro and micro perspective. The first paper examines risk classification from an ethical perspective , while the second paper presents a game theoretic approach to building a model that simulates the dynamics and the effects of competition.. The third paper analyzes the impact of underwriting cycles on the risk and return of non-life insurance companies.
This session focuses on competition from a macro and micro perspective. The first paper examines risk classification from an ethical perspective , while the second paper presents a game theoretic approach to building a model that simulates the dynamics and the effects of competition.. The third paper analyzes the impact of underwriting cycles on the risk and return of non-life insurance companies.
114: Risk Management in Practice - Part 2
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
115: Uncertainty - A Continuing Discussion
(L)
(H)
(N)
(B)
(E)
(P)
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
117: Papers Presented by French Actuaries on Models in Life and Non-Life Insurance
(L)
(N)
The presented papers are winners of a contest organised by the French actuaries to help recent actuaries to participate at the ICA2014.
The presented papers are winners of a contest organised by the French actuaries to help recent actuaries to participate at the ICA2014.
203: Limited Attendance Session 3 - Bayesian Analysis Applications in Actuarial Science Using Markov Chain Monte Carlo (MCMC) Methods
(N)
This three-hour limited-attendance session is an introduction to Bayesian Analysis applications in Actuarial Science. It is targeted to practicing actuaries who may want to apply Bayesian Analysis in their work.. There will be examples of actuarial applications. Attendees will learn to use a popular software package, JAGS, to compute the posterior distribution. Participants are expected to bring laptops with RStudio, JAGS and R (with the packages “actuar”,”runjags”, “ChainLadder” and “coda") installed. Attendees will be assigned an actuarial application to analyze using material from the session. Box lunch included. This session is a limited attendance session. It requires advance registration, and tickets will be required at the door. Late registrants should contact Glenn Meyers (ggmeyers@metrocast,net) to receive scripts for the examples discussed in the workshop.
This three-hour limited-attendance session is an introduction to Bayesian Analysis applications in Actuarial Science. It is targeted to practicing actuaries who may want to apply Bayesian Analysis in their work.. There will be examples of actuarial applications. Attendees will learn to use a popular software package, JAGS, to compute the posterior distribution. Participants are expected to bring laptops with RStudio, JAGS and R (with the packages “actuar”,”runjags”, “ChainLadder” and “coda") installed. Attendees will be assigned an actuarial application to analyze using material from the session. Box lunch included. This session is a limited attendance session. It requires advance registration, and tickets will be required at the door. Late registrants should contact Glenn Meyers (ggmeyers@metrocast,net) to receive scripts for the examples discussed in the workshop.
204: Limited Attendance Session 4 - Tour U.S. Federal Insurance Office at Department of the Treasury
(L)
(H)
(N)
(B)
(E)
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
Pensions, Employee Benefits, and Social Insurance (B)
Sessions
10: Social Security National Updates
(B)
With financial turbulence and demographic shifts, social security systems have been forced to reconstruct designs that provide adequate benefits, while remaining sustainable. Join representatives from Japan, Spain and Africa as they discuss case study reforms.
With financial turbulence and demographic shifts, social security systems have been forced to reconstruct designs that provide adequate benefits, while remaining sustainable. Join representatives from Japan, Spain and Africa as they discuss case study reforms.
11: Delivery of Actuarial Services
(L)
(H)
(B)
(E)
Explore the effects of the elimination of gender as a factor in premium calculation on the pricing, product design and distribution of Life Insurance in the European Union. Learn how the design and administration of pension and life insurance products, and their reserve calculations and audit, can be based on a common formal notation. Additionally, gain insight into a software design for efficient reserve computations, including those for advanced and non-standard life insurance and pension products, that uses a flexible and precise notation that is both machine- and human-readable.
Explore the effects of the elimination of gender as a factor in premium calculation on the pricing, product design and distribution of Life Insurance in the European Union. Learn how the design and administration of pension and life insurance products, and their reserve calculations and audit, can be based on a common formal notation. Additionally, gain insight into a software design for efficient reserve computations, including those for advanced and non-standard life insurance and pension products, that uses a flexible and precise notation that is both machine- and human-readable.
13: Projecting Mortality and Life Expectancy
(L)
(B)
Mortality trends play a key role in projecting the financial health of retirement systems. This session will explore the need for more sophisticated analyses and disclosures as well as techniques and outcomes.
Mortality trends play a key role in projecting the financial health of retirement systems. This session will explore the need for more sophisticated analyses and disclosures as well as techniques and outcomes.
14: Current Issues for Pension Actuaries: A Panel Discussion
(B)
Both public and private retirement systems are continually facing new challenges from regulators, markets, and legislators. Join leaders of actuarial organizations from around the globe to explore issues facing pension actuaries in this shifting environment.
Both public and private retirement systems are continually facing new challenges from regulators, markets, and legislators. Join leaders of actuarial organizations from around the globe to explore issues facing pension actuaries in this shifting environment.
15: CRO Roundtable - Life
(H)
(B)
(E)
(P)
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
20: Target Benefit Pension Plans
(B)
The switch from defined benefit to defined contribution plan is now prevalent worldwide. Retirement adequacy in a world of defined contribution plans has resurrected the notion of Target Benefit Plans. This session will discuss approaches for making target benefit pension plans a successful delivery system.
The switch from defined benefit to defined contribution plan is now prevalent worldwide. Retirement adequacy in a world of defined contribution plans has resurrected the notion of Target Benefit Plans. This session will discuss approaches for making target benefit pension plans a successful delivery system.
21: Financing of Pensions: Sustainability
(B)
(E)
For many years, actuaries have based liability projections on the assumption of steady, long-term growth. Now that volatile economies are more the norm, actuaries must be prepared to build more complex models. This session will provide discussion points to help isolate and utilize refined assumptions.
For many years, actuaries have based liability projections on the assumption of steady, long-term growth. Now that volatile economies are more the norm, actuaries must be prepared to build more complex models. This session will provide discussion points to help isolate and utilize refined assumptions.
22: Developing World Issues 1
(L)
(B)
(E)
Explore a new parsimonious framework that incorporates cause dependence in cause-specific mortality models, addressing a traditional modeling limitation. Gain insight into a proposed risk-based capital (RBC) model, designed to encourage regulators in Africa to introduce RBC into their regimes. The approach examines current models in Europe, Asia, and South Africa to come up with a model that would be suitable for African countries. Learn about the new 2013 mortality tables introduced in Sub-Saharan Africa and related critical challenges, including development and implementation, the impact on annuity and insurance products, and follow-up experience studies.
Explore a new parsimonious framework that incorporates cause dependence in cause-specific mortality models, addressing a traditional modeling limitation. Gain insight into a proposed risk-based capital (RBC) model, designed to encourage regulators in Africa to introduce RBC into their regimes. The approach examines current models in Europe, Asia, and South Africa to come up with a model that would be suitable for African countries. Learn about the new 2013 mortality tables introduced in Sub-Saharan Africa and related critical challenges, including development and implementation, the impact on annuity and insurance products, and follow-up experience studies.
23: Investments - People and Instruments
(L)
(H)
(N)
(B)
(E)
(P)
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
25: Capital Models and Solvency II
(L)
(H)
(N)
(B)
(E)
(P)
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
26: Risk and Annuities - Hedging, Risk Factors, and Policyholder Behavior
(L)
(H)
(B)
(E)
(P)
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
30: Educational Topics for Social Security Actuaries
(B)
International Standard of Actuarial Practice (ISAP) Number 2 deals with the proper valuing of social security systems. Join this session to hear speakers from the International Social Security Association (ISSA) and the International Actuarial Association discuss how actuaries can produce meaningful and compliant social security valuations.
International Standard of Actuarial Practice (ISAP) Number 2 deals with the proper valuing of social security systems. Join this session to hear speakers from the International Social Security Association (ISSA) and the International Actuarial Association discuss how actuaries can produce meaningful and compliant social security valuations.
33: Mathematical Modeling for Pension Actuaries
(B)
Policy makers rely on pension actuaries to make decisions that affect the retirement well-being of workers. This session will help you enhance the modeling you provide to your clients.
Policy makers rely on pension actuaries to make decisions that affect the retirement well-being of workers. This session will help you enhance the modeling you provide to your clients.
34: Impact of Demographic and Economic Shifts
(B)
Retirement systems must adapt to changing demographics and attitudes. This session considers this challenge through the experience and decision-making of retirees in the United Kingdom and United States.
Retirement systems must adapt to changing demographics and attitudes. This session considers this challenge through the experience and decision-making of retirees in the United Kingdom and United States.
35: Financial Valuation under Difficult Circumstances
(L)
(H)
(N)
(B)
(E)
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
37: Longevity Risk
(L)
(B)
Individuals are living longer than ever before. In this session, we look at several research longevity initiatives that are addressing the challenges and opportunities associated with increasing lifespans.
Individuals are living longer than ever before. In this session, we look at several research longevity initiatives that are addressing the challenges and opportunities associated with increasing lifespans.
40: The Role of the Actuary in a DC World
(B)
(P)
Actuaries have always played a critical role in the design and funding of defined benefit plans. This session provides a timely discussion of how the expertise actuaries provide fits into this increasingly DC world and the ways in which actuaries are putting their expertise to work in managing DC plans.
Actuaries have always played a critical role in the design and funding of defined benefit plans. This session provides a timely discussion of how the expertise actuaries provide fits into this increasingly DC world and the ways in which actuaries are putting their expertise to work in managing DC plans.
41: Product Development and Policyholder Behavior
(L)
(B)
Explore the effect of policyholder behavior on life insurance cash flows. Get the latest on evolving practices for measuring experience data and setting actuarial assumptions reflecting policyholder behavior. Discuss ways to improve the design of pension products. Finally, learn about what's at the forefront of actuaries' minds globally.
Explore the effect of policyholder behavior on life insurance cash flows. Get the latest on evolving practices for measuring experience data and setting actuarial assumptions reflecting policyholder behavior. Discuss ways to improve the design of pension products. Finally, learn about what's at the forefront of actuaries' minds globally.
42: Mortality Issues
(L)
(B)
(E)
Hear about a new approach to the problem of modeling pandemic flu, gain insight into the worldwide obesity epidemic and its implications for actuaries, and get more details on regime-switching models as they relate to Turkish mortality data and pricing.
Hear about a new approach to the problem of modeling pandemic flu, gain insight into the worldwide obesity epidemic and its implications for actuaries, and get more details on regime-switching models as they relate to Turkish mortality data and pricing.
43: Longevity Risk - Life
(L)
(B)
Three presentations on mortality trends and longevity risk.
Three presentations on mortality trends and longevity risk.
44: Investment Modeling
(L)
(H)
(N)
(B)
(E)
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
45: Liquidity and Reserve Risk
(L)
(H)
(N)
(B)
(E)
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
47: The Global Economic Outlook, and Its Implications for Insurance and Pensions
(L)
(B)
(E)
(C)
Crises, the current pace of economic activity, inflation and the interest rate environment both in advanced and emerging economies are creating a myriad of challenges world-wide. The first presenters expand upon your knowledge by expressing their ideas and opinions on the global economic outlook. The next speakers present an overview of different types of inflation measurements relevant in an economic and insurance context. The speakers then analyze the impact of inflation on insurers. The effects of inflation are discussed in detail along with the various means for insurers to protect themselves against inflation surprises. The final presenter discusses ERM for pension funds.
