Solvency II Internal Models: Which Techniques for A New Wave?
Announcement from the EAA organiser:
In the context where further new capital models are under recent development, especially in Europe under Solvency II, the aim of this web session is to provide an overview of the recently developed modelling techniques related to the derivation of full distributions for the calculation of the capital requirement within Internal Models.
The web session will provide a specific emphasis on enhancements of the Least Square Monte Carlo (LSMC) method, including refining their calibration and validation, as well as the development of the so-called Multi-Level Monte Carlo (MLMC) method, allowing for a smart allocation of the inner and outer simulations in any Nested Simulation approach.
The web session is open to all interested persons working within the insurance industry.
The aim of this web session is to provide an overview of the recently developed modelling techniques related to the derivation of full distributions for the calculation of the Economic Capital, such as within Solvency II Internal Models, with a specific emphasis on Least Square Monte Carlo and Multi-Level Monte Carlo method.
Technical Requirements: Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training).
Click here to make a reservation. Your early-bird registration fee is € 100.00 plus 19% VAT for bookings by 28 September 2022. After this date, the fee will be € 140.00 plus 19% VAT.
- Internal Model Regulation
- Proxy Calibration Pitfalls
- Future of Cloud Computing for Internal Models
Alexandre Boumezoued
Alexandre Boumezoued is Principal and head of Research & Development in Milliman Paris office, covering modelling topics in life and non-life insurance as well as financial risks. Alexandre's current research interests deal with stochastic population dynamics and its use for longevity and mortality risks purposes, stochastic micro/macro non-life reserving models, scientific solutions for IFRS 17, calibration methods for Economic Scenarios Generators and aggregation techniques for Economic Capital Models.
Adel Cherchali
Adel Cherchali is a R&D Consultant at the Paris office of Milliman. He holds a PhD thesis on the development of efficient numerical methods to compute the Solvency Capital Requirement within Internal Models in life insurance. He delivers his modelling expertise to clients through various projects related to the implementation and the review of proxy models (LSMC, Machine Learning), as well risk-neutral and real-world Economic Scenarios Generators. He is lecturer at École des Ponts et Chaussées and is regular speaker at international conferences.
Michael Leitschkis
Michael Leitschkis is a Principal with Milliman with almost 20 years of experience working in the life insurance industry, notably in Germany and the United Kingdom. Michael specializes in risk modelling, e.g. in the context of Solvency II Internal Models, and actuarial systems transformation. Michael has been supporting his Clients on Proxy Modelling techniques such as Least Squares Monte Carlo for several years, including their applications such as Daily Solvency Monitoring and their validation.