Modeling in the Spirit of Markowitz Portfolio Theory in a Non Gaussian World

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 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

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

In this webinar hosted by Banking Virtual Forum (BVF) held on 28 October 2025, the speakers will provide an overview of the key changes to the capital requirements for banks under finalized Basel III – their background, implications and considerations going forward. Speakers: Monique de Waal and Stephen Scott Moderator: Michael Tichareva

ASTIN's Working Party on IFRS 17 Actuarial Best Practices has now accomplished its target objectives. The report with the results of the study is published in the IAA's website Access is restricted to ASTIN members. The ASTIN webinar will present the results of the study performed by this Working Party. With this working party, we hope to contribute to a better understanding of how the (re)insurance industry, from the perspective of actuaries working in non-life (re)insurance, applies the IFRS 17 Standard in practice and which should be best practices to consider. It will make this project worth it if the responses and conclusions in this report aid in validating current approaches and serve as basis for validation of future decisions. As a departing note, we would like to show our appreciation for all the respondents to this survey, for the underlying (re)insurance entities and particularly for the actuaries who have taken their time to provide us with the responses. We also thank all the members of the Working Party for their efforts and personal time dispensed to prepare the survey, promote it worldwide and disclose this report and the upcoming presentation of results

In this concluding session of our three-part series, our speakers will explore recent developments in insurance solvency regulations across Asia, focusing on Japan’s Economic Value-Based Solvency Regulation (ESR) and Korea’s K-ICS. We will examine the design, implementation status, and key challenges of each framework. In Japan, preparations are underway for the implementation of ESR in the fiscal year ending March 2026, with key issues including strengthening governance, managing interest rate risk, and enhancing disclosure practices. In contrast, Korea has already adopted K-ICS, facing practical challenges such as alignment with IFRS 17 and disparities in company readiness. The session will also discuss how both systems align with international capital standards (ICS) and the strategic responses required from insurers. It will provide practical insights for industry professionals navigating this period of regulatory transition.