Crises, the current pace of economic activity, inflation and the interest rate environment both in advanced and emerging economies are creating a myriad of challenges world-wide. The first presenters expand upon your knowledge by expressing their ideas and opinions on the global economic outlook. The next speakers present an overview of different types of inflation measurements relevant in an economic and insurance context. The speakers then analyze the impact of inflation on insurers. The effects of inflation are discussed in detail along with the various means for insurers to protect themselves against inflation surprises. The final presenter discusses ERM for pension funds.
50: How to Achieve Retirement Income Adequacy
(B)
What is "adequate" retirement income? And in a defined contribution world, how can one optimize investments to provide that income security? This session provides thoughtful analysis of these timely issues.
What is "adequate" retirement income? And in a defined contribution world, how can one optimize investments to provide that income security? This session provides thoughtful analysis of these timely issues.
53: Retirement Risks: Disability, Taxes and Inflation
(B)
Every day, an increasing number of retirees and beneficiaries are challenged to make sure their retirement savings last through their lifetime. Actuaries are in a prime position to help create sustainable plans. Join us at this session for a discussion of the challenges to be considered in this critical planning phase.
Every day, an increasing number of retirees and beneficiaries are challenged to make sure their retirement savings last through their lifetime. Actuaries are in a prime position to help create sustainable plans. Join us at this session for a discussion of the challenges to be considered in this critical planning phase.
54: Pension Regulation Updates from around the World
(B)
Pension regulation drives the design and cost of all retirement systems worldwide. This session will explore current regulatory changes in the UK and South Africa, and will also discuss how Solvency II will reshape capital requirements for pension plans.
Pension regulation drives the design and cost of all retirement systems worldwide. This session will explore current regulatory changes in the UK and South Africa, and will also discuss how Solvency II will reshape capital requirements for pension plans.
55: New Ideas
(L)
(H)
(N)
(B)
(E)
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
57: Design and Funding of Public and Private Retirement Plans
(B)
(C)
Different perspectives for retirement design and management. The first paper centers on defined contribution (DC) programs in Mexico and Columbia in charge of private companies and the capital managed through a multi scheme. The second centers on Australia's QSuper (a superannuation fund with a membership of over half a million government employees and spouses), which is embarking on a new approach to investment strategy that centers on a strong commitment for adequate savings particularly for default DC members. The third paper provides new thinking about a systematic approach to investment manager performance reviews.
Different perspectives for retirement design and management. The first paper centers on defined contribution (DC) programs in Mexico and Columbia in charge of private companies and the capital managed through a multi scheme. The second centers on Australia's QSuper (a superannuation fund with a membership of over half a million government employees and spouses), which is embarking on a new approach to investment strategy that centers on a strong commitment for adequate savings particularly for default DC members. The third paper provides new thinking about a systematic approach to investment manager performance reviews.
58: Managing Longevity Risk
(L)
(B)
(C)
In today's world there exists a need to fully manage longevity risk and develop models that are practical for specific purposes. The authors of the papers discuss their thoughts on managing longevity as it applies to resolving conflict between the need for complexity for the individual populations versus the requirement for robustness in future forecasts and the development of risk transfer in capital and risk management.
In today's world there exists a need to fully manage longevity risk and develop models that are practical for specific purposes. The authors of the papers discuss their thoughts on managing longevity as it applies to resolving conflict between the need for complexity for the individual populations versus the requirement for robustness in future forecasts and the development of risk transfer in capital and risk management.
60: Valuation Techniques
(L)
(B)
Take a deeper dive into the Thiele differential equation, get a sound definition of forward rates (and find out what's unique about that definition) and discuss zero/low interest rate economies in developed countries, including solvency regulation, stock market, longer duration CDS rate and more.
Take a deeper dive into the Thiele differential equation, get a sound definition of forward rates (and find out what's unique about that definition) and discuss zero/low interest rate economies in developed countries, including solvency regulation, stock market, longer duration CDS rate and more.
62: Underwriting
(L)
(B)
Learn new techniques for modeling policyholder behavior and worldwide differences in the types of underwriting done, life expectancies, and mortality improvement.
Learn new techniques for modeling policyholder behavior and worldwide differences in the types of underwriting done, life expectancies, and mortality improvement.
63: Determining Basic Retirement Needs
(B)
The main reason pension actuaries exist is to help design and maintain retirement systems that allow workers to achieve a secure retirement. This session will help you fine-tune your understanding of basic retirement needs.
The main reason pension actuaries exist is to help design and maintain retirement systems that allow workers to achieve a secure retirement. This session will help you fine-tune your understanding of basic retirement needs.
69: Raising the Retirement Age
(B)
Whatever the current retirement age of a public or private retirement system, funding pressures compounded by inreases in life expectancy, are leading for calls for raising the retirement age. This session delves into the implications of this seemingly straight-forward recommendation.
Whatever the current retirement age of a public or private retirement system, funding pressures compounded by inreases in life expectancy, are leading for calls for raising the retirement age. This session delves into the implications of this seemingly straight-forward recommendation.
78: IAIS Global Capital Standards
(L)
(H)
(N)
(B)
(E)
(P)
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
82: Operational Risk
(L)
(H)
(N)
(B)
(E)
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
86: Global Consulting Approaches and Methods
(N)
(B)
(E)
(C)
Ready for fun? This session is for you. You are now the CEO of a major multinational insurance company known for your steely nerve and snap judgment. Everyone around you is a competitor and every bit as stone cold sharp as you. But times are changing, and to continue to survive in this jungle of an international market, you also need to change - either merge with one of your competitors or buy them outright. There is an increasing interest in international pension plans (IPPs) for expatriates as a consequence of the trend towards globalisation of businesses and the increasing challenges of retaining globally mobile employees in domestic pension plans. The Hansen presentation traces the development of IPPs over the past three decades, how they typically operate at present and how they might continue to develop in the future.
Ready for fun? This session is for you. You are now the CEO of a major multinational insurance company known for your steely nerve and snap judgment. Everyone around you is a competitor and every bit as stone cold sharp as you. But times are changing, and to continue to survive in this jungle of an international market, you also need to change - either merge with one of your competitors or buy them outright. There is an increasing interest in international pension plans (IPPs) for expatriates as a consequence of the trend towards globalisation of businesses and the increasing challenges of retaining globally mobile employees in domestic pension plans. The Hansen presentation traces the development of IPPs over the past three decades, how they typically operate at present and how they might continue to develop in the future.
87: ORSA: Perspectives on an International Practice
(L)
(H)
(N)
(B)
(E)
(P)
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
89: Pushing the Limits - Extremes, Stress Scenarios, and Risk of Ruin
(L)
(H)
(N)
(B)
(E)
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
93: Risk Classification Systems
(L)
(H)
(N)
(B)
(E)
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
94: Risk Management in Practice - Part 1
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
114: Risk Management in Practice - Part 2
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
115: Uncertainty - A Continuing Discussion
(L)
(H)
(N)
(B)
(E)
(P)
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
204: Limited Attendance Session 4 - Tour U.S. Federal Insurance Office at Department of the Treasury
(L)
(H)
(N)
(B)
(E)
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
Enterprise Risk Management and Financial Risks (E)
Sessions
11: Delivery of Actuarial Services
(L)
(H)
(B)
(E)
Explore the effects of the elimination of gender as a factor in premium calculation on the pricing, product design and distribution of Life Insurance in the European Union. Learn how the design and administration of pension and life insurance products, and their reserve calculations and audit, can be based on a common formal notation. Additionally, gain insight into a software design for efficient reserve computations, including those for advanced and non-standard life insurance and pension products, that uses a flexible and precise notation that is both machine- and human-readable.
Explore the effects of the elimination of gender as a factor in premium calculation on the pricing, product design and distribution of Life Insurance in the European Union. Learn how the design and administration of pension and life insurance products, and their reserve calculations and audit, can be based on a common formal notation. Additionally, gain insight into a software design for efficient reserve computations, including those for advanced and non-standard life insurance and pension products, that uses a flexible and precise notation that is both machine- and human-readable.
15: CRO Roundtable - Life
(H)
(B)
(E)
(P)
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
21: Financing of Pensions: Sustainability
(B)
(E)
For many years, actuaries have based liability projections on the assumption of steady, long-term growth. Now that volatile economies are more the norm, actuaries must be prepared to build more complex models. This session will provide discussion points to help isolate and utilize refined assumptions.
For many years, actuaries have based liability projections on the assumption of steady, long-term growth. Now that volatile economies are more the norm, actuaries must be prepared to build more complex models. This session will provide discussion points to help isolate and utilize refined assumptions.
22: Developing World Issues 1
(L)
(B)
(E)
Explore a new parsimonious framework that incorporates cause dependence in cause-specific mortality models, addressing a traditional modeling limitation. Gain insight into a proposed risk-based capital (RBC) model, designed to encourage regulators in Africa to introduce RBC into their regimes. The approach examines current models in Europe, Asia, and South Africa to come up with a model that would be suitable for African countries. Learn about the new 2013 mortality tables introduced in Sub-Saharan Africa and related critical challenges, including development and implementation, the impact on annuity and insurance products, and follow-up experience studies.
Explore a new parsimonious framework that incorporates cause dependence in cause-specific mortality models, addressing a traditional modeling limitation. Gain insight into a proposed risk-based capital (RBC) model, designed to encourage regulators in Africa to introduce RBC into their regimes. The approach examines current models in Europe, Asia, and South Africa to come up with a model that would be suitable for African countries. Learn about the new 2013 mortality tables introduced in Sub-Saharan Africa and related critical challenges, including development and implementation, the impact on annuity and insurance products, and follow-up experience studies.
23: Investments - People and Instruments
(L)
(H)
(N)
(B)
(E)
(P)
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
25: Capital Models and Solvency II
(L)
(H)
(N)
(B)
(E)
(P)
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
26: Risk and Annuities - Hedging, Risk Factors, and Policyholder Behavior
(L)
(H)
(B)
(E)
(P)
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
35: Financial Valuation under Difficult Circumstances
(L)
(H)
(N)
(B)
(E)
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
In this session, you will explore aspects of how to value financial assets. Actuarial valuations are performed with a much longer view on valuation which can add stability to the process, preventing asset bubbles. Presenters will discuss the differences between information that is available for owners, managers, and different kinds of investors. The final presenter will introduce different measures for the strength of the co-movement between non-independent random variables.
42: Mortality Issues
(L)
(B)
(E)
Hear about a new approach to the problem of modeling pandemic flu, gain insight into the worldwide obesity epidemic and its implications for actuaries, and get more details on regime-switching models as they relate to Turkish mortality data and pricing.
