Events Library

AFIR-ERM Webinar: Optimal Preventive Strategies in Insurance Risk Models. We develop an integrated framework for optimal risk management in insurance that considers preventive strategies and/or risk sharing in risk models. We odel an insurer facing risks whose frequency and severity can be influenced by preventive efforts, as well as by exogenous risk-sharing instruments. Within a dynamic risk model, we formalize the insurer’s problem as either minimizing ruin probabilities or maximizing a mean–variance criterion for the terminal surplus process, while accounting for the implementation costs of preventive measures and the cost of risk transfer. We derive analytical conditions characterizing the optimal prevention efforts and optimal risk-sharing structure, and we study how these choices depend on risk characteristics. Numerical illustrations based on classical risk models show that jointly optimizing prevention and risk sharing can substantially reduce ruin probabilities compared to treating these instruments in isolation.


Speaker: Li Jingchao
Session moderator: Guangyao Liu

This webinar explores how Behavioral Economics can bridge the gap between complex financial products and actual consumer decisions within the pension and insurance industries. By shifting the focus from purely technical designs to the cognitive reality of "System 1" and "System 2" thinking, we will analyze why even the most robust actuarial models often face inertia and low uptake. The presentation moves beyond theory to examine proven strategies from leading global markets who have successfully maximized participation and savings rates. We will discuss how to apply Choice Architecture to overcome deep-seated biases that hinder effective risk protection across both retirement and insurance sector. Ultimately, this talk redefines the actuary's role as a "Decision Architect," capable of building scalable infrastructure that is both mathematically sound and humanly effective in a modern regulatory landscape.


Speaker: Diego Valero Carreras
Session moderator: Abraham Hernández Pacheco

With the advancement of technology, insurance companies are increasingly adopting usage-based insurance (UBI) supported by vehicle telematics. Vehicle telematics refers to data collected from in-vehicle sensors or smartphone applications during driving, such as speed, acceleration, braking, and steering. It provides a rich, high-frequency record of how a vehicle is driven, offering insights into driving habits, behaviour, safety, and potential risk. However, many current approaches rely on aggregated metrics and do not fully capture the detailed time-series patterns in telematics data. This presentation introduces a flexible framework based on a continuous-time hidden Markov model (CTHMM) to analyze trip-level telematics data directly. Our approach avoids predefined thresholds for harsh events or assumptions about accident probabilities, and uses only telematics data, requiring no traditional demographic covariates. Using an unsupervised anomaly detection technique, we identify deviations from normal driving patterns linked to higher accident risk. The framework is tested on both controlled and real-world datasets, and the results reveal clear behavioural differences between drivers with and without claims, offering practical insights for insurance, accident analysis, and prevention.

Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chevyrev and Oberhauser (2022) and relies on the notions of signature and maximum mean distance. This test allows to check whether two samples of stochastic processes paths come from the same distribution. Our contribution is to apply this test to a variety of stochastic processes exhibiting different pathwise properties (Hölder regularity, autocorrelation, and regime switches) and which are relevant for the modelling of stock prices and stock volatility as well as of inflation in view of actuarial applications.


Speaker: Hervé Andrès
Session Moderator: Łukasz Delong