Risk, Capital and Solvency Models - an ORSA Perspective

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

Risk, Capital and Solvency Models - an ORSA Perspective

The Swiss Solvency Test was implemented almost a decade ago and the experiences made with this tried-and-tested Swiss solution can serve as a basis for building quantitative risk, capital and solvency models for the purpose of an ORSA. The workshop familiarizes the participants with the tools they need to implement risk, capital and solvency models, and it enables them to put this acquired know-how into practice on the spot. This workshop takes place between the workshops “The Standard Model of the Swiss Solvency Test” and “The Standard Formula of Solvency II”. Therefore, the relating workshops can be combined at a reduced fee.

During the workshop we shall build up in a modular way a prototype internal model in Excel®. Participants should therefore bring along their own laptops. In particular we will consider:

– Components of the economic balance sheet and the Basic Own Funds

– Components of the risk and the Solvency Capital Requirement

– Reinsurance (proportional and non-proportional)

– Risk aggregation (Monte Carlo algorithmic, dependences and copulas, etc.)

– Meta-risks (parameter risk, replicating portfolios, deterministic stress scenarios, etc.)

Secondly, the participants shall apply the prototype internal model they have built to perform user tests (Portfolio planning, reinsurance optimization, capital allocation). The workshop precedes the workshop “Validation”, therefore, the relating workshops can be combined at a reduced fee.

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.

Registration

Registration will be closed after 6 February 2019.

Register through our website: Capital Modelling Week

Dates and Schedule

Tuesday, 23 October 2018

13.30 – 14.00 registration

14.00 – 18.30 workshop

18.30 – dinner

Wednesday, 24 October 2018

09.00 – 12.30 workshop

12.30 – 14.00 lunch

14.00 – 18.30 workshop

18.30 – dinner

Thursday, 25 October 2018

09.00 – 12.30 workshop

12.30 – lunch

Feedbacks

See feedbacks from previous participants.

CPD Credits

Attendance to the full workshop will automatically credit members of the Swiss Actuarial Association with 14 CPD credit points. Members of other actuarial associations will receive a certificate they can submit to their CPD committee.

Lecturers

Dr Frank Cuypers

Dr. Frank Cuypers has led numerous actuarial engineering and modelling courses and workshops in Europe and Latin America. He comes with a vast lecturing experience and a prominent scientific track record in modelling complex systems. As a Swiss Re Executive and Chief Actuary at the former Zurich Re in Cologne, he acquired a broad 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.

Simone Dalessi

Graduated with a M.Sc. in mathematics from the University of Zurich, and comes with significant expertise in statistics. He started his actuarial career with PRS, helping (re)insurers in their pricing, reserving, regulatory and solvency issues, and he has been instrumental in establishing several foreign insurer’s branch offices in Switzerland. He is a fully qualified member of the Swiss Actuarial Association (SAV).

Simone Dalessi

Simone Dalessi graduated with a M.Sc. in mathematics from the University of Zurich, and comes with significant expertise in statistics and cryptology. He started his actuarial career with PRS, helping (re)insurers in their pricing, reserving, regulatory and solvency issues, and he has been instrumental in establishing several foreign insurer’s branch offices in Switzerland. He is a fully qualified member of the Swiss Actuarial Association (SAV).

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 “Validation” workshop a discount of CHF 1’000 is granted.

These fees are binding and must be transferred latest 6 February 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 6 February 2019 or if the workshop must be cancelled.

Payment options

Please note that it is possible to pay with credit card directly via our website. Just click on the workshop you wish to register and follow the instructions. If you wish to receive an invoice, just opt to pay manually at the checkout section. We will then send you an invoice via email.

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.

Payment with Credit Card/vouchers and discounts

Please note that it is possible to pay with credit card directly via our website. However, if you do wish do redeem a voucher or get the discount for multiple workshops, you will have to opt to pay manually at the checkout section. Please enter the voucher no. you wish to redeem at the checkout section or enter the workshops you are attending in the comments section. We will then send you an invoice via email.

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.

Contact

Prime Re Academy

+41 41 725 32 10