Hear about a new approach to the problem of modeling pandemic flu, gain insight into the worldwide obesity epidemic and its implications for actuaries, and get more details on regime-switching models as they relate to Turkish mortality data and pricing.
44: Investment Modeling
(L)
(H)
(N)
(B)
(E)
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.
45: Liquidity and Reserve Risk
(L)
(H)
(N)
(B)
(E)
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
This session will examine a framework for (non-life) reserve distribution testing and validation and demonstrate its use with real datasets within an Enterprise Risk Management framework. The authors will also discuss the impact that various scenarios of one-year development may have on next year's estimate of reserve variability. Presenters will also discuss progress on a project in which they will have reviewed the ways to immunize a portfolio against interest rate risk. Participants will also hear a talk on the different methods that can be used to assess the liquidity risk premium (LRP) component of credit spreads on corporate bonds.
47: The Global Economic Outlook, and Its Implications for Insurance and Pensions
(L)
(B)
(E)
(C)
Crises, the current pace of economic activity, inflation and the interest rate environment both in advanced and emerging economies are creating a myriad of challenges world-wide. The first presenters expand upon your knowledge by expressing their ideas and opinions on the global economic outlook. The next speakers present an overview of different types of inflation measurements relevant in an economic and insurance context. The speakers then analyze the impact of inflation on insurers. The effects of inflation are discussed in detail along with the various means for insurers to protect themselves against inflation surprises. The final presenter discusses ERM for pension funds.
Crises, the current pace of economic activity, inflation and the interest rate environment both in advanced and emerging economies are creating a myriad of challenges world-wide. The first presenters expand upon your knowledge by expressing their ideas and opinions on the global economic outlook. The next speakers present an overview of different types of inflation measurements relevant in an economic and insurance context. The speakers then analyze the impact of inflation on insurers. The effects of inflation are discussed in detail along with the various means for insurers to protect themselves against inflation surprises. The final presenter discusses ERM for pension funds.
51: Reinsurance: Modeling Mortality Rating Factors
(L)
(E)
Brush up on what is meant by financing reinsurance, and differences between cash/non-cash financing and risks. Hear reinsurance solutions for group business, and get a recap of the specifics of group business and solutions. And, see a practical demonstration of using GLMs to determine mortality rating factors.
Brush up on what is meant by financing reinsurance, and differences between cash/non-cash financing and risks. Hear reinsurance solutions for group business, and get a recap of the specifics of group business and solutions. And, see a practical demonstration of using GLMs to determine mortality rating factors.
52: Research Perspectives on Regulation
(L)
(E)
Get leading edge perspectives on risk! Hear new research results related to regulatory risk and systemic risk/modeling risk from the Society of Actuaries.
Get leading edge perspectives on risk! Hear new research results related to regulatory risk and systemic risk/modeling risk from the Society of Actuaries.
55: New Ideas
(L)
(H)
(N)
(B)
(E)
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
This session’s presentations will cover three different topics. The first will discuss the identification of Emerging Risks, benefiting from the profession’s surveys on such risks. The second will discuss the use of tree-based methods for the analysis of insurance data, with specific applications to life and disability insurance. The third will analyze the actuarial profession by jurisdiction using actuarial density and penetration.
61: Solvency
(L)
(E)
Examine the natural hedging approach proposed to internally hedge systematic longevity risk exposures. Check out a proposed method that generates parameters drawn from a given set that maximizes the reserve. And hear a comparison of simulation results of the financial development of insurance portfolios containing policies with differing guarantee designs.
Examine the natural hedging approach proposed to internally hedge systematic longevity risk exposures. Check out a proposed method that generates parameters drawn from a given set that maximizes the reserve. And hear a comparison of simulation results of the financial development of insurance portfolios containing policies with differing guarantee designs.
66: The Actuaries Climate Index and the Actuaries Climate Risk Index
(N)
(E)
There is a large difference between the general public's knowledge of Climate Change, and the evidence. The Actuaries Climate Index is being developed to educate the public about Climate Change, and to enhance our profession. The Actuaries Climate Risk Index will also include exposures as a measure of Climate Change Risk. A description will be provided of how the indices are being developed, and what characteristics we want the indices to have. In this interactive session, participants will see some of the indices in the development stage, and will be able to provide feedback on whether the indices communicate the right information in the right way.
There is a large difference between the general public's knowledge of Climate Change, and the evidence. The Actuaries Climate Index is being developed to educate the public about Climate Change, and to enhance our profession. The Actuaries Climate Risk Index will also include exposures as a measure of Climate Change Risk. A description will be provided of how the indices are being developed, and what characteristics we want the indices to have. In this interactive session, participants will see some of the indices in the development stage, and will be able to provide feedback on whether the indices communicate the right information in the right way.
72: Parameter Estimates, Copula Tail Dependence and Large Claim Reinsurance
(N)
(E)
The Pretorius paper addresses model parameter estimation using an example of improving property reinsurance pricing of earthquake losses. The Pettere paper addresses the tail dependence property of a copula using as an example the impact of large loss X enlarging the probability that loss Y will also be large. The Gacovska paper examines the impact of reinsuring the k-th largest claim, or the aggregate amount of the k largest claims, in a portfolio.
The Pretorius paper addresses model parameter estimation using an example of improving property reinsurance pricing of earthquake losses. The Pettere paper addresses the tail dependence property of a copula using as an example the impact of large loss X enlarging the probability that loss Y will also be large. The Gacovska paper examines the impact of reinsuring the k-th largest claim, or the aggregate amount of the k largest claims, in a portfolio.
78: IAIS Global Capital Standards
(L)
(H)
(N)
(B)
(E)
(P)
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
82: Operational Risk
(L)
(H)
(N)
(B)
(E)
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
In this session, the first paper will provide an assessment of the current techniques used to assess operational risk in the financial services industry globally. The concept of the second paper is to identify, analyze, assess, measure, manage and control operational risk effect on insurance company's activity with the help of the discriminant model created by the authors. Through an operational-risk management framework, the third paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage.
86: Global Consulting Approaches and Methods
(N)
(B)
(E)
(C)
Ready for fun? This session is for you. You are now the CEO of a major multinational insurance company known for your steely nerve and snap judgment. Everyone around you is a competitor and every bit as stone cold sharp as you. But times are changing, and to continue to survive in this jungle of an international market, you also need to change - either merge with one of your competitors or buy them outright. There is an increasing interest in international pension plans (IPPs) for expatriates as a consequence of the trend towards globalisation of businesses and the increasing challenges of retaining globally mobile employees in domestic pension plans. The Hansen presentation traces the development of IPPs over the past three decades, how they typically operate at present and how they might continue to develop in the future.
Ready for fun? This session is for you. You are now the CEO of a major multinational insurance company known for your steely nerve and snap judgment. Everyone around you is a competitor and every bit as stone cold sharp as you. But times are changing, and to continue to survive in this jungle of an international market, you also need to change - either merge with one of your competitors or buy them outright. There is an increasing interest in international pension plans (IPPs) for expatriates as a consequence of the trend towards globalisation of businesses and the increasing challenges of retaining globally mobile employees in domestic pension plans. The Hansen presentation traces the development of IPPs over the past three decades, how they typically operate at present and how they might continue to develop in the future.
87: ORSA: Perspectives on an International Practice
(L)
(H)
(N)
(B)
(E)
(P)
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
89: Pushing the Limits - Extremes, Stress Scenarios, and Risk of Ruin
(L)
(H)
(N)
(B)
(E)
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
In this session, a discussion will take place on questions of construction of country-sized financial models used to model emerging economic crises. Dimensions considered by the model include technology, capital and labor resources. In addition, attendees will hear a paper on a capital modeling approach to analyze the risk from climate change. A third paper explores the leading edge in techniques for ruin theory and models.
90: Practical Introduction to Predictive Models (with software) Panel
(N)
(E)
Applications of predictive modeling have seen rapid growth in insurance. The session will feature practical applications with open source free software and public databases.
Applications of predictive modeling have seen rapid growth in insurance. The session will feature practical applications with open source free software and public databases.
91: Regulatory Issues: What Are the Latest Developments for Non-Life Companies in Emerging Economies?
(N)
(E)
Solvency 2 requirements are a reality in many countries. These papers discuss the issues faced by insurers in emerging economies who face a shortage of data and numerous other model validation issues. The first paper addresses the challenges in Armenia in estimating the "technical provisions" regarding best estimate valuation and risk margin. The second paper discusses models to evaluate underwriting risk, reinsurance credit risk, market risk, and operational risk for reinsurers in developing countries.
Solvency 2 requirements are a reality in many countries. These papers discuss the issues faced by insurers in emerging economies who face a shortage of data and numerous other model validation issues. The first paper addresses the challenges in Armenia in estimating the "technical provisions" regarding best estimate valuation and risk margin. The second paper discusses models to evaluate underwriting risk, reinsurance credit risk, market risk, and operational risk for reinsurers in developing countries.
92: Solvency and Risk Based Capital: What Does the Research Show?
(N)
(E)
Meeting the requirements of Solvency II will be a challenge to insurers worldwide. In the U.S., the Own Risk and Solvency Assessment, which is part of Solvency II, will be a new regulatory tool. The first paper explores alternative methodologies in order to describe claim-size and aggregate claim amount distributions in non-life insurance. The second paper explores a range of methods to calculate the Solvency Capital Requirement proposed in Solvency II's Quantitative Impact Study 5. The third paper reports on work done by the Casualty Actuarial Society's Risk Based Capital Working Parties.
Meeting the requirements of Solvency II will be a challenge to insurers worldwide. In the U.S., the Own Risk and Solvency Assessment, which is part of Solvency II, will be a new regulatory tool. The first paper explores alternative methodologies in order to describe claim-size and aggregate claim amount distributions in non-life insurance. The second paper explores a range of methods to calculate the Solvency Capital Requirement proposed in Solvency II's Quantitative Impact Study 5. The third paper reports on work done by the Casualty Actuarial Society's Risk Based Capital Working Parties.
93: Risk Classification Systems
(L)
(H)
(N)
(B)
(E)
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
The first presentation in this session sets out a classification system developed by the Risk Classification Working Party of the UK Actuarial Profession that can be used as a common reference point for discussing risk. The presentation covers demarcation and other issues encountered as part of this work. It is hoped that common terminology would reduce the possibility of confusion in discussing risks. The purpose of the second paper, developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries, is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems and to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice.
94: Risk Management in Practice - Part 1
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the benefits, challenges and risks associated with embedding the Principles of Sustainable Insurance (PSI) into an ERM framework, and provide practical guidelines to incorporate sustainability into the ERM process; will present the experiences of insurers and reinsurers in the implementation of an ERM program; and will discuss the role and impact of catastrophe models.
100: ERM and Value Maximization
(N)
(E)
Regulators, rating agencies and others are demanding robust ERM strategies from insurers. This session will present several applications of ERM including capital modeling, price optimization and performance measures.
Regulators, rating agencies and others are demanding robust ERM strategies from insurers. This session will present several applications of ERM including capital modeling, price optimization and performance measures.
