Economic Scenario Generators

Prime Re Academy is pleased to invite you to attend the first workshop of the Advanced Modelling Week in Zurich, Switzerland in November 2019. Focus will be set on the following topic:

Economic Scenario Generators

We suggest also signing up for the Modelling Dependencies workshop

All insurance and financial risks depend on the future states of the economy. Some just have their cash flows discounted with prospective interest rates, but the performance of many products and structures is intimately interwoven with the behavior of other market variables, which themselves display strong and complex interdependencies.

This workshop addresses both theoretically and with hands-on exercises, the main market risk models relevant to the insurance and finance industries:

• Interest rates and yield curves

• Inflation

• Foreign exchange rates

• Equity indices

• Bootstrapping the economy

• Validation of economic scenarios

It describes both, the underlying theory and concepts, as well as their practical implementations with Excel® templates. In particular, it will enable participants to model on their laptops some important economic variables, whose stochastic scenarios they can later implement in their daily practice.

The workshop precedes the workshop “Modelling Dependencies”, therefore, the relating workshops can be combined at a reduced fee.

Target Group

The workshop is designed for all professionals who are interested in actuarial and financial modelling. Participants do not need to be fully qualified actuaries, however, they will benefit from a good command of Excel® (excluding VBA). In addition, they should be familiar with elementary concepts of insurance, statistics and stochastic modelling.

Conceptual framework

The Prime Re Academy workshops are of technical nature and structured so that theory and practice alternately complement each other, creating a lively learning platform. We simultaneously present on two separate screens the theoretical foundations in PowerPoint® format and the matching practical applications on an Excel® platform. Thanks to the interlocking of theory and practice, the course contents can be taught in a most efficient manner and the participants can be challenged intensively.

Participants should bring along their own laptops so that they can implement and test the theoretical concepts with the Excel® prototypes we will hand over to them.

Moreover, to enhance the international learning experience and networking, the workshop starts in the afternoon and includes joint dinners: this way the participants quickly get to know each other and the lecturers, so that promptly a dynamic atmosphere of mutual challenge and know-how transfer sets in. In particular we encourage the participants to steer the focus of the workshop according to their current needs, e.g. with more emphasis on life or property & casualty business.

Dates and Schedule

Monday, 4 November 2019

13.30 – 14.00 registration

14.00 – 18.30 workshop

18.30 – dinner

Tuesday, 5 November 2019

09.00 – 12.30 workshop

12.30 – 14.00 lunch

14:00 – 18.30 workshop

18.30 – dinner

Wednesday, 6 November 2019

09-00 – 12.30 workshop

12.30 – lunch

Registration

Registration will be closed after 21 October 2019.

Venue

This workshop will be held in Zurich. The exact location will be communicated at a later date.

Dress casual and comfortable. We suggest that participants from abroad reserve their hotel room in Zurich well in advance. Alternatively, they can ask us for assistance with booking a room at a convenient location.

Fees

CHF 1’800 regular price

CHF 600 for unemployed participants

A discount of CHF 500 for the third participant of the same company will be granted. In combination with the “Modelling Dependencies” workshop a discount of CHF 1’000 is granted.

These fees are binding and must be transferred latest 21 October 2019.

The fees include:

- the workshop

- the documentation

- the prototypes in Excel®

- the dinners and lunches

- all Swiss taxes

The fees will be refunded in total in case of cancellation before 21 October 2019 or if the workshop must be cancelled.

Payment options

Please note that it is possible to pay with credit card directly via our website. Just click on the workshop you wish to register and follow the instructions. If you wish to receive an invoice, just opt to pay manually at the checkout section. We will then send you an invoice via email.

Redeem vouchers

If you wish to redeem a voucher, equally opt to pay manually at the checkout section and enter the voucher number you wish to redeem. We will then send you an invoice via email.

CPD Credits

The participants will receive a certificate they can submit to their CPD committee. Members of the Swiss Actuarial Association will automatically be credited with 14 CPD points.

Contact

Prime Re Academy, Phone: +41 (41) 725 32 10

Lecturers

Dr Frank Cuypers

Has led numerous actuarial engineering and modeling courses and workshops in Europe and Latin America. He comes with a vast lecturing experience and a prominent scientific track-record in modeling complex systems. As a Swiss Re Executive and Chief Actuary at the former Zurich Re in Cologne, he has wide experience in most actuarial disciplines and lines of business, which he has deployed at KPMG and PwC to advise leading providers of financial services and Government Agencies. He is a fully qualified member of the German and Swiss Actuarial Associations (DAV and SAV), which he has served on numerous committees.

Dr Michel Dacorogna

Was until recently scientific advisor of the chairman of SCOR, where he conducted research in the field of insurance mathematics, capital management and risks. As SCOR’s Deputy CRO, he has also developed the group internal model. He teaches in the master of finance programs of the University of Zurich, the University Ca’ Foscari of Venice and the University of Turin. He has also published more than 80 articles in scientific journals and is an associate editor of Quantitative Finance.