Web Session CERA, Module B: Taxonomy, Modelling and Mitigation of Risks
Announcement from EAA organiser:
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.
Methods for modelling market, credit, operational and underwriting risks will be presented in detail. The discussion covers the risk definition and identification and how it can be distinguished from other risks. Qualitative and quantitative valuation approaches will be discussed - including scenario analyses, stress tests, deterministic and stochastic assessments. 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.
Click here to register. The early-bird registration fee for attendees with a non-company billing address or a German company billing address is € 1,933.75 for bookings by 29 July 2024. After this date, the fee will be € 2,142.00.
Click here (Note: timing via that link is in CEST [Central European Summer Time].)
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 2022, he works as Group Chief Actuary at Athora. Before this, he was Principal at Milliman for about 10 years, advising Clients in Germany and the UK, and worked at Generali Deutschland Group as Head of Actuarial Modelling for five years. He had 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.