105: CRO Roundtable - P/C
(H)
(N)
(E)
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
108: China's Risk Oriented Solvency System for P&C Companies
(H)
(N)
(E)
(P)
In March 2012, China Insurance Regulatory Commission (“CIRC”) launched a three-year project to research and develop a more robust China risk oriented solvency system (“C-ROSS”). CIRC organized 13 task forces to research the solvency framework, capital modeling, and various risk types for both life and P&C insurance exposure. The speakers for today’s panel include officers from the CIRC, and leaders of various C-ROSS task forces, including the “P&C Underwriting Risk Project” and the “Other Risks and Risk Correlation Project”. Presentation 1: Introduction of C-ROSS 1. The main characteristics and shortcomings of the current solvency system in China 2. The objectives of C-ROSS 3. The structure of C-ROSS and its main characteristics 4. The difficulties in building C-ROSS and the timetable for finishing C-ROSS 5. C-ROSS and the international common standard in solvency system Presentation 2: As an emerging market country, China's insurance industry reflects the classic characteristics of rapid development and big change. The current measurements of underwriting risk of a property and casualty insurance company in China Risk Oriented Solvency System (C-ROSS) are creatively designed to meet Chinese realistic conditions. Several stochastic models are tested and evaluated in Quantitative Impact Study (QIS), including a new stochastic chain ladder model to better capture the inherent risk. A set of weighted coefficients of variance is reached by taking into consideration the applicability of each used stochastic model. Then a new hierarchical reduction method is introduced to decide the magnitude of risk factors (reserve and premium) for each risk unit. As a core measurement, it provides effective solution to scale impact and systemic risk. C-ROSS tends to not only the insurance company’s overall capital requirement but also the amount needed for various risk type and business of line. Finally, C-ROSS recognizes that volatility alone cannot portray the risk profile accurately. As a result, some regulatory indicators are put into the calculation to punish behavior such as artificially lowering reserve and premium rate level. Presentation 3: Natural Catastrophe is the most volatile P&C risk that C-Ross tries to quantify. This presentation illustrates a new approach, Event-linked Dependency, to create the new correlation among regions in the C-Ross Nat Cat framework. Solvency II inherits its framework from Basel II of EU Banking Industry. One big difference between banking and insurance, from the actuarial point of view, is that the risk distribution of the banking industry is relatively asymmetric, while the distribution of the insurance industry is generally right-skewed, especially for the catastrophe risks. For cat risks, this kind of feature defies good solutions under a correlation matrix framework. The correlation matrix approach creates inconsistencies between theoretical results and cat model results. To solve the issue, a new approach, which is to minimize the weighted-MSE instead of relying on a presumed distributions, is discussed. This new correlation framework is planned for use in the China Risk Oriented Solvency System (C-ROSS) for calibrating cat risks. We hope colleagues from the actuarial field worldwide can provide feedbacks to this new approach before China Risk Oriented Solvency System (C-ROSS) is formally rolling out in 2015. Presentation 4: As one of the largest insurance groups in China, Pingan plays an important role in China financial market, and has been developing its enterprise risk management system. The global financial crisis underscored the need for public authorities to act promptly and proactively to identify financial firms that are systemically important and to take measures to lessen the impact and reduce the risk. In 2013 Pingan was selected to be one of the GSIIs (Global Systematically Important Insurers), this opportunity has brought a series of challenges and higher requirements on risk management and capital management. We would like to share our thoughts on this issue and hope colleagues from the actuarial field worldwide can provide suggestions on the topic of systematic risk management
In March 2012, China Insurance Regulatory Commission (“CIRC”) launched a three-year project to research and develop a more robust China risk oriented solvency system (“C-ROSS”). CIRC organized 13 task forces to research the solvency framework, capital modeling, and various risk types for both life and P&C insurance exposure. The speakers for today’s panel include officers from the CIRC, and leaders of various C-ROSS task forces, including the “P&C Underwriting Risk Project” and the “Other Risks and Risk Correlation Project”. Presentation 1: Introduction of C-ROSS 1. The main characteristics and shortcomings of the current solvency system in China 2. The objectives of C-ROSS 3. The structure of C-ROSS and its main characteristics 4. The difficulties in building C-ROSS and the timetable for finishing C-ROSS 5. C-ROSS and the international common standard in solvency system Presentation 2: As an emerging market country, China's insurance industry reflects the classic characteristics of rapid development and big change. The current measurements of underwriting risk of a property and casualty insurance company in China Risk Oriented Solvency System (C-ROSS) are creatively designed to meet Chinese realistic conditions. Several stochastic models are tested and evaluated in Quantitative Impact Study (QIS), including a new stochastic chain ladder model to better capture the inherent risk. A set of weighted coefficients of variance is reached by taking into consideration the applicability of each used stochastic model. Then a new hierarchical reduction method is introduced to decide the magnitude of risk factors (reserve and premium) for each risk unit. As a core measurement, it provides effective solution to scale impact and systemic risk. C-ROSS tends to not only the insurance company’s overall capital requirement but also the amount needed for various risk type and business of line. Finally, C-ROSS recognizes that volatility alone cannot portray the risk profile accurately. As a result, some regulatory indicators are put into the calculation to punish behavior such as artificially lowering reserve and premium rate level. Presentation 3: Natural Catastrophe is the most volatile P&C risk that C-Ross tries to quantify. This presentation illustrates a new approach, Event-linked Dependency, to create the new correlation among regions in the C-Ross Nat Cat framework. Solvency II inherits its framework from Basel II of EU Banking Industry. One big difference between banking and insurance, from the actuarial point of view, is that the risk distribution of the banking industry is relatively asymmetric, while the distribution of the insurance industry is generally right-skewed, especially for the catastrophe risks. For cat risks, this kind of feature defies good solutions under a correlation matrix framework. The correlation matrix approach creates inconsistencies between theoretical results and cat model results. To solve the issue, a new approach, which is to minimize the weighted-MSE instead of relying on a presumed distributions, is discussed. This new correlation framework is planned for use in the China Risk Oriented Solvency System (C-ROSS) for calibrating cat risks. We hope colleagues from the actuarial field worldwide can provide feedbacks to this new approach before China Risk Oriented Solvency System (C-ROSS) is formally rolling out in 2015. Presentation 4: As one of the largest insurance groups in China, Pingan plays an important role in China financial market, and has been developing its enterprise risk management system. The global financial crisis underscored the need for public authorities to act promptly and proactively to identify financial firms that are systemically important and to take measures to lessen the impact and reduce the risk. In 2013 Pingan was selected to be one of the GSIIs (Global Systematically Important Insurers), this opportunity has brought a series of challenges and higher requirements on risk management and capital management. We would like to share our thoughts on this issue and hope colleagues from the actuarial field worldwide can provide suggestions on the topic of systematic risk management
111: Two Views of the Financial Implications of Resource Limits
(N)
(E)
We know that resource limits are of many types, including water, oil, and arable land. The financial implications of resource limits are not well understood, however. We present two views of these financial implications. Are the financial implications close at hand, affecting the financial system in both in the 2008-2009 recession, and in likely future recessions? Or can they only be expected to affect the financial system much later? Or are both near-term limits and distant limits issues that actuaries and insurers should be concerned about? Oliver Bettis will present results from a research project on limits to growth, commissioned by the IFoA and carried out by the Global Sustainability Institute at Anglia Ruskin University, led by Dr Aled Jones. This research focuses on the long term implications of resource limits to economic growth. A simple actuarial model will be presented which explores likely issues through scenario planning methodologies. Gail Tverberg will present research results showing that the financial system is already being affected by resource limits. Countries such as Greece and Spain are already feeling the effect of resource limits (high oil prices impacting their tourist revenue), providing a model of what may be ahead.
We know that resource limits are of many types, including water, oil, and arable land. The financial implications of resource limits are not well understood, however. We present two views of these financial implications. Are the financial implications close at hand, affecting the financial system in both in the 2008-2009 recession, and in likely future recessions? Or can they only be expected to affect the financial system much later? Or are both near-term limits and distant limits issues that actuaries and insurers should be concerned about? Oliver Bettis will present results from a research project on limits to growth, commissioned by the IFoA and carried out by the Global Sustainability Institute at Anglia Ruskin University, led by Dr Aled Jones. This research focuses on the long term implications of resource limits to economic growth. A simple actuarial model will be presented which explores likely issues through scenario planning methodologies. Gail Tverberg will present research results showing that the financial system is already being affected by resource limits. Countries such as Greece and Spain are already feeling the effect of resource limits (high oil prices impacting their tourist revenue), providing a model of what may be ahead.
112: Strategies for Managing the Monthly Medical Insurance Valuation Process
(H)
(E)
Down syndrome, autism and cerebral palsy - these are conditions that manifest at birth or in early childhood. They result in lifelong impairments. The economic costs can be hundreds of thousands or even millions of dollars over the life of the child. Families must pay for direct costs not covered by health insurance and indirect costs such as the loss of earnings when a working parent must tend to the child. Presenter David Morel will propose an insurance product to respond to this financial risk. There will almost always be some restatement of IBNR reserves. The best method or combination of methods to use in a particular situation may be dependent upon factors and actuarial judgment that cannot be tested through a scientific model. While management may continually inquire about the level of restatement, the actuary is aware that restatements will not go away. This paper’s focus is on the management of the IBNR process.
Down syndrome, autism and cerebral palsy - these are conditions that manifest at birth or in early childhood. They result in lifelong impairments. The economic costs can be hundreds of thousands or even millions of dollars over the life of the child. Families must pay for direct costs not covered by health insurance and indirect costs such as the loss of earnings when a working parent must tend to the child. Presenter David Morel will propose an insurance product to respond to this financial risk. There will almost always be some restatement of IBNR reserves. The best method or combination of methods to use in a particular situation may be dependent upon factors and actuarial judgment that cannot be tested through a scientific model. While management may continually inquire about the level of restatement, the actuary is aware that restatements will not go away. This paper’s focus is on the management of the IBNR process.
114: Risk Management in Practice - Part 2
(L)
(H)
(N)
(B)
(E)
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
Risk management programs in practice are explored in this session. Multiple presentations will discuss the performance of different risk strategies by use of a simulation model of the competitive market; will explore the development of a CRO risk index which seeks to aggregate the subjective opinions of global risk professionals regarding significant movements in financial markets and general economic conditions; and will present the latest thinking on the articulation of a risk appetite for insurers, focusing on ways to make it a more effective and valuable process.
115: Uncertainty - A Continuing Discussion
(L)
(H)
(N)
(B)
(E)
(P)
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
204: Limited Attendance Session 4 - Tour U.S. Federal Insurance Office at Department of the Treasury
(L)
(H)
(N)
(B)
(E)
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
This three-hour limited-attendance session with staff of the U.S. Federal Insurance Office will explore current activities of the FIO, of the International Association of Insurance Supervisors (IAIS) and other insurance supervisory issues of importance. The dialogue will be with staff of the U.S. Federal Insurance Office, including Tom Finnell, Deputy Director, Regulatory Policy, and John Nolan, Deputy Director, Financial Stability. This session is a limited attendance session, and also requires advance security clearance for participants due to our meeting location at the US Treasury Department. Advance registration, a specific (and non-transferrable) ticket for participation, as well as advance security information, is an absolute requirement for all participants. All participants must travel to the session by bus, which will leave promptly as scheduled. There can be absolutely no exceptions.
