ST. PETERSBURG SPRING WORKSHOP on Risk Management, Insurance, and Finance 2018

ST. PETERSBURG SPRING WORKSHOP on Risk Management, Insurance...

General Information About the Workshop

The Workshop is a regular event that has already been staged at the European University at St. Petersburg for a number of years (previously known as «St. Petersburg Spring School in Risk Management, Insurance, and Finance»). The main objective of the Workshop is to disseminate knowledge and results of latest research in the area of Risk Management, Insurance, Finance, and related fields. The target audience is academics, students and practitioners from Russia and other countries of the former Soviet Union, although participants from the rest of the world are very welcome to join the Workshop as well. The working language of the Workshop is English.

St. Petersburg Spring Workshop on Risk Management, Insurance, and Finance 2018

The Workshop dates are March 1–3, 2018. Participants requiring a visa to Russia must register before January 9, 2018. Other participants must register before February 12, 2018. To register, please send your name, affiliation and contact information to This email address is being protected from spambots. You need JavaScript enabled to view it.. The Workshop is free to partake in, i.e., there is no participation fee.

Risk measurement and modelling under Solvency II by Prof. Rocco Roberto Cerchiara

Rocco is Assistant Professor of Actuarial Mathematics, Risk Theory, Italian Accounting Principles and IFRS. His main topics of research are: Risk Theory models for pricing and reserving risk, Individual Claim Reserving for Pricing and Reserving purposes, Extreme Value Theory, Solvency II and IFRS. He had published a large number of works and presented in many national and international congress on these topics. He is a membership of Professional & Scientific Bodies: I.I.A. – Italian Institute of Actuaries; Fully Qualified Member of O.N.A. – Italian National Order of Actuaries; member of Italian Solvency II group of I.I.A and AIAF. He speaks English and is fluent in Italian.

Rocco Cerchiara was also Senior Consultant with Willis Towers Watson in Rome until June 2017 and has more than 15 years’ experience in the insurance industry, with a particular focus in non-life actuarial consulting. His experience covers the full range of actuarial services, including:

  • Appointed Actuary for two P&C Italian Companies
  • Pricing Support for P&C Italian Companies
  • Reserve review for Statutory, Solvency II, IFRS and M&A purposes
  • Economic capital modelling and review
  • Actuarial Function support
  • Lead support for Italy on Best Practice in Non-Life Reserving (Astin 2016)
  • Other Astin Working Party:
    o Neural Network and claim reserving
    o The Exposure Draft of the Risk Adjustment Text Book for IFRS 17

 

Summary

The calculation of the Aggregate loss distribution is one of the main issue for pricing, reserving and capital requirements purposes. Solvency II regulation provides different approaches for the calculation of the Solvency Capital Requirement (SCR): standard formula with simplification, standard formula, standard formula with undertaking specific parameters (USP), partial internal model and full internal model. A natural extension of an Internal Risk Model (IRM) is the Own Risk Solvency Assessment (ORSA) to analyze the solvency ratio in a long time horizon. The underwriting cycle provide an additional volatility to liabilities distribution and could increase the SCR. The aim of this course is to discuss to analyze possible approaches in risk modelling and capital requirement calculation.

 

Outline

1) The calculation of SCR: standard formula with simplification, standard formula, standard formula with USP, partial internal model and full internal model

2) Undertaking Specific Parameters under Solvency II

3) Partial and Internal Models:

a. Aggregate Loss Distributions, Extreme Value Theory and Risk Measures

b. The calculation of the Aggregate Loss Distribution using Monte Carlo Simulation and Fast Fourier Transform

4) Analysis of the underwriting cycle using a Piecewise Linear Dynamic System under the ORSA requirements

 

Literature:

1. Undertaking specific parameters under Solvency II: reduction of capital requirement or not?

2. Aggregate Loss Distributions and Risk Measures for Non-life Insurance

3. The calculation of Aggregate Loss distribution in Motor Third Party Liability insurance: Simulation or Fast Fourier Transform?

4. A dynamic analysis of the underwriting cycle in non-life insurance 

 

Alexey Botvinnik studied Mathematics in the Lomonosov Moscow State University and in the Georg-August-University Göttingen. He has 16 years of experience in a German life insurance company and in an actuarial consulting firm, which has included different aspects of software engineering and stochastic modelling – in particular: ALM, an estimation of Embedded Value, Strategic Assets Allocation, Replicating Portfolios, and Economic Scenario Generators. He is a member of DAV (German Society of Actuaries).

Economical Scenario Generators and Applications by Alexey Botvinnik

 

Summary

This course gives an introduction to economic scenario generators and their applications in financial modeling and risk management.

An economic scenario generator (ESG) projects all the financial economic and macro-economic variables necessary for risk management, providing the future distributions of the risk elements driving financial variability. This allows for testing a business model in a stochastic environment, observing a broad variety of economic conditions.

The first part of the course is focused on basics of ESG construction and validation, providing main ideas regarding economic model building and testing of ESG results both in "real-world" and "risk-neutral" contexts. An introduction to both these concepts will be given.

The second part of the course focuses on some of ESG applications in company models, regulatory reporting aspects, risk management and strategic asset allocation. This part concludes with a case study.

A sound basic understanding of probability theory and - ideally - stochastic processes will help the participants to better follow the course but is not a requirement.

 

Outline

Part 1. ESG section:

  • Tools needed to build an ESG
  • How to construct a good model (using equity modeling as an example)
  • Introduction to interest rate models
  • Real world modeling and validation
  • Risk neutral modeling and validation
  • Q&A


Part 2. Applications section:

  • Modeling investments using ESG output
  • Building an integrated company model
  • Risk management using stochastic projections
  • Strategic Asset Allocation (SAA): Case Study
  • Q&A

 

Lauri Saraste, as the Chief Actuary of LocalTapiola Life, is responsible for an actuarial function, life company solvency and reporting, and re-insurance program as well as a member of group ALM committee and a group risk management committee. He has over 15 years of experience on the insurance sector (life, investments, pensions, and re-insurance). He was the Board secretary (from 2012 to 2014) and the President (from 2014 to 2016) of the Actuarial Society of Finland. Now, he is a Board member of the Actuarial Society of Finland. He has about 8 years of experience of giving speeches on different actuarial seminars.

Life Insurance by Lauri Saraste

 

Outline

1. Life insurance products. What are the normal products, how to deal with long maturity products, why guaranties are tricky, how to manage with customer behavior, what are the issue in Europe with Life products

2. ALM in life insurance. What are the important steps with the Strategic asset allocation (SAA), how capital allocation and hedging needs to be taken into account, what are important drivers with ALM

3. Solvency II framework in life insurance. Valuation, VaR-measures, relationship with the market, processes

4. Managing the business. What do the different functions (actuary, risk management, investment, etc.) try to achieve, with what measures can life insurance be monitored, how all this can be used for better business decisions

 


The Organising Committee

Contact

Ms Lina Terekhina

Department of Economics
European University at St. Petersburg
6/1А Gagarinskaya Street,
St. Petersburg, 191187
Russia

E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Phone/fax: +7 (812) 386-7632

Partners and Supporters

The Workshop greatly benefits from the support from

AWB

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