Risk, Capital and Solvency Models - an ORSA Perspective

Prime Re Academy is pleased to invite you to attend the workshop in Zurich, Switzerland during its Solency week in October 2018 where focus will be set on the following topic:

Risk, Capital and Solvency Models - an ORSA Perspective

The Swiss Solvency Test was implemented almost a decade ago and the experiences made with this tried-and-tested Swiss solution can serve as a basis for building quantitative risk, capital and solvency models for the purpose of an ORSA. The workshop familiarizes the participants with the tools they need to implement risk, capital and solvency models, and it enables them to put this acquired know-how into practice on the spot. This workshop takes place between the workshops “The Standard Model of the Swiss Solvency Test” and “The Standard Formula of Solvency II”. Therefore, the relating workshops can be combined at a reduced fee.

During the workshop we shall build up in a modular way a prototype internal model in Excel®. Participants should therefore bring along their own laptops. In particular we will consider:

– Components of the economic balance sheet and the Basic Own Funds

– Components of the risk and the Solvency Capital Requirement

– Reinsurance (proportional and non-proportional)

– Risk aggregation (Monte Carlo algorithmic, dependences and copulas, etc.)

– Meta-risks (parameter risk, replicating portfolios, deterministic stress scenarios, etc.)

Secondly, the participants shall apply the prototype internal model they have built to perform user tests. In particular they may consider:

– Portfolio planning

– Reinsurance optimisation

– Capital allocation

Dates and Schedule

Tuesday, 23 October 2018

13.30 – 14.00 registration

14.00 – 18.30 workshop

18.30 – dinner

Wednesday, 24 October 2018

09.00 – 12.30 workshop

12.30 – 14.00 lunch

14.00 – 18.30 workshop

18.30 – dinner

Thursday, 25 October 2018

09.00 – 12.30 workshop

12.30 – lunch

Feedbacks

See feedbacks from previous participants.

CPD Credits

Attendance to the full workshop will automatically credit members of the Swiss Actuarial Association with 14 CPD credit points. Members of other actuarial associations will receive a certificate they can submit to their CPD committee.

Lecturers

Dr Frank Cuypers

Dr. Frank Cuypers has led numerous actuarial engineering and modelling courses and workshops in Europe and Latin America. He comes with a vast lecturing experience and a prominent scientific track record in modelling complex systems. As a Swiss Re Executive and Chief Actuary at the former Zurich Re in Cologne, he acquired a broad experience in most actuarial disciplines and lines of business, which he has deployed at KPMG and PwC to advise leading providers of financial services and Government Agencies. He is a fully qualified member of the German and Swiss Actuarial Associations (DAV and SAV), which he has served on numerous committees.

Prof. Karel Van Hulle

Prof. Karel Van Hulle lectures at the Economics and Business Faculty of the KU Leuven (Belgium) and at the Economics Faculty of the Goethe University in Frankfurt where he is attached to the International Centre for Insurance Regulation. He is a member of the Insurance and Reinsurance Stakeholder Group of EIOPA and served as Head of Insurance and Pensions at the European Commission until 1 March 2013, where his main task was the development of Solvency II. He was a member of the Technical Committee of the International Association of Insurance Supervisors, of which he was nominated Distinguished Fellow in 2013. He was closely involved in the negotiations which lead to the equivalence decisions of the European Commission for Switzerland and for a number of other countries. He is a regular speaker at insurance and pension conferences around the world and is Honorary Fellow of the UK Institute and Faculty of Actuaries.

Simone Dalessi

Simone Dalessi graduated with a M.Sc. in mathematics from the University of Zurich, and comes with significant expertise in statistics and cryptology. He started his actuarial career with PRS, helping (re)insurers in their pricing, reserving, regulatory and solvency issues, and he has been instrumental in establishing several foreign insurer’s branch offices in Switzerland. He is a fully qualified member of the Swiss Actuarial Association (SAV).

Fees

CHF 1’600 early-bird if payment before or on 28 September 2018

CHF 1’900 if payment after 28 September 2018

CHF 600 for unemployed participants

A discount of CHF 500 for the third participant of the same company will be granted.

In combination with another one or two PRA workshop(s) in October 2018 discounts are granted. These discounts may not be combined with other reductions and are valid only for the same participant.

Discounts: CHF 500 for two workshops

CHF 1’000 for all three workshops

These fees are binding and must be paid directly via the website.

The fees will be refunded in total in case of cancellation before 12 October 2018 or if the workshop must be cancelled.

The fees include:

- the workshop

- the documentation

- the prototypes in Excel®

- the dinners and lunches

- all Swiss taxes

Payment with Credit Card/vouchers and discounts

Please note that it is possible to pay with credit card directly via our website. However, if you do wish do redeem a voucher or get the discount for multiple workshops, you will have to opt to pay manually at the checkout section. Please enter the voucher no. you wish to redeem at the checkout section or enter the workshops you are attending in the comments section. We will then send you an invoice via email.

Venue

SCOR Services Switzerland AG, General Guisan-Quai 26, 8022 Zurich, Phone: +41 (44) 639 93 93 (reception).

Dress casual and comfortable.

We suggest that participants from abroad reserve their hotel room in Zurich well in advance. Alternatively, they can ask us for assistance with booking a room at a convenient location.

Contact

Raquel Forster

+41 41 725 32 16