Professionalism and Education (P)
Sessions
15: CRO Roundtable - Life
(H)
(B)
(E)
(P)
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
The position of Chief Risk Officer is gaining in prominence and visibility. Most major insurers now have a CRO, who is a member of the senior management team The panelists will discuss the following topics: • What are the key roles and responsibilities of the CRO and of the risk management function within your organization? How do companies perceive the value of ERM? Value of the CRO? What are the main risks – internal and external -- you see to (life/PC) insurers in 2014? Longer term? • How have companies responded? • Can you relate a successful risk mitigation anecdote? • What do you see as the role – and the value -- of actuaries and actuarial models in risk management? Two panel discussions will allow audience interaction with Chief Risk Officers of various organizations. The first panel (Monday) will cover organizations where life, pension, and/or annuity risks are paramount. A second panel (Thursday) will include organizations where property/casualty hazards are the greater threats to solvency or corporate goals.
16: Actuaries Without Borders and Expanding the Profession in the Future, Part One
(P)
This two-part panel allows delegates to think globally with a panel of actuaries and actuarial students from emerging markets who will provide you with an inside look into the future of the actuarial profession in developing countries. Each participant will speak on his/her day-to-day experiences, and then the panel will formulate thoughts to help guide the various initiatives of the IAA while continuing the promotion and development of the actuarial profession in developing countries.
This two-part panel allows delegates to think globally with a panel of actuaries and actuarial students from emerging markets who will provide you with an inside look into the future of the actuarial profession in developing countries. Each participant will speak on his/her day-to-day experiences, and then the panel will formulate thoughts to help guide the various initiatives of the IAA while continuing the promotion and development of the actuarial profession in developing countries.
23: Investments - People and Instruments
(L)
(H)
(N)
(B)
(E)
(P)
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
Get the solution to the integrated problem with recursive utility/uncertain lifetime! Plus--hear an overview of actuarial techniques applied to retail credit impairment modeling and practical issues that actuaries are well placed to help address. Learn about the latest actuarial and analytics hiring trends in the global insurance and reinsurance markets.
25: Capital Models and Solvency II
(L)
(H)
(N)
(B)
(E)
(P)
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
This session addresses the principles behind capital modeling for enterprise risk management: their design, implementation and governance. The audience will see how European insurance companies are preparing for the new Solvency II framework at the time of the Congress, as well as insurance undertakings operating within the framework of Solvency II. Explore why a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.
26: Risk and Annuities - Hedging, Risk Factors, and Policyholder Behavior
(L)
(H)
(B)
(E)
(P)
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
In this session, the audience will be introduced to research considering the natural hedge between annuities and assurances. The presentation will discuss the stability of the hedge, how often rebalancing is required, and the effect that a change in interest rates will have; and the hedge is applied to an illustrative portfolio. In the second paper, the authors first propose a decomposition method mainly based on the martingale representation theorem and show how this method provides a dynamic allocation of the total risk to the different risk sources over time. In order to gain insights on what drives policyholder behavior, the last paper develops a life-cycle model for variable annuities (VA) with withdrawal guarantees.
27: International Professionalism Development Case Studies
(P)
The Mozambican government recently passed a law authorizing the creation of private pension funds and the company is demanding the need for training of local actuaries to enable better management and performance of the activities of insurance companies and pension funds. How is the marketplace responding? Find out about the challenges and prospects that the actuarial profession faces in Bangladesh, where the life insurance business is expanding at an impressive rate of 26.7%! Actuarial service is essential in life insurance companies for product designing, pricing, mortality investigation, reserve calculation, and valuation; but the actuarial profession in Bangladesh was surprisingly limited in the past four decades. What is changing? The actuarial profession in Macedonia is finally at a stage where a broad audience recognizes the profession, the need of actuaries. How has this been accomplished, and what are the next steps?
The Mozambican government recently passed a law authorizing the creation of private pension funds and the company is demanding the need for training of local actuaries to enable better management and performance of the activities of insurance companies and pension funds. How is the marketplace responding? Find out about the challenges and prospects that the actuarial profession faces in Bangladesh, where the life insurance business is expanding at an impressive rate of 26.7%! Actuarial service is essential in life insurance companies for product designing, pricing, mortality investigation, reserve calculation, and valuation; but the actuarial profession in Bangladesh was surprisingly limited in the past four decades. What is changing? The actuarial profession in Macedonia is finally at a stage where a broad audience recognizes the profession, the need of actuaries. How has this been accomplished, and what are the next steps?
36: Actuarial Education Development: Case Studies
(P)
Dig into real life applications of actuarial education and Continuing Professional Development (CPD). In this session, you will get insight into CPD principles that can assist actuaries to develop and maintain the capability to deliver a quality professional service; participate in small group discussions focusing on collaboration in actuarial education and seeking input on outreach, collaboration, and the design of such programs; and watch a panel discussion covering goals and results of the Actuarial Educators Network (AEN).
Dig into real life applications of actuarial education and Continuing Professional Development (CPD). In this session, you will get insight into CPD principles that can assist actuaries to develop and maintain the capability to deliver a quality professional service; participate in small group discussions focusing on collaboration in actuarial education and seeking input on outreach, collaboration, and the design of such programs; and watch a panel discussion covering goals and results of the Actuarial Educators Network (AEN).
40: The Role of the Actuary in a DC World
(B)
(P)
Actuaries have always played a critical role in the design and funding of defined benefit plans. This session provides a timely discussion of how the expertise actuaries provide fits into this increasingly DC world and the ways in which actuaries are putting their expertise to work in managing DC plans.
Actuaries have always played a critical role in the design and funding of defined benefit plans. This session provides a timely discussion of how the expertise actuaries provide fits into this increasingly DC world and the ways in which actuaries are putting their expertise to work in managing DC plans.
46: Actuaries Without Borders and Expanding the Profession in the Future, Part Two
(P)
Think global with a panel of actuaries and actuarial students from emerging markets, who will provide you with an inside look into the future of the actuarial profession in developing countries. Each participant will speak on his/her day-to-day experiences, and then the panel will formulate thoughts to help guide the various initiatives of the IAA while continuing the promotion and development of the actuarial profession in developing countries.
Think global with a panel of actuaries and actuarial students from emerging markets, who will provide you with an inside look into the future of the actuarial profession in developing countries. Each participant will speak on his/her day-to-day experiences, and then the panel will formulate thoughts to help guide the various initiatives of the IAA while continuing the promotion and development of the actuarial profession in developing countries.
56: IAA Publications: New Books on Modern Actuarial Science & Practice
(P)
The IAA has published new books and monographs on actuarial sciences, related to "Stochastic Modeling","Discount Rates" and "Risk Margins". The general idea of the session is that a co-author from each could present the highlights and features of each publication.
The IAA has published new books and monographs on actuarial sciences, related to "Stochastic Modeling","Discount Rates" and "Risk Margins". The general idea of the session is that a co-author from each could present the highlights and features of each publication.
59: Innovation in Education Panel
(P)
Attendees will learn about an innovative study from the Institute and Faculty of Actuaries (IFA) and Society of Actuaries’ (SOA) highlighting comparison of the SOA Competency Framework with the IFA Work Based Skills which seeks to identify a common skill set at credentialing and one-three years post credentialing based on competencies rather than technical knowledge. This is the first time these two large actuarial educators have sought to identify and compare, in terms of competencies, the output of the two education programs. The third speaker will discuss research that focused on understanding of how Australian actuarial graduates perceive the quality of their education after some period of work experience.
Attendees will learn about an innovative study from the Institute and Faculty of Actuaries (IFA) and Society of Actuaries’ (SOA) highlighting comparison of the SOA Competency Framework with the IFA Work Based Skills which seeks to identify a common skill set at credentialing and one-three years post credentialing based on competencies rather than technical knowledge. This is the first time these two large actuarial educators have sought to identify and compare, in terms of competencies, the output of the two education programs. The third speaker will discuss research that focused on understanding of how Australian actuarial graduates perceive the quality of their education after some period of work experience.
65: International Standards of Actuarial Practice – a Primer
(P)
A strategic objective of the International Actuarial Association (IAA) is to promote the issuance of actuarial standards in the jurisdictions of all IAA Member Associations. To assist in the achievement of this objective, IAA created the Actuarial Standards Committee for the purpose of producing International Standards of Actuarial Practice (ISAPs) to serve as models. This session will cover IAA strategy for ISAPs; the role of ISAPs as models for national standard-setters or for those adopting them in particular assignments; ISAPs differences from International Actuarial Notes (IANs); the consultation process; and an update on activity and actions taken with respect to any existing or proposed ISAPs.
A strategic objective of the International Actuarial Association (IAA) is to promote the issuance of actuarial standards in the jurisdictions of all IAA Member Associations. To assist in the achievement of this objective, IAA created the Actuarial Standards Committee for the purpose of producing International Standards of Actuarial Practice (ISAPs) to serve as models. This session will cover IAA strategy for ISAPs; the role of ISAPs as models for national standard-setters or for those adopting them in particular assignments; ISAPs differences from International Actuarial Notes (IANs); the consultation process; and an update on activity and actions taken with respect to any existing or proposed ISAPs.
73: Actuaries and Public Outreach
(P)
Participants on this panel will present outreach examples from their respective organizations. All Congress attendees are invited to visit the “Actuaries and Public Outreach” presentation team in the poster session area of the Town Square (Exhibit Hall A) during the breaks on Wednesday and Thursday.
Participants on this panel will present outreach examples from their respective organizations. All Congress attendees are invited to visit the “Actuaries and Public Outreach” presentation team in the poster session area of the Town Square (Exhibit Hall A) during the breaks on Wednesday and Thursday.
74: International Perspective about the Future of the Actuarial Profession, Part One
(L)
(N)
(P)
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Solvency measurement is definitely one of the most sensitive actuarial tasks in insurance company. The intention of the first paper is to make clearer the key challenges of Solvency II regime implementation in small transitional countries, considering the small countries characteristics and the Solvency II complexity. The quantity of data is growing rapidly with respect to risks, customers and their behavior. Are actuaries evolving in way that will leverage their unique skill set by taking on the challenge of quantifying risk in this ‘brave new [data-intensive] world’? The second set of presenters will share their vision for the Actuary as the preeminent professional in the new data driven (business) world.
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Solvency measurement is definitely one of the most sensitive actuarial tasks in insurance company. The intention of the first paper is to make clearer the key challenges of Solvency II regime implementation in small transitional countries, considering the small countries characteristics and the Solvency II complexity. The quantity of data is growing rapidly with respect to risks, customers and their behavior. Are actuaries evolving in way that will leverage their unique skill set by taking on the challenge of quantifying risk in this ‘brave new [data-intensive] world’? The second set of presenters will share their vision for the Actuary as the preeminent professional in the new data driven (business) world.
