In June, we have a number of web sessions on hot actuarial topics coming up. Book your place and gain insights from our expert speakers!
+++ Solvency +++ Web Session "Neural Networks Meet Least Squares Monte Carlo at Internal Model Data" on 8 & 15 June 2022 In principle, the Solvency II framework requires the derivation of the full loss distribution of the available Own Funds, with the goal of deriving its correct Value-at-Risk. This particularly does not only involve a market consistent calculation of the economic balance sheet items at the valuation date but also its re-evaluation for each possible scenario at the risk horizon (one year within Solvency II). Most insurance companies avoid this enormous effort by applying the standard formula approach to calculate the Solvency Capital Requirement (SCR). But the largest life insurers usually stick to the original Solvency II requirement and develop a full-scale internal model which allows them to calculate the economic balance sheet for thousands of one-year scenarios. The focus of this web session is on presenting a regression-based Monte Carlo approach in order to estimate the SCR. By doing so, we challenge the state-of-the-art Least Squares Monte Carlo approach based on polynomials by the most promising machine learning technique, namely ensemble of neural networks. further details
+++ Climate Risk & Data Science +++ Climate Day 3.0: "Actuaries & Climate Scientists Join Forces" on 13 June 2022 The debate on climate change has rapidly evolved in recent years. It is no longer on whether the evidence of human impact on climate change is real, but on whether key mitigating strategies being adopted are sufficient. While the actuarial community works on developing new ways to measure the economic impact of the risk posed by global warming, it is exceedingly important for actuaries to gain an understanding of how to process climate data, how to bridge the gap between climate models and actuarial projection models and how to produce relevant KPI. In our Climate Day, we address this challenge by leveraging actuarial know-how as well as that from climate science and data science further details
+++ IFRS 17 +++ Web Session "IFRS 17: The Premium Allocation Approach" on 14 June 2022 IFRS 17 introduces a simplified approach, the Premium Allocation Approach (PAA) applicable for certain contracts of relatively short duration, typically found often in non-life insurance. The PAA is the preferred approach for most non-life insurance companies, wherever eligible. The assessment of the eligibility for the PAA requires certain considerations about the features of the contract and the measurement deviates in details from the usual unearned premiums liability as in traditional insurance accounting. To enhance the applicability of the PAA, judgment of the details of the eligibility criteria is needed. We will discuss those details and the hurdles included. Further, we will deal with the details of the PAA measurement particularly in comparison with traditional methods which might be applied as approximation. The combination of the simplified approach together with the general model to be applied to the claims liability is a further topic. further details
Web Session "How to Read the New IFRS Balance Sheet for Insurers" on 23 June 2022 The goal of this web session is to provide participants with a comprehensive introduction on the new IFRS reporting requirements for insurance contracts after go-live of IFRS 17. The focus will be on the illustration of the new reporting requirements of IFRS 17 to “demystify” the new presentation requirements on the IFRS balance sheet and the statement(s) of financial performance (Profit and Loss as well as Other Comprehensive Income). The web session will also briefly compare key aspects of the new reporting requirements to today’s IFRS 4-reporting practice, contain a brief summary of the main information which can be found within the new IFRS 17 reporting and cover the different aspects for primary and reinsurance related business. further details