CERA B: Taxonomy, Modelling and Mitigation of Risks
Announcement from the EAA organiser:
CERA Education
The European Actuarial Academy is one of the main providers of actuarial education – especially when it comes to Enterprise Risk Management (ERM). The concept of ERM has gained significant momentum in the insurance industry and beyond.
We offer a series of four training courses and exams (through DAV) to all actuaries who want to deepen their knowledge in Enterprise Risk Management and gain the international ERM-credential CERA. The defining characteristics of the CERA-credential as offered by the European Actuarial Academy are:
- Provides the most comprehensive and rigorous training in ERM
- Is a fast-growing globally-recognised credential
- Combines a range of business and professional skills with the mathematics of finance and risk
- Equips risk management professionals to empower better business decisions and more profitable business development
- Has a wide range of applications in insurance and finance, and well beyond
- Is supported by actuarial associations worldwide
- Is recognised and transferable internationally
- Has a rigorous and advanced curriculum underpinned by actuarial science, with an emphasis on ERM and professionalism
- Offers career choices outside the traditional actuarial markets
The Seminar ‘Taxonomy, Modelling and Mitigation of Risks’
The web seminar focuses on quantitative analyses of financial and non-financial risks of an insurance company and the effect and possible applications of risk mitigation techniques. After an introduction to the economic valuation of an insurance company, including stochastic valuation models and approximation techniques for life companies, and the building blocks of its economic balance sheet, the risk measure as well as the relevant regulatory requirements of Solvency II will be discussed. Different concepts of risk modelling covering from standard formula to fully internal models will be presented.
After a deep-dive into the risk classification, strategic, reputation and operational risks are dealt with. Afterwards methods for modelling market, credit and underwriting risks will be presented in detail. The discussion of each risk starts with its definition, how it can be identified and distinguished from other risks, and its classification according to SII. The taxonomy is followed by qualitative and quantitative valuation approaches - including scenario analyses, stress tests, deterministic and stochastic assessments, and quantifications according to the standard formula and an internal model. Furthermore, crucial aspects of any model such as assumptions, distributions, calibration and validation are discussed, as well as limitations and criteria for the adequacy of a model for solving a given problem.
Having introduced and discussed the risk modelling, tools and techniques will be discussed that are available in the insurance business to mitigate these risks. That includes the discussion around the implications of reinsurance and securitisation as well as portfolio management. We will also present what life insurance companies subject to traditional with profit business can do to hedge their main risks.
Both elements, risk modelling and measurement as well as risk mitigation, are closely related and interact with each other, what will be reflected in the topics presented and the structure of the seminar.
The consolidated view on risks in a company and an outlook on Group models close the course.
The course has been designed for experienced practitioners who use model results in practice and seek guidance for management decisions. Therefore, the focus is not on technical details but on the understanding of risk models and their results, and on the derivation of management actions. Consequently, examples and case studies are a core component of the seminar.
The training is open to all persons who are interested in obtaining comprehensive skills on Enterprise Risk Management. The understanding of the business model of an insurance company (life and non-life) is a prerequisite that participants should be aware of. Basic knowledge of deterministic and stochastic valuation models as well as value based management is recommended.
This web session is one part in a course that consists of four modules. They can be booked as a whole series to fulfil the requirements for receiving the CERA designation, or individually as CPD training. Written exams on the course are offered subsequently.
Please contact your actuarial association regarding the recognition of the seminars (web sessions) and the exams. The national association has to be at least Acceding Party of the CERA Global Association so that an actuary who passes this course may receive the CERA credential. Please visit www.ceraglobal.org to get information if your association is entitled to issue the CERA designation.
Technical requirements and test session
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom is used for the web session). Please also make sure that you are joining the web session with a stable internet connection.
On 11 September 2023, 10:00-10:30 CEST, there will be a test session offered to all registered participants to test the software. This test session is mandatory.
Click here to make a reservation: Your early-bird registration fee for this CERA web session is € 1,625.00 plus 19 % VAT for bookings by 7 August 2023. After this date, the registration fee is € 1,800.00 plus 19 % VAT.
Prof Dr Hubert Bornhorn
Hubert Borthorn is a Professor for mathematics and statistics at the Faculty of Business at Dortmund University of Applied Sciences and Arts. He is a member of the German Actuarial Association (DAV). Hubert studied mathematics in Münster and Oxford and holds a Ph.D. and a master’s degree in mathematics from WWU Münster. Hubert’s areas of expertise include Financial Risk Management, Asset Management for insurance companies and Actuarial Mathematics. Before attaining his current position he worked almost 10 years for a life insurance company.
Dr Steve Brüske
Steve Brüske studied Mathematics and made his PhD in Münster. He has been working as an actuary at HDI Global SE in Hanover since 2007, where he is responsible for creating the internal models and head of actuarial function. Since 2012 Dr Brüske has been a member of the DAV, the DAV Working Group "Internal Models" and since 2018 he leads the DAV Working Group “Reporting Obligations”.
Dr Peter Henseler
Peter Henseler studied Physics at Bonn University. Since 2012 he works for Generali Deutschland Group. He heads the group Financial Risk Methodology within the Enterprise Risk Management, after having started his career in 2010 in the actuarial department of Zurich Deutscher Herold Lebensversicherung AG. He is a member of the German Actuarial Association (DAV) and CERA.
Dr Ingo Kraus
Ingo is Head of ALM / Quantitative Methods and Models at ERGO Insurance Group, Germany. In particular, he and his team are giving quantitative support for ALM / strategic asset allocation and are in charge of many aspects of asset modeling with respect to valuation and risk management. Ingo is a member of the German Actuarial Association (DAV) and CFA chartholder. He holds a PhD in mathematics from Albert Ludwigs Universität Freiburg. Ingo’s areas of expertise include Value-Based Management, Risk Management and particularly Asset Liability Management. He worked for many years in actuarial teams (product development, valuation, actuarial steering) and later in strategic asset allocation functions.
Dr Nils Langenberg
Nils studied mathematical economics in Trier and Santiago de Compostela and holds a PhD in mathematics. He is a fellow of the German Actuarial Association (DAV) and qualified for the CERA designation in 2015. Currently, he is working as a divisional chief actuary for one of Munich Re’s Life reinsurance divisions, leading the monitoring and reporting, and also being a member of Munich Re’s Global Life Valuation Board. Prior to this position, he held various other functions within Munich Re since 2011, continuously within the Life&Health reinsurance area.
Dr Michael Leitschkis
Michael Leitschkis studied Mathematics in Cologne and Philadelphia. Since 2012, he works for Milliman, where he is Principal in the Life Technology Solutions practice. Before this he worked at Generali Deutschland Group as Head of Actuarial Modelling for almost five years. He started his career at B&W Deloitte in Cologne. Michael Leitschkis is member of the German Actuarial Association (DAV) and CERA. He has delivered a number of talks and lectures on various topics of risk modeling and risk management.
Viktor Turov
Viktor Turov studied Mathematics in Hannover. Since 2018 he works for EY as Senior Manager in the Non-Life actuarial area. Before this he was Head of the group Risk Aggregation within Group Risk Management. He started his career in 2008 in the actuarial department at HDI Global SE in Hannover. From 2015 to 2017 Viktor Turov worked for KPMG as risk management consultant. Furthermore he is a member of the German Actuarial Association (DAV) and a member of several DAV working groups.