EAA Web Session "Setting Up Discount Rates Under IFRS 17: Getting the Job Done"

Event Type
Webinar
Organizer
European Actuarial Academy (EAA)
Date
Time

10:00-12:00 CET | 09.00 - 11.00 GMT

Venue
Online
Description

Announcement from the European Actuarial Academy organiser:

The IFRS 17 regulatory framework requires insurers to define the discount curve with respect to the liquidity characteristics of their liabilities. During this web session, we will review the regulatory requirements and the two main approaches recommended. We will then detail the steps involved in the construction of the IFRS 17 discount curve and highlight the various possible choices. The speakers' research and development work on this topic, coupled with a benchmark vision of market practices, will allow them to present a wide range of available approaches and to describe their advantages and disadvantages from an operational insurance implementation perspective. 

Your early-bird registration fee is € 100.00 plus 19% VAT for bookings by 4 January 2022. After this date, the fee will be € 140.00 plus 19% VAT.

Please find all additional information in this print version and on our website. An overview on other upcoming events can be downloaded as well.

If you have any questions, please do not hesitate to contact us.

Susanne Bauer
Event Coordinator/Executive Assistant

EAA - European Actuarial Academy GmbH
Hohenstaufenring 47-51
50674 Cologne
GERMANY
Phone +49 221 912554-343
www.actuarial-academy.com
 

Agenda

Tuesday, 15 February 2022 10:00-12:00 CET

Topics:

- IFRS 17 Discount Curve

- Setting the risk free rate

- Assessing the illiquidity of liabilities

- Quantifying the illiquidity premium of an asset portfolio actuarial-academy.com

All the above times are given in CET (Central European Time)

Speakers/Presenters
Pierre-Edouard Arrouy
Grzegorz Darkiewicz
Russell Ward
Freek Zandbergen
Biographical details

Pierre-Edouard Arrouy

Pierre-Edouard is leading the financial modelling team inside the Research & Development section of Milliman France; 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.

Grzegorz Darkiewicz

Grzegorz is a senior consultant with Milliman, leading Milliman Research and Development activities for Italy and Central & Eastern Europe. Grzegorz has 20 year experience in actuarial field and specializes in financial modelling, asset-liability management, valuation and risk management. In 2005 he earned his Ph.D. degree at Catholic University in Leuven (Belgium). He lead development of financial modelling tools for asset-liability management and ESG.

Russell Ward

Russell is a Principal with Milliman, focusing on capital modelling, guarantee product development and ALM all of which involve the use of ESGs. Prior to joining Milliman, Russell headed Ernst & Young’s actuarial modelling services for Europe leading implementation of stochastic asset-liability models and the review of ESGs for some of the firm’s audit clients. While on secondment to the FSA, Russell played a key role in the development of the regulator’s approach to the review of risk-based capital under the Individual Capital Assessment (ICA) regime.

Freek Zandbergen

Freek is a senior consultant with Milliman, based in Amsterdam. His main focus is on capital management and ALM related topics, including IFRS 17 discount rate and Solvency II internal model developments. Freek joined Milliman in 2020 after 5 years with NN Group in different risk functions, including the head of ALM & Hedging. Prior that he worked at Aegon NL between 2006 and 2015 in several roles in the capital management and risk departments.