Modelling Dependencies

Prime Re Academy is pleased to invite you to attend the second workshop of the Advanced Modelling Week in Zurich, Switzerland in November 2019. Focus will be set on the following topic:

Modelling Dependencies

We suggest also signing up for the Economic Scenario Generators workshop

When quantifying or aggregating risks, it is crucial to account for dependencies and model them correctly. This is particularly relevant in the context of modern risk based solvency and capital schemes, such as the Swiss Solvency Test, Solvency II or the Mexican RCS scheme. Furthermore, modelling dependencies is also of utmost importance in reserving, pricing or risk transfer exercises involving more than one risk.

The workshop will present the main methods used in the insurance and finance industries:

• causal dependencies

• factor-models

• statistical dependencies: copulas

• compound Poisson processes and Lévy copulas

• model selection and their calibration

It addresses both, the underlying theory and concepts as well as their practical implementations with Excel® templates. In particular, it will enable participants to model dependencies directly on their laptop, which can later be applied promptly in their daily assignments.

This workshop follows the workshop “Economic Scenario Generators”. Therefore both workshops can be combined at a reduced rate

Target Group

The workshop is designed for all professionals who are interested in actuarial and financial modelling. Participants do not need to be fully qualified actuaries, however, they will benefit from a good command of Excel® (excluding VBA). In addition, they should be familiar with elementary concepts of insurance, statistics and stochastic modelling.

Conceptual framework

The Prime Re Academy workshops are of technical nature and structured so that theory and practice alternately complement each other, creating a lively learning platform. We simultaneously present on two separate screens the theoretical foundations in PowerPoint® format and the matching practical applications on an Excel® platform. Thanks to the interlocking of theory and practice, the course contents can be taught in a most efficient manner and the participants can be challenged intensively.

Participants should bring along their own laptops so that they can implement and test the theoretical concepts with the Excel® prototypes we will hand over to them.

Moreover, to enhance the international learning experience and networking, the workshop starts in the afternoon and includes joint dinners: this way the participants quickly get to know each other and the lecturers, so that promptly a dynamic atmosphere of mutual challenge and know-how transfer sets in. In particular we encourage the participants to steer the focus of the workshop according to their current needs, e.g. with more emphasis on life or property & casualty business.

Dates and Schedule

Wednesday, 6 November 2019

13.30 – 14.00 registration

14.00 – 18.30 workshop

18.30 – dinner

Thursday, 7 November 2019

09.00 – 12.30 workshop

12.30 – 14.00 lunch

14:00 – 18.30 workshop

18.30 – dinner

Friday, 8 November 2019

09.00 – 12.30 workshop

12.30 – lunch

Registration

Registration will be closed after 21 October 2019.

Dress casual and comfortable. We suggest that participants from abroad reserve their hotel room in Zurich well in advance. Alternatively, they can ask us for assistance with booking a room at a convenient location.

Fees

CHF 1’800 regular price

CHF 600 for unemployed participants

A discount of CHF 500 for the third participant of the same company will be granted. In combination with the “Economic Scenario Generators” workshop a discount of CHF 1’000 is granted.

These fees are binding and must be transferred latest 21 October 2019.

The fees include:

- the workshop

- the documentation

- the prototypes in Excel®

- the dinners and lunches

- all Swiss taxes

The fees will be refunded in total in case of cancellation before 21 October 2019 or if the workshop must be cancelled.

Payment options

Redeem vouchers

If you wish to redeem a voucher, equally opt to pay manually at the checkout section and enter the voucher number you wish to redeem. We will then send you an invoice via email.

CPD Credits

The participants will receive a certificate they can submit to their CPD committee. Members of the Swiss Actuarial Association will automatically be credited with 14 CPD points.

Contact

Prime Re Academy, Phone: +41 (41) 725 32 10

Lecturers

Dr Frank Cuypers

Has led numerous actuarial engineering and modeling courses and workshops in Europe and Latin America. He comes with a vast lecturing experience and a prominent scientific track-record in modeling complex systems. As a Swiss Re Executive and Chief Actuary at the former Zurich Re in Cologne, he has wide experience in most actuarial disciplines and lines of business, which he has deployed at KPMG and PwC to advise leading providers of financial services and Government Agencies. He is a fully qualified member of the German and Swiss Actuarial Associations (DAV and SAV), which he has served on numerous committees.

Dr Pedro Fonseca

Is an expert in risk and data modelling, with 14 years of experience in the financial industry. Before joining Systemorph as head of Business Solutions, he headed the Risk Analytics & Reporting team at SIX, where he was responsible for quantifying and reporting risks across all business areas. Before that, he held various positions in the hedge fund, private equity, and risk data industries. Pedro holds a PhD in theoretical Physics from Rutgers University and frequently holds presentations and seminars.