14 March 2023 - 09:00 AM EST\15:00 PM MET Part one
21 March 2023 - 09:00 AM EST\15:00 PM MET Part two
28 March 2023- 09:00 AM EST\15:00 PM MET Part Three
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.
Speaker Michel Dacorogna
Session Moderator Brian Fannin
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.
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