75: Health Systems and Reforms
(H)
(P)
Find out about national health insurance schemes in West Africa and challenges ahead of the initiators and actuaries. Get an understanding of how governments handle the challenge of providing healthcare to constituents, with a look at systems/models. And, look at what aspects of modeling are consistent or vary across countries.
Find out about national health insurance schemes in West Africa and challenges ahead of the initiators and actuaries. Get an understanding of how governments handle the challenge of providing healthcare to constituents, with a look at systems/models. And, look at what aspects of modeling are consistent or vary across countries.
78: IAIS Global Capital Standards
(L)
(H)
(N)
(B)
(E)
(P)
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
This session will present the challenges and progress of the International Association of Insurance Supervisors' initiative to develop global insurance capital standards. The session will include speakers from IAIS who will outline the vision, the goals and the actuarial implications of this IAIS initiative. Other speakers will include a Chief Financial Officer and a Chief Risk Officer from two Global Systemically Important Insurers (G-SIIs). The speakers will provide a range of perspectives on how the process of developing three global insurance capital standards over three years is going to play out … not to mention the implementation challenges and implications for the years following.
83: International Perspective about the Future of the Actuarial Profession, Part Two
(L)
(P)
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Speakers will discuss the role that actuaries should play in the constantly changing global environment. Topics will include the evolution of the actuarial profession; social security and the role of the actuary in Latin America; and the new accounting standards for Indonesian actuaries.
Sure to be fascinating, a diverse group of presenters will discuss the future of the actuarial perspective. Speakers will discuss the role that actuaries should play in the constantly changing global environment. Topics will include the evolution of the actuarial profession; social security and the role of the actuary in Latin America; and the new accounting standards for Indonesian actuaries.
84: Long Term Care and its Sustainability
(H)
(P)
See a visual display that enables the sustainability of elderly support/care programs in developed countries to be understood quickly. Plus—a survey yields insights about insurer attitudes, as senior officers at life insurance, life reinsurance and financial services consultancies in the LTCI market look into the future.
See a visual display that enables the sustainability of elderly support/care programs in developed countries to be understood quickly. Plus—a survey yields insights about insurer attitudes, as senior officers at life insurance, life reinsurance and financial services consultancies in the LTCI market look into the future.
87: ORSA: Perspectives on an International Practice
(L)
(H)
(N)
(B)
(E)
(P)
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
88: Actuaries without Borders and Expanding the Profession in the Future, Part Three
(P)
Think global with a panel of actuaries and actuarial students from emerging markets, who will provide you with an inside look into the future of the actuarial profession in developing countries. Each participant will speak on his/her day-to-day experiences, and then the panel will formulate thoughts to help guide the various initiatives of the IAA while continuing the promotion and development of the actuarial profession in developing countries.
Think global with a panel of actuaries and actuarial students from emerging markets, who will provide you with an inside look into the future of the actuarial profession in developing countries. Each participant will speak on his/her day-to-day experiences, and then the panel will formulate thoughts to help guide the various initiatives of the IAA while continuing the promotion and development of the actuarial profession in developing countries.
95: Ethics and Professionalism for the Consulting Actuary
(P)
(C)
Across the world, recent financial scandals and crises highlight the need for more ethics and accountability in today's business environment. Corporate Social Responsibility (CSR) is a new term important in the world today. The presenters will focus first on the responsibility of the corporation and then the role of the consulting actuary in creating an ethical atmosphere in a competitive world. This is expected to be a highly interactive session as the presenters discuss the paper on CSR and the profession’s challenges in the balance between responsibilities between the corporate world, the public and the profession to make concepts like CRS a reality. This session is presented on Tuesday and on Thursday at 8:30.
Across the world, recent financial scandals and crises highlight the need for more ethics and accountability in today's business environment. Corporate Social Responsibility (CSR) is a new term important in the world today. The presenters will focus first on the responsibility of the corporation and then the role of the consulting actuary in creating an ethical atmosphere in a competitive world. This is expected to be a highly interactive session as the presenters discuss the paper on CSR and the profession’s challenges in the balance between responsibilities between the corporate world, the public and the profession to make concepts like CRS a reality. This session is presented on Tuesday and on Thursday at 8:30.
97: Predictive Modeling: Too Much of a Good Thing?
(L)
(H)
(N)
(P)
A debate. Modern insurance is really just a formalized community risk sharing with an insurance company administering the process. This process depends on a collective view of risk. Hundreds of policyholders sign contracts that state that their collective cohort will make any policyholder, who has an unfortunate event, whole. It is this use of the collective that makes insurance work. And it is a miraculous financial instrument. But, modern reality is significantly different than the insurance nirvana outlined above. Today there is a strongly increased focus on individual equity that erodes the principles of collective risk sharing. Or, does the application of predictive modeling increase the power of the collective? Our two speakers will wrestle with these issues in a debate format.
A debate. Modern insurance is really just a formalized community risk sharing with an insurance company administering the process. This process depends on a collective view of risk. Hundreds of policyholders sign contracts that state that their collective cohort will make any policyholder, who has an unfortunate event, whole. It is this use of the collective that makes insurance work. And it is a miraculous financial instrument. But, modern reality is significantly different than the insurance nirvana outlined above. Today there is a strongly increased focus on individual equity that erodes the principles of collective risk sharing. Or, does the application of predictive modeling increase the power of the collective? Our two speakers will wrestle with these issues in a debate format.
102: Advice & Assistance Committee/Education Committee of IAA
(P)
Attendees will learn about what the IAA does through its Advice and Assistance Committee to assist in the establishment and development of actuarial associations in different countries, and how the IAA, through its Education Committee, provides education guidelines and a syllabus to them.
Attendees will learn about what the IAA does through its Advice and Assistance Committee to assist in the establishment and development of actuarial associations in different countries, and how the IAA, through its Education Committee, provides education guidelines and a syllabus to them.
108: China's Risk Oriented Solvency System for P&C Companies
(H)
(N)
(E)
(P)
In March 2012, China Insurance Regulatory Commission (“CIRC”) launched a three-year project to research and develop a more robust China risk oriented solvency system (“C-ROSS”). CIRC organized 13 task forces to research the solvency framework, capital modeling, and various risk types for both life and P&C insurance exposure. The speakers for today’s panel include officers from the CIRC, and leaders of various C-ROSS task forces, including the “P&C Underwriting Risk Project” and the “Other Risks and Risk Correlation Project”. Presentation 1: Introduction of C-ROSS 1. The main characteristics and shortcomings of the current solvency system in China 2. The objectives of C-ROSS 3. The structure of C-ROSS and its main characteristics 4. The difficulties in building C-ROSS and the timetable for finishing C-ROSS 5. C-ROSS and the international common standard in solvency system Presentation 2: As an emerging market country, China's insurance industry reflects the classic characteristics of rapid development and big change. The current measurements of underwriting risk of a property and casualty insurance company in China Risk Oriented Solvency System (C-ROSS) are creatively designed to meet Chinese realistic conditions. Several stochastic models are tested and evaluated in Quantitative Impact Study (QIS), including a new stochastic chain ladder model to better capture the inherent risk. A set of weighted coefficients of variance is reached by taking into consideration the applicability of each used stochastic model. Then a new hierarchical reduction method is introduced to decide the magnitude of risk factors (reserve and premium) for each risk unit. As a core measurement, it provides effective solution to scale impact and systemic risk. C-ROSS tends to not only the insurance company’s overall capital requirement but also the amount needed for various risk type and business of line. Finally, C-ROSS recognizes that volatility alone cannot portray the risk profile accurately. As a result, some regulatory indicators are put into the calculation to punish behavior such as artificially lowering reserve and premium rate level. Presentation 3: Natural Catastrophe is the most volatile P&C risk that C-Ross tries to quantify. This presentation illustrates a new approach, Event-linked Dependency, to create the new correlation among regions in the C-Ross Nat Cat framework. Solvency II inherits its framework from Basel II of EU Banking Industry. One big difference between banking and insurance, from the actuarial point of view, is that the risk distribution of the banking industry is relatively asymmetric, while the distribution of the insurance industry is generally right-skewed, especially for the catastrophe risks. For cat risks, this kind of feature defies good solutions under a correlation matrix framework. The correlation matrix approach creates inconsistencies between theoretical results and cat model results. To solve the issue, a new approach, which is to minimize the weighted-MSE instead of relying on a presumed distributions, is discussed. This new correlation framework is planned for use in the China Risk Oriented Solvency System (C-ROSS) for calibrating cat risks. We hope colleagues from the actuarial field worldwide can provide feedbacks to this new approach before China Risk Oriented Solvency System (C-ROSS) is formally rolling out in 2015. Presentation 4: As one of the largest insurance groups in China, Pingan plays an important role in China financial market, and has been developing its enterprise risk management system. The global financial crisis underscored the need for public authorities to act promptly and proactively to identify financial firms that are systemically important and to take measures to lessen the impact and reduce the risk. In 2013 Pingan was selected to be one of the GSIIs (Global Systematically Important Insurers), this opportunity has brought a series of challenges and higher requirements on risk management and capital management. We would like to share our thoughts on this issue and hope colleagues from the actuarial field worldwide can provide suggestions on the topic of systematic risk management
In March 2012, China Insurance Regulatory Commission (“CIRC”) launched a three-year project to research and develop a more robust China risk oriented solvency system (“C-ROSS”). CIRC organized 13 task forces to research the solvency framework, capital modeling, and various risk types for both life and P&C insurance exposure. The speakers for today’s panel include officers from the CIRC, and leaders of various C-ROSS task forces, including the “P&C Underwriting Risk Project” and the “Other Risks and Risk Correlation Project”. Presentation 1: Introduction of C-ROSS 1. The main characteristics and shortcomings of the current solvency system in China 2. The objectives of C-ROSS 3. The structure of C-ROSS and its main characteristics 4. The difficulties in building C-ROSS and the timetable for finishing C-ROSS 5. C-ROSS and the international common standard in solvency system Presentation 2: As an emerging market country, China's insurance industry reflects the classic characteristics of rapid development and big change. The current measurements of underwriting risk of a property and casualty insurance company in China Risk Oriented Solvency System (C-ROSS) are creatively designed to meet Chinese realistic conditions. Several stochastic models are tested and evaluated in Quantitative Impact Study (QIS), including a new stochastic chain ladder model to better capture the inherent risk. A set of weighted coefficients of variance is reached by taking into consideration the applicability of each used stochastic model. Then a new hierarchical reduction method is introduced to decide the magnitude of risk factors (reserve and premium) for each risk unit. As a core measurement, it provides effective solution to scale impact and systemic risk. C-ROSS tends to not only the insurance company’s overall capital requirement but also the amount needed for various risk type and business of line. Finally, C-ROSS recognizes that volatility alone cannot portray the risk profile accurately. As a result, some regulatory indicators are put into the calculation to punish behavior such as artificially lowering reserve and premium rate level. Presentation 3: Natural Catastrophe is the most volatile P&C risk that C-Ross tries to quantify. This presentation illustrates a new approach, Event-linked Dependency, to create the new correlation among regions in the C-Ross Nat Cat framework. Solvency II inherits its framework from Basel II of EU Banking Industry. One big difference between banking and insurance, from the actuarial point of view, is that the risk distribution of the banking industry is relatively asymmetric, while the distribution of the insurance industry is generally right-skewed, especially for the catastrophe risks. For cat risks, this kind of feature defies good solutions under a correlation matrix framework. The correlation matrix approach creates inconsistencies between theoretical results and cat model results. To solve the issue, a new approach, which is to minimize the weighted-MSE instead of relying on a presumed distributions, is discussed. This new correlation framework is planned for use in the China Risk Oriented Solvency System (C-ROSS) for calibrating cat risks. We hope colleagues from the actuarial field worldwide can provide feedbacks to this new approach before China Risk Oriented Solvency System (C-ROSS) is formally rolling out in 2015. Presentation 4: As one of the largest insurance groups in China, Pingan plays an important role in China financial market, and has been developing its enterprise risk management system. The global financial crisis underscored the need for public authorities to act promptly and proactively to identify financial firms that are systemically important and to take measures to lessen the impact and reduce the risk. In 2013 Pingan was selected to be one of the GSIIs (Global Systematically Important Insurers), this opportunity has brought a series of challenges and higher requirements on risk management and capital management. We would like to share our thoughts on this issue and hope colleagues from the actuarial field worldwide can provide suggestions on the topic of systematic risk management
115: Uncertainty - A Continuing Discussion
(L)
(H)
(N)
(B)
(E)
(P)
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
In Wednesday's Plenary Session, Dr. Paul Embrechts discussed the nature of risk and uncertainty, and concentrated specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance. In Friday's parallel session, Dr. Embrechts will elaborate on several of his key points in a format that will allow for the audience to reflect on the Plenary address and to participate in a conversation with Dr. Embrechts.
