Join ASTIN for a three-part series on:
Designing and Implementing an Internal Model
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With the implementation of risk-based solvency regulations like
Solvency 2 or the Swiss Solvency Test (SST), internal models play a
crucial role in determining the solvency capital requirement (SCR)
of an insurance company. Already before this, reinsurances and big
insurance groups have been using internal models to effectively
manage their economic capital. Internal models must capture the
main risks of the company and for this need to follow certain
principles. In this presentation, we define what is an internal
model and recall the historical developments of risk models in
actuarial science. Then we describe their main components, the
calibration and the use of its results. We show the key principles
of a good internal model and discuss the way to validate its
results. We will insist on the importance of embedding the model in
the business processes of the company and show with the concrete
example of a large reinsurer a possible way to do it.
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Speaker
Michel Dacorogna
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Session Moderator
Brian
Fannin
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Michel Dacorogna is partner at Prime Re
Solutions, a company advising financial institutions on actuarial
and economic matters. He is the former scientific advisor to the
chairman of SCOR. He conducts research in the field of insurance
mathematics, capital management and risks. He presents models and
capital management techniques to management and customers. Until
July 2013, Michel was deputy group CRO of SCOR in charge of
Solvency II and the internal model. He was at the origin of SCOR's
internal model, which he developed with his team for more than 10
years. In 2009, he received from Risk Magazine the price of
Insurance Risk Manager of the year. Author and co-author of more
than 90 publications in refereed scientific journals; he is often
invited to present his results in international conferences and
specialized seminars. His work is referenced in many publications.
One of the papers he co-authored was the most quoted paper over 5
years in the Journal of Banking and Finance.
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Brian Fannin is a research actuary at CAS. He
is also the founder of PirateGrunt LLC, a boutique consulting firm
based in Durham, North Carolina specializing in predictive modeling
in the property casualty markets. Fannin has been an Associate of
the CAS since 2002 and a Certified Specialist in Predictive
Analytics (CSPA) through The CAS Institute since 2017
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