One Size Fits All? Drawdown Structures in Australia and The Netherlands: A Utility Study for Heterogenous Income Levels

Predicting and understanding solvency figures poses major challenges for life insurers. Internal risk models provide realistic representations, but they remain company-internal and make model understanding difficult. This makes it hard to compare new machine-learning methods for prediction and explainability objectively and under realistic scenarios. We developed openIRM, an open-source internal risk model for an artificial life insurer. It combines an economic scenario generator based on the G2++ interest-rate model with a cash-flow projection model. The model supports both outer real-world simulations and inner simulations for determining basic own funds. It has also been calibrated for all trading days from September 2016 to December 2023 and allows the use of direct and indirect valuation methods, which have been shown to produce consistent results. This talk gives a short introduction to risk modelling for a life insurer under Solvency II, outlines how the openIRM model works, and demonstrates its practical use through a concrete example. Speaker: Mark-Oliver Wolf Moderator: Ernst Visser

In the first part of this webinar, we will analyze the effect of using weighted maximum likelihood estimation for survival models where the assigned weights depend on the sum assured – a common practice in life insurance to focus on the financial consequences of survivorship. In this context, we consider how these estimates may change when more granular mortality models are used that are based on the socioeconomic characteristics of policyholders. During the presentation, we will highlight several practical considerations for developing weighted models for liability estimation and discuss the impact of such approaches on annuity liabilities. To illustrate this, we will present results using a real-world insurance dataset providing survival information on individuals who purchased annuities between 2015 and 2022 in the Netherlands. The analysis will include a financial test of fit to evaluate the performance of models. In the second part of the webinar, we will discuss research findings on the potential influence of socioeconomic factors on annuitants' longevity, based on publicly available, area-level indicators. The analysis will present detailed results on variables that could be useful for modelling policyholder mortality in the Netherlands, and will compare these with the traditional approach of using age, gender and pension information as covariates.


Speaker: Andrey Ugarte Montero
Andrey Ugarte Montero is a postdoctoral researcher at the Research Center for Longevity Risk (RCLR) of the University of Amsterdam. He holds a master’s degree in Actuarial Science from the University of Lisbon in Portugal and a PhD in Actuarial Science from HEC Lausanne in Switzerland. His interests include actuarial modelling in life and health insurance and the financial consequences of longevity within an insurance context. He is also interested in the applications of machine learning and data science in the insurance sector. From December 2013 to August 2017, Andrey worked as an actuarial consultant for the firm EY (Ernst & Young) in Latin America. He’s also pursuing certification as an Associate/Fellow of the UK’s Institute and Faculty of Actuaries


Moderator: Ernst Visser
Ernst is a Dutch actuary working for KPMG Financial Risk Management in The Netherlands. He has a master degree in physics and a master degree in actuarial science. In 2025 Ernst obtained an MBA degree with a thesis investigating the potential for disruption in the insurance industry. Ernst is a fully qualified member of the Dutch actuarial society. He has Over 30 years experience in consulting in the insurance industry

This is a joint webinar between AFIR ERM Section and Enterprise and Financial Risk Forum.

Liquidity risk arises from the inability to meet cash demands (e.g., from claims or policy surrenders) from readily available funds. While liquidity needs are normal for any business, insurers are also exposed to stress liquidity risk, such as from mass policy cancellations and from catastrophes. This webinar focuses on how companies might prepare for and manage liquidity during events that cause significant unexpected liquidity stress.

The session provides insights from both life insurance and property & casualty perspectives.

Speaker: Ralph Blanchard and Tamara Burden
Moderator: Taiga Yokoyama

Amidst the recent flurry of activity around AI, actuaries will be in good company as they consider how to extract the benefits of AI advancements, while avoiding their downside risks. Actuaries that develop and deploy AI systems must consider how to deliver the potential gains in accuracy and speed, while avoiding risks like biased decision-making. At the same time, they must carefully consider how AI systems will integrate into employee workflows. Responsible AI and human-centric AI offer valuable guidance to address these issues and can assist actuaries in realising the benefits of AI.


Speaker: Maura Feddersen
Moderator: Ernst Visser

This presentation will investigate if GPU technology is all hype or if it will be bringing the actuarial modeling space into hyper-drive. Learn about the history of actuarial computing, why GPU’s make sense for actuarial computations, what are the challenges and benefits of GPU’s and if GPU’s truly are the answer, what are the options available for insurers.

Speaker: Martin Brandt, FSA, FCIA
Session Moderator: Ernst Visser