201: Limited Attendance Session 1-- How International are You? Ethics and Professionalism from an International Perspective
(P)
With the increasing globalization of business, more actuaries find themselves operating internationally, while still other may be without realizing it. This three-hour limited attendance session will consider implications of the IAA’s Principles of Professionalism for actuaries practicing in these situations. This discussion will consider the Principles of Professionalism and application of International Standards of Actuarial Practice (ISAPs); the governance of international actuarial work; various codes of conduct around the actuarial world; the profession's response to business ethics; the need for continuing professional education and development; professional discipline; and the matter of the public interest. Attendees will participate in case studies and join in the discussion.
With the increasing globalization of business, more actuaries find themselves operating internationally, while still other may be without realizing it. This three-hour limited attendance session will consider implications of the IAA’s Principles of Professionalism for actuaries practicing in these situations. This discussion will consider the Principles of Professionalism and application of International Standards of Actuarial Practice (ISAPs); the governance of international actuarial work; various codes of conduct around the actuarial world; the profession's response to business ethics; the need for continuing professional education and development; professional discipline; and the matter of the public interest. Attendees will participate in case studies and join in the discussion.
Consulting (C)
Sessions
47: The Global Economic Outlook, and Its Implications for Insurance and Pensions
(L)
(B)
(E)
(C)
Crises, the current pace of economic activity, inflation and the interest rate environment both in advanced and emerging economies are creating a myriad of challenges world-wide. The first presenters expand upon your knowledge by expressing their ideas and opinions on the global economic outlook. The next speakers present an overview of different types of inflation measurements relevant in an economic and insurance context. The speakers then analyze the impact of inflation on insurers. The effects of inflation are discussed in detail along with the various means for insurers to protect themselves against inflation surprises. The final presenter discusses ERM for pension funds.
Crises, the current pace of economic activity, inflation and the interest rate environment both in advanced and emerging economies are creating a myriad of challenges world-wide. The first presenters expand upon your knowledge by expressing their ideas and opinions on the global economic outlook. The next speakers present an overview of different types of inflation measurements relevant in an economic and insurance context. The speakers then analyze the impact of inflation on insurers. The effects of inflation are discussed in detail along with the various means for insurers to protect themselves against inflation surprises. The final presenter discusses ERM for pension funds.
57: Design and Funding of Public and Private Retirement Plans
(B)
(C)
Different perspectives for retirement design and management. The first paper centers on defined contribution (DC) programs in Mexico and Columbia in charge of private companies and the capital managed through a multi scheme. The second centers on Australia's QSuper (a superannuation fund with a membership of over half a million government employees and spouses), which is embarking on a new approach to investment strategy that centers on a strong commitment for adequate savings particularly for default DC members. The third paper provides new thinking about a systematic approach to investment manager performance reviews.
Different perspectives for retirement design and management. The first paper centers on defined contribution (DC) programs in Mexico and Columbia in charge of private companies and the capital managed through a multi scheme. The second centers on Australia's QSuper (a superannuation fund with a membership of over half a million government employees and spouses), which is embarking on a new approach to investment strategy that centers on a strong commitment for adequate savings particularly for default DC members. The third paper provides new thinking about a systematic approach to investment manager performance reviews.
58: Managing Longevity Risk
(L)
(B)
(C)
In today's world there exists a need to fully manage longevity risk and develop models that are practical for specific purposes. The authors of the papers discuss their thoughts on managing longevity as it applies to resolving conflict between the need for complexity for the individual populations versus the requirement for robustness in future forecasts and the development of risk transfer in capital and risk management.
In today's world there exists a need to fully manage longevity risk and develop models that are practical for specific purposes. The authors of the papers discuss their thoughts on managing longevity as it applies to resolving conflict between the need for complexity for the individual populations versus the requirement for robustness in future forecasts and the development of risk transfer in capital and risk management.
76: Balancing the Roles of Public and Private Health Care Systems Around the World
(H)
(C)
Access to affordable healthcare for the low-income population is an important issue around the world. The presenters at the start of this session explore how different countries have designed their healthcare safety net. The speakers provide comparative information regarding program design, financing arrangements and relative cost, access to care, quality of care, and other issues; explore the impact of population demographics and income distribution; and discuss how microinsurance has been used to fill an important void in countries without a formal healthcare safety net. In addition, presenters examine the actuarial aspects of measuring health system costs, access, and quality. The speakers at this presentation address aspects of modeling that are consistent across countries and aspects that vary based on various environmental, political, and policy characteristics.
Access to affordable healthcare for the low-income population is an important issue around the world. The presenters at the start of this session explore how different countries have designed their healthcare safety net. The speakers provide comparative information regarding program design, financing arrangements and relative cost, access to care, quality of care, and other issues; explore the impact of population demographics and income distribution; and discuss how microinsurance has been used to fill an important void in countries without a formal healthcare safety net. In addition, presenters examine the actuarial aspects of measuring health system costs, access, and quality. The speakers at this presentation address aspects of modeling that are consistent across countries and aspects that vary based on various environmental, political, and policy characteristics.
77: The Forward-Thinking Actuary
(N)
(C)
Actuarial work has existed in one form or another for more than a century. Over time, it has evolved much in thinking, scope and enabling technology. But, we we look forward to the next century, how will it continue to evolve? What are the critical skills actuaries need to possess both to keep pace and advance the profession? Actuaries with different backgrounds and different specialities will address these issues and more in a session that is expected to have broad appeal to actuaries across multiple specialities. The session will be interactive and audience participation is encouraged.
Actuarial work has existed in one form or another for more than a century. Over time, it has evolved much in thinking, scope and enabling technology. But, we we look forward to the next century, how will it continue to evolve? What are the critical skills actuaries need to possess both to keep pace and advance the profession? Actuaries with different backgrounds and different specialities will address these issues and more in a session that is expected to have broad appeal to actuaries across multiple specialities. The session will be interactive and audience participation is encouraged.
86: Global Consulting Approaches and Methods
(N)
(B)
(E)
(C)
Ready for fun? This session is for you. You are now the CEO of a major multinational insurance company known for your steely nerve and snap judgment. Everyone around you is a competitor and every bit as stone cold sharp as you. But times are changing, and to continue to survive in this jungle of an international market, you also need to change - either merge with one of your competitors or buy them outright. There is an increasing interest in international pension plans (IPPs) for expatriates as a consequence of the trend towards globalisation of businesses and the increasing challenges of retaining globally mobile employees in domestic pension plans. The Hansen presentation traces the development of IPPs over the past three decades, how they typically operate at present and how they might continue to develop in the future.
Ready for fun? This session is for you. You are now the CEO of a major multinational insurance company known for your steely nerve and snap judgment. Everyone around you is a competitor and every bit as stone cold sharp as you. But times are changing, and to continue to survive in this jungle of an international market, you also need to change - either merge with one of your competitors or buy them outright. There is an increasing interest in international pension plans (IPPs) for expatriates as a consequence of the trend towards globalisation of businesses and the increasing challenges of retaining globally mobile employees in domestic pension plans. The Hansen presentation traces the development of IPPs over the past three decades, how they typically operate at present and how they might continue to develop in the future.
95: Ethics and Professionalism for the Consulting Actuary
(P)
(C)
Across the world, recent financial scandals and crises highlight the need for more ethics and accountability in today's business environment. Corporate Social Responsibility (CSR) is a new term important in the world today. The presenters will focus first on the responsibility of the corporation and then the role of the consulting actuary in creating an ethical atmosphere in a competitive world. This is expected to be a highly interactive session as the presenters discuss the paper on CSR and the profession’s challenges in the balance between responsibilities between the corporate world, the public and the profession to make concepts like CRS a reality. This session is presented on Tuesday and on Thursday at 8:30.
Across the world, recent financial scandals and crises highlight the need for more ethics and accountability in today's business environment. Corporate Social Responsibility (CSR) is a new term important in the world today. The presenters will focus first on the responsibility of the corporation and then the role of the consulting actuary in creating an ethical atmosphere in a competitive world. This is expected to be a highly interactive session as the presenters discuss the paper on CSR and the profession’s challenges in the balance between responsibilities between the corporate world, the public and the profession to make concepts like CRS a reality. This session is presented on Tuesday and on Thursday at 8:30.
98: The Expanding Role of the Actuary in Catastrophe Loss Estimation and Management
(N)
(C)
Traditionally, insurance companies licensed catastrophe models from three vendors, each with its own front and back end sytems to handle the model input and output. Newer technology is now offering many more options. What does all of this mean for underwriters, management, and actuaries? This session will illustrate new and expanded information available to actuaries for estimating catastrophe loss potential, understanding model uncertainty, and developing their own view of risk.
Traditionally, insurance companies licensed catastrophe models from three vendors, each with its own front and back end sytems to handle the model input and output. Newer technology is now offering many more options. What does all of this mean for underwriters, management, and actuaries? This session will illustrate new and expanded information available to actuaries for estimating catastrophe loss potential, understanding model uncertainty, and developing their own view of risk.
