Modelling and Validating Longevity under Solvency II

Do you want to get familiar with calibrating mortality models, the theoretical framework behind these models, model implementation and most recent insights within mortality modelling under Solvency II?

If yes, this seminar "Modelling and Validating Longevity under Solvency II" which is organised in co-operation with the Polskie Stowarzyszenie Aktuariuszy on 16/17 May 2019 in Warsaw, Poland, is perfect for you.



The European Solvency II regulations lead to significant changes within risk management of insurance companies. Under these regulations companies calculate a 99.5% Value-at-Risk over a one-year horizon using an Internal Model, or by using the Standard Formula provided by EIOPA. In this seminar we focus on modelling longevity trends and calculating longevity risk. We define longevity risk as the risk of unexpected changes in the trend underlying future mortality rates. For the simulation of mortality rates, a wide variety of stochastic models have been proposed in literature. We will discuss various aspects of mortality model specification, calibration, and application, and provide ideas and practical advice for the implementation of these models. Also examples of modelling portfolio-specific mortality and the validation of mortality models under Solvency II will be discussed.



The seminar is specially developed for (life) actuaries, risk managers or statisticians working in actuarial, risk management and model validation departments.



The early-bird registration fee is € 840.00 plus 23% VAT and valid until 16 March 2019. After this date the fee will be € 990.00 plus 23% VAT.



You may find all additional information in this print version as well as on this website where you will find the registration form.