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The CERA module 'Taxonomy, Modelling and Mitigation of
Risks' focuses on quantitative analyses of financial and
non-financial risks of an insurance company and the effect and
possible applications of risk mitigation techniques. After an
introduction to the economic valuation of an insurance company,
including stochastic valuation models and approximation techniques
for life companies, and the building blocks of its economic balance
sheet, the risk measure as well as the relevant regulatory
requirements of Solvency II will be discussed. Different concepts
of risk modelling covering from standard formula to fully internal
models will be presented.
Methods for modelling market, credit, operational and underwriting
risks will be presented in detail. The discussion covers the risk
definition and identification and how it can be distinguished from
other risks. Qualitative and quantitative valuation approaches will
be discussed - including scenario analyses, stress tests,
deterministic and stochastic assessments. Furthermore, crucial
aspects of any model such as assumptions, distributions,
calibration and validation are discussed, as well as limitations
and criteria for the adequacy of a model for solving a given
problem.
Having introduced and discussed the risk modelling, tools and
techniques will be discussed that are available in the insurance
business to mitigate these risks. That includes the discussion
around the implications of reinsurance and securitisation as well
as portfolio management. We will also present what life insurance
companies subject to traditional with profit business can do to
hedge their main risks. Both elements, risk modelling and
measurement as well as risk mitigation, are closely related and
interact with each other, what will be reflected in the topics
presented and the structure of the seminar. The consolidated view
on risks in a company and an outlook on Group models close the
course.
The live web session will be supplemented by several
pre-recordings which will be made available to the participants in
the form of an on-demand link.
This web session is one part in a course that consists of four
modules. They can be booked as a whole series to fulfil the
requirements for receiving the CERA designation, or individually as
CPD training. Written exams on the course are offered
subsequently.
Your early-bird registration fee for this CERA web session is €
1,625.00 net / € 1,933.75 (incl. VAT, if applicable) for bookings
by 29 July 2024. After this date, the fee will be € 1,800.00
(net) / € 2,142.00 (incl. VAT, if applicable).
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