Date
Time

Thursday, 15 October 2020 and Friday, 16 October 2020

Start time on Thursday, 15th October: 7.00 am GMT

Start time on Friday, 16th October: 7.00 am GMT

 

 

Venue
Online

Economic Scenario Generators Part II: Advanced Seminar for ESG Practitioners

Announcements from the European Actuarial Academy organiser:

Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Svenska Aktuarieföreningen.

The Economic Scenario Generators (ESG) are at the core of stochastic models used by insurance companies. The applications of stochastic models are very diverse and include such applications as economic capital under Solvency II, ALM projections, dynamic hedging etc. Hence, practitioners have to keep abreast of the current ESG-related challenges and approaches to overcome these.

PARTICIPANTS

This web session builds upon the contents of their introductory ESG web session offered by the EAA in March 2020. They are now going to discuss a few advanced ESG related topics:

  • Practical ESG calibration challenges
  • Credit risk modelling challenges
  • Fixed-income volatility challenges
  • ESG and Least Square Monte Carlo

They expect that the participants of the upcoming web session are familiar with basic ESG concepts such as interest rate models or equity models, are not afraid of some technical cooking recipes from the ESG kitchen and are keen to discuss the practicalities of ESG work in the context of the current market environment and regulatory requirements.

TECHNICAL REQUIREMENTS AND TEST SESSION

Please check with your IT department if your firewall and computer settings support web session participation (the programme Logmein is used for this online training). Please also make sure that you are joining the web session with a stable internet connection.

REGISTRATION

Please send your registration as soon as possible by using the online registration form: https://actuarial-academy.com/seminars/registration?No=E0231

Your early-bird registration fee is € 290.00 plus 16% VAT for registrations by 15 August 2020. After this date, the fee will be € 350.00 plus 16% VAT.

Please click here to see event webpage

Agenda

In the web session, they will begin by providing a broad overview of current ESG topics and their challenges. They will then discuss credit risk models and good practices of their calibration.

On Day 2, they will firstly examine the volatility calibration challenges arising from the mismatch between the EIOPA-prescribed yield curves and the market yield curves used by quotation platforms. Secondly, tehy will discuss a Least Squares Monte Carlo case study.

Thursday, 15 October 2020

07:00 - 8:30 Introduction to Economic Scenario Generators and Their Challenges

9:00 - 10:30 Credit Risk Models and How to Calibrate Them

Friday, 16 October 2020

07:00 - 9:30 Fixed Income Volatility Calibration Challenge: EIOPA Nominal Yield Curve is not the Market Curve

9:00 - 10:30 Case Study: ESG and Least Squares Monte Carlo Proxy Modelling

All the above times are given in GMT

Biographical details

Pierre-Edouard Arrouy is leading the financial modelling team inside the Research & Development section of Milliman Paris; his consulting work relates to the design, the implementation and the review of financial models within risk-neutral and real-world ESGs. His current research topics deal with calibration methods for interest rates models with stochastic volatility, modelling of credit risk, as well as the pricing of complex derivatives. He is also actively involved in the development of the cloud based ESG solution Milliman CHESS.

Paul Bonnefoy is a R&D Consultant at the Paris office of Milliman. He provides his financial modelling expertise to clients through various missions related to the implementation and the review of financial models within risk-neutral and real-world ESGs. His R&D works concern among other things the acceleration of the calibration process of financial models and the pricing of complex derivatives. He is also actively involved in the development and the management of the cloud based ESG solution Milliman CHESS.

Alexandre Boumezoued is leading the Research & Development team in Milliman Paris office; as such he provides consulting support to his clients in the insurance market on modelling topics in life and non-life insurance as well as financial risks. Alexandre's current research actuarial-academy.com interests deal with stochastic population dynamics and its use for longevity and mortality risks purposes, stochastic micro/macro non-life reserving models, as well as calibration methods for interest rate and credit risk models. During the last years, he has given talks in international conferences and working groups worldwide, and lectures in several actuarial centres in France. Alexandre received his PhD in Applied Mathematics from Paris 6 University (Probability and Random Models Laboratory), for which he has been awarded by the 2016 PhD SCOR Actuarial Prize.

Michael Leitschkis is a Principal with Milliman. Michael has been dealing with various ESG aspects for about 15 years, notably in the context of Solvency II, including proxy modelling techniques such as Least Squares Monte Carlo. He has been part of the German Actuarial Society (DAV) working party dedicated to Economic Scenario Generators and taught Financial Mathematics at the University of Cologne.

Event Type
Web session
Speakers/Presenters
Pierre-Edouard Arrouy, Paul Bonnefoy, Alexandre Boumezoued and Michael Leitschkis
Organizer
European Actuarial Academy