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+++ 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
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