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EAA Newsletter
Stay Updated with our latest Web
Sessions
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Welcome to the latest edition of our newsletter! In this issue,
we're thrilled to unveil our recently released EAA web sessions, a
comprehensive collection tailored for actuaries:
- Telematics and Actuarial Pricing,
- Liquidity Risk,
- IFRS 17: Guidance for Risk
Adjustments,
- Cash Balance Pension Schemes,
- Discrimination-Free Pricing: of Limits
& Possibilities and
- Stochastic Projection Models in Life
Insurance.
We invite you to seize the opportunity to enrich your knowledge
by participating in these upcoming web sessions.
Be sure to keep an eye on our continually expanding lineup for
2023 and 2024.
Dive into the content, and stay informed with EAA!
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With decreasing loss frequencies in motor insurance less data
becomes available for pricing actuaries. At the same time pricing
should become more dynamic and better individualised. Telematics is
a source of data, in the meantime widely used by insurance
companies in and outside of Europe. With this data more
interconnection with clients is possible and new product ideas
arise. But for actuaries these rich data mostly is condensed into a
score which is not necessarily intended for actuarial
purposes.
The web session first gives an overview of current practices of
applications of telematics in Europe and outside of Europe. Then
best practices in pricing with telematics will be discussed and
that leads to an actuarial discussion about the inclusion of big
telematics data into the actuarial data-pool. The web session will
close with some innovative actuarial approaches and
solutions.
further details
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Web Session 'Liquidity Risk'
on 7 February 2024
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In our increasingly connected and uncertain environment,
liquidity risk in the insurance sector is gaining more and more
attention from both supervisors and insurers. Understanding its
drivers and possible answers a.o. under Solvency II will be the
core of this session.
This session aims at explaining the sources of liquidity, the
requirements and supervisory measures under Solvency II, possible
approaches and metrics to monitor and manage this risk.
We start the session by illustrating liquidity issues on
historical cases in the insurance sector and their propagation in
the financial system. After the introduction, we explain Solvency
II requirements on liquidity risk and supervisory powers. Possible
metrics and approaches are discussed. EIOPA stress test and risk
dashboard on liquidity are then described. We end up with a
concrete example and a quiz supporting key takeaways.
further details
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Web Session 'IFRS 17: Guidance for Risk
Adjustments'
on 21 February 2024
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IFRS 17 requires that risks inherent in the cash flows of the
insurance contracts are considered in measurement, differentiating
between financial risks and non-financial risks. While the
financial risks are measured at their current (estimated) market
value, non-financial risks are measured at "the compensation that
the entity requires for bearing the uncertainty about the amount
and timing of the cash flows that arises from non-financial
risk".
Identifying the uncertainties, for both amount and timing, factors
influencing the uncertainties like random deviations or changes of
risk over time and differentiating between financial and
non-financial risk for quantifying the risk and identifying the
entity-specific risk aversion for associating a value to the
estimated quantity of risk demands a deep understanding of the
concepts of IFRS 17.
The web session will explain the objective and guidance of IFRS 17
regarding the measurement of risk arising from insurance contracts
and presentation and disclosure issues. The session will not
discuss technical issues of estimating distribution functions or
applying risk adjustment techniques, i.e. it is as well suitable
for accountants intending to enhance their understanding of the
guidance for risk adjustments.
further details
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Web Session 'Cash Balance Pension Schemes'
on 29 February 2024
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The objective of this web session is to give an overview of Cash
Balance mechanisms and illustrate some interesting actuarial
problems of the topic. In a first part, we will define the concept
of CB and compare it with other pension schemes. We will present
advantages and disadvantages for all the parties. We will look at
the effect of introducing a legal minimum return in the system. The
second part is devoted to more quantitative studies. First, we will
develop some financial valuation issues induced by the technique.
We will look also at preferences between CB and DC (Defined
Contributions) in terms of utility function as well for the sponsor
as for the affiliates; we will show in particular that we can
express the problem as the Nash equilibrium of a game between the
sponsor and the affiliates.
further details
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Web Session 'Discrimination-Free Pricing: of
Limits
& Possibilities'
on 4 March 2024
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Not only upcoming regulation plays a role - fairness of
treatment lies at the core of insurance in the first place. In the
age of Machine Learning and Artificial Intelligence, analysis and,
potentially, remedy, of direct and indirect discrimination in
insurance decision making - most notably pricing - has become a
more pronounced problem due to increased public interest. But in
stark contrast to, say, chatbots or personal assistance systems,
there are structural aspects preventing companies from creating and
maintaining products that are comprehensively fair in all the
relevant facets.
The purpose of this session is to introduce relevant concepts of
pricing and discrimination therein as well as an overview of
discrimination-reducing concepts from the literature. We will then
draft some toy models, including generation of synthetic data with
particular properties. Afterward, we will review limits and
possibilities toward enabling (some kind of) less-discriminatory
pricing.
further details
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Web Session 'Stochastic Projection Models in Life
Insurance'
on 29 April 2024
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With the increasing need for sophisticated asset liability
management and the introduction of new accounting frameworks, the
stochastic assessment of risk and value in connection with
participating life insurance portfolios has become the industry
standard over the last decade. The underlying basis for such an
assessment is a cash flow projection model, simulating the way the
insurance undertaking is working and reflecting it by projecting
balance sheets and P&Ls. Due to the complexity associated with
such calculations, model simplifications are required to meet
operational and technical constraints. Therefore, it has become an
area of actuarial research to develop methodologies that allow
stochastic cash flow models to achieve results of adequate accuracy
based on acceptable run times with affordable IT capabilities. A
further challenge poses the application of these models as basis
for an integrated internal planning and performance
management.
This web session provides an overview of three conceptually
different approaches for stochastic life insurance projection
models currently observable in the market. It compares their key
ideas, explains their strengths & challenges, and introduces
the underlying mathematical / actuarial methodologies. Concerning
the application of the comparably little-known Liability-2-Step
approach, the session will present the operational experience of an
Austrian insurance company. Although the comparison of the
modelling approaches will mainly be conducted from the viewpoint of
Solvency II reporting, the session will also discuss their
applicability as basis for the integration of external financial
reporting with internal planning and performance management.
further details
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Further Trainings in 2023
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30 October 2023
Web Session 'Comparing IFRS17 and Solvency
II'
further details
31 October 2023
Web Session 'Introduction to Natural Catastrophe
Modelling'
further details
10 November 2023
Web Session 'Sustainability Risk
Management'
further details
13 November 2023
Web Session 'Hands-on Adaptive Learning of GLMs
for Risk Modelling in R'
further details
14 November 2023
Web Session 'Emerging Risks'
further details
15 November 2023
Web Session 'The Integration of the ESG Factors
in the Insurance Industry'
further details
16/17 November 2023
Web Session 'Practical Techniques from Asset
Management Less Known to Actuaries'
further details
22 November 2023
Web Session 'How to Read the New IFRS Balance
Sheet for Insurers'
further details
23/24 November 2023
Web Session 'Mathematical Modelling for
Actuaries'
further details
30 November 2023
Web Session 'Cross-Border: One Tariff for 27 EU
countries?'
further details
... and a lot more! Explore our website for more
information.
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