|
The web session 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 course has been designed for experienced practitioners who use model results in practice and seek guidance for management decisions. Therefore, the focus is not on technical details but on the understanding of risk models and their results, and on the derivation of management actions.
Early-bird discount is available for bookings made by 27 July 2026.
|
