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Wed, 19 Jun

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KV Business School Zürich

Model Validation

With the advent of risk-based solvency and quantitative risk management, the question of the accuracy of risk modelling has become central for the acceptance of the results both by management and regulators. Model validation is at the heart of gaining trust with the quantitative assessment of risks.

