Enterprise Risk and Quantitative Risk Management in Life Insurance: An Introduction
Announcements from the European Actuarial Academy organiser: Risk Management (RM) constitutes a recent achievement for the actuarial culture and profession, especially if compared to the long history of actuarial mathematics. However, RM principles entered into the insurance field without “destroying” the actuarial methods. On the contrary, actuarial methods and relevant applications have been extended in order to properly capture risk-related issues. In this context, Enterprise Risk Management (ERM) provides guidelines for a sound management of risks. At the same time, ERM should improve actuaries’ awareness of corporate issues, for example: capital allocation, creation of value, business models, organization, etc.
The objective of this web session is twofold. On the one hand, it aims to provide the participant with the basic concepts of ERM in life insurance, with a specific focus on the quantitative phases of the RM process, i.e. risk assessment, impact assessment and monitoring, which constitute the Quantitative Risk Management (QRM). On the other, the web session stresses the need to extend the (traditional) actuarial toolkit in order to capture in quantitative terms the risk profile of life insurance lines of business.
The participant should then recognize a “bridge” between the traditional life insurance mathematics, mainly based on the equivalence principle and hence deterministic, and risk-oriented approaches, based on stochastic models (but also on appropriate deterministic assessments) and allowing for diverse scenarios.
The web session is open to all interested persons. Basic knowledge of actuarial mathematics is appropriate.
The training aims at providing the participants with a good understanding of the basic aspects of ERM in life insurance, with specific focus on the quantitative phases of the RM process, that is, on QRM.
To this purpose, the web session first focuses on the general features of QRM methodology, then addressing a specific application to life annuity business. Both deterministic and stochastic approaches to risk and impact assessment will be presented and discussed.
The registration fee is € 100.00 plus 16% VAT. Please click here to make a reservation
The following topics will be covered:
Enterprise Risk Management (ERM) and Quantitative Risk Management (QRM
- What is ERM?
- What is QRM?
QRM methodology in life insurance: the basics
- The Risk Management (RM) process
- From data to models
- From risk assessment to impact assessment
- Deterministic and stochastic approaches
- Product design as a RM action
An application: risk assessment and impact assessment in life annuity business
- Modelling a life annuity portfolio
- Scenarios
- Impact assessment
- Checking the impact of decision variables
- Solvency and capital requirements
Ermanno Pitacco
Ermanno Pitacco is professor of Actuarial mathematics and Life insurance technique in the University of Trieste as well as academic director of the Master in Insurance and Risk Management at the MIB Trieste School of Management. In addition, he has been visiting professor in various universities (recently: University of New South Wales, Sydney; University of Louvain-La-Neuve; University of Ljubljana, University of Zagreb, University of Kyoto). Main fields of scientific interest are life and health insurance mathematics and techniques, pension mathematics, longevity risk, mortality heterogeneity. He is author or co-author of textbooks and papers in the fields of scientific interest. His papers have been published, among the others, on: Insurance Mathematics & Economics, ASTIN Bulletin, Journal of Pension Economics and Finance, Risks, Geneva Papers on Risk and Insurance, Belgian Actuarial Bulletin, Journal of Actuarial Practice, Applied stochastic models in business and industry, AStA Advances in Statistical Analysis, European Actuarial Journal, Annals of Actuarial Science, Giornale dell’Istituto Italiano degli Attuari.