106: An Introduction to Takaful
(N)
(C)
Takaful is an alternative to insurance. The fact that takaful is developed in accordance to Islamic business principles and practices does not impede the effectiveness of takaful in meeting the risk management needs of its consumers as well as meeting the profit requirements of shareholders, but rather enhances it with values build around a socially responsible overlay. Come learn about takaful, and about the role of actuaries in takaful.
Takaful is an alternative to insurance. The fact that takaful is developed in accordance to Islamic business principles and practices does not impede the effectiveness of takaful in meeting the risk management needs of its consumers as well as meeting the profit requirements of shareholders, but rather enhances it with values build around a socially responsible overlay. Come learn about takaful, and about the role of actuaries in takaful.
107: Autonomous Vehicles: Advances in Automobile Technology and Implications for the Insurance Industry
(N)
(C)
There has been a considerable amount of interest in the popular press on advances in driver assistance programs. Some are talking of “driver-less” cars in the near future. What do we know about the real world performance of such systems today, and what is a realistic time frame for their introduction into the marketplace? As cars become more and more automated, lawmakers and regulators will face new challenges in governing the testing and driving of these cars. Insurers will face new challenges in collecting data, setting rates, and determining liability. Panelists Kim Hazelbaker and Mike Stienstra will discuss the latest advances in crash-avoidance technology and the issues insurers need to address to be prepared for the emerging automated vehicle market.
There has been a considerable amount of interest in the popular press on advances in driver assistance programs. Some are talking of “driver-less” cars in the near future. What do we know about the real world performance of such systems today, and what is a realistic time frame for their introduction into the marketplace? As cars become more and more automated, lawmakers and regulators will face new challenges in governing the testing and driving of these cars. Insurers will face new challenges in collecting data, setting rates, and determining liability. Panelists Kim Hazelbaker and Mike Stienstra will discuss the latest advances in crash-avoidance technology and the issues insurers need to address to be prepared for the emerging automated vehicle market.
All
Sessions
01: Plenary Session 1 - Monday
All
The conventional view held by many is that the historical increase in life expectancy will continue throughout this century in most parts of the world. Some scientists even contend that most babies born today will reach 100 years of age. Yet, empirical evidence demonstrates that neither of these scenarios is likely. Rather, evidence has emerged indicating that two subgroups of the population are forming -- one that will experience more rapid increases in life expectancy than anticipated by conventional forecasting methods, and another that has already experienced declines in life expectancy or are about to do so. Given the vast differences in longevity prospects among subgroups of the population across the globe, questions have arisen about the appropriateness of forced retirement at ages near 65 years. Dr. Olshansky will illustrate the significance of these trends by exploring what the retirement age should be today, hypothetically, given the secular changes in survival and longevity that have occurred since Social Security (or its equivalent in other countries) came into existence in the 20th century. An important new effort is now underway to secure what has become known as the Longevity Dividend -- the social, economic and health benefits that would accrue to individuals and populations as a consequence of a successful effort to slow the aging process in people. Why is this initiative taking off now? How might it come about? And, what are the implications for the future course of health and longevity?
The conventional view held by many is that the historical increase in life expectancy will continue throughout this century in most parts of the world. Some scientists even contend that most babies born today will reach 100 years of age. Yet, empirical evidence demonstrates that neither of these scenarios is likely. Rather, evidence has emerged indicating that two subgroups of the population are forming -- one that will experience more rapid increases in life expectancy than anticipated by conventional forecasting methods, and another that has already experienced declines in life expectancy or are about to do so. Given the vast differences in longevity prospects among subgroups of the population across the globe, questions have arisen about the appropriateness of forced retirement at ages near 65 years. Dr. Olshansky will illustrate the significance of these trends by exploring what the retirement age should be today, hypothetically, given the secular changes in survival and longevity that have occurred since Social Security (or its equivalent in other countries) came into existence in the 20th century. An important new effort is now underway to secure what has become known as the Longevity Dividend -- the social, economic and health benefits that would accrue to individuals and populations as a consequence of a successful effort to slow the aging process in people. Why is this initiative taking off now? How might it come about? And, what are the implications for the future course of health and longevity?
02: Plenary Session 2 - Wednesday
All
Presented in a "talk show" format, this plenary session will feature a host interviewing leading insurance industry CEO's about their careers, industry vision and actuarially focused advice. Our talk show host will be Patricia Guinn, a Managing Director with Towers Watson, and her guests will be Michel M. Liès, Group CEO, Swiss RE; Greig Woodring, CEO, RGA Reinsurance Company; Clive Cowdery, Founder, Resolution Group; and Robert S. Schimek, Senior Vice President, AIG; President and CEO, AIG Property Casualty. The talk show guests will share their insights and perspectives on a wide range of topics, such as: •Potential opportunities and threats arising out of demographic and generational shifts, advancing technology, new regulatory approaches, and other changes to the environments in which we operate. What are the implications for insurance companies and for actuaries? •In mature markets, how will insurance companies, large and small, cope with sustained low economic growth rates, and with new competition? In the developing areas of the world, what will be the nature and role of the insurance industry? •What types of actuarial talent and personal skill sets will be needed to support our evolving industry?
Presented in a "talk show" format, this plenary session will feature a host interviewing leading insurance industry CEO's about their careers, industry vision and actuarially focused advice. Our talk show host will be Patricia Guinn, a Managing Director with Towers Watson, and her guests will be Michel M. Liès, Group CEO, Swiss RE; Greig Woodring, CEO, RGA Reinsurance Company; Clive Cowdery, Founder, Resolution Group; and Robert S. Schimek, Senior Vice President, AIG; President and CEO, AIG Property Casualty. The talk show guests will share their insights and perspectives on a wide range of topics, such as: •Potential opportunities and threats arising out of demographic and generational shifts, advancing technology, new regulatory approaches, and other changes to the environments in which we operate. What are the implications for insurance companies and for actuaries? •In mature markets, how will insurance companies, large and small, cope with sustained low economic growth rates, and with new competition? In the developing areas of the world, what will be the nature and role of the insurance industry? •What types of actuarial talent and personal skill sets will be needed to support our evolving industry?
03: Plenary Session 3 - Wednesday
All
From its historical roots to the present, insurance can be described as "the taming of uncertainty." From a more mathematical point of view, Jakob Bernoulli's 1713 Law of Large Numbers explains how averages of similar but independent risks are well approximated by the mean loss size (the fair premium) of one such risk. Without doubt, this result can be referred to as The Fundamental Theorem of Insurance. At its basis however lies the notion of randomness, a precondition without which insurance would not be possible; insurance aims at hedging away the uncertainty underlying an insurable risk. And yet, almost a century after Kolmogorov's classic on The Foundations of Probability Theory (1933), we still struggle with the basics: "What is a random event?" In the wake of recent political and financial crises, Known Unknowns and Black Swans trouble our minds. Frank Knight's Risk, Uncertainty and Profit (1921) and John Maynard Keynes' General Theory (1936) have become essential reading again for all students in economics and finance. These authors discussed, or better, questioned, the differences between the notions of risk and uncertainty. And whereas we as actuaries could hide behind: "We always knew about the differences between epistemic, ontological and aleatoric risk," it is much less clear how to use this "We always knew..." in practice. Where does all this leave the practicing actuary faced with the pricing of longevity risk, annuities, and catastrophic environmental risks; the actuary who is involved in discussions about sense and sensibility of new regulatory guidelines around Solvency 2? In this talk, Dr. Embrechts will discuss some of these background issues, and concentrate specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance.
From its historical roots to the present, insurance can be described as "the taming of uncertainty." From a more mathematical point of view, Jakob Bernoulli's 1713 Law of Large Numbers explains how averages of similar but independent risks are well approximated by the mean loss size (the fair premium) of one such risk. Without doubt, this result can be referred to as The Fundamental Theorem of Insurance. At its basis however lies the notion of randomness, a precondition without which insurance would not be possible; insurance aims at hedging away the uncertainty underlying an insurable risk. And yet, almost a century after Kolmogorov's classic on The Foundations of Probability Theory (1933), we still struggle with the basics: "What is a random event?" In the wake of recent political and financial crises, Known Unknowns and Black Swans trouble our minds. Frank Knight's Risk, Uncertainty and Profit (1921) and John Maynard Keynes' General Theory (1936) have become essential reading again for all students in economics and finance. These authors discussed, or better, questioned, the differences between the notions of risk and uncertainty. And whereas we as actuaries could hide behind: "We always knew about the differences between epistemic, ontological and aleatoric risk," it is much less clear how to use this "We always knew..." in practice. Where does all this leave the practicing actuary faced with the pricing of longevity risk, annuities, and catastrophic environmental risks; the actuary who is involved in discussions about sense and sensibility of new regulatory guidelines around Solvency 2? In this talk, Dr. Embrechts will discuss some of these background issues, and concentrate specifically on some aspects of quantitative risk management related to the modeling of extremes, and on the model and parameter risk underlying current issues occupying the world of insurance.
04: Plenary Session 4 - Friday
All
We are somewhat barking up the wrong tree with our heavy emphasis on getting ever more information and hoping that better technical methods will solve existing futures, especially crisis emergence, assessment shortfalls. The core issue in fostering improved human understanding about both emerging normal and crisis change is learning to better use the assessment tools at hand rather than constantly thinking that some next new method or data improvement will solve insight and foresight problems. There are things to be achieved in terms of cognition, method usage, and using concepts like entanglement and embeddedness to enhance performance. Three interconnected sub-themes will be addressed from prize-winning work in each area to attack the 'big issue' of how we get better now: 1) Using existing information and assessment approaches more effectively to understand emerging futures. In short, understanding what excellence at judging 'normal' change looks like. 2) Using insights about the dynamics of assessment failure that enfold mainstream analysts and organizations pre-crisis so as to better foresee and time an emerging crisis (Using their failure to comparative advantage), and 3) Looking at how post crisis one can better foresee how/why different societies recover - bounce back - in their particular way. Let's explore how the scientific community needs to improve human practice regarding change assessment and futures forecasting?
We are somewhat barking up the wrong tree with our heavy emphasis on getting ever more information and hoping that better technical methods will solve existing futures, especially crisis emergence, assessment shortfalls. The core issue in fostering improved human understanding about both emerging normal and crisis change is learning to better use the assessment tools at hand rather than constantly thinking that some next new method or data improvement will solve insight and foresight problems. There are things to be achieved in terms of cognition, method usage, and using concepts like entanglement and embeddedness to enhance performance. Three interconnected sub-themes will be addressed from prize-winning work in each area to attack the 'big issue' of how we get better now: 1) Using existing information and assessment approaches more effectively to understand emerging futures. In short, understanding what excellence at judging 'normal' change looks like. 2) Using insights about the dynamics of assessment failure that enfold mainstream analysts and organizations pre-crisis so as to better foresee and time an emerging crisis (Using their failure to comparative advantage), and 3) Looking at how post crisis one can better foresee how/why different societies recover - bounce back - in their particular way. Let's explore how the scientific community needs to improve human practice regarding change assessment and futures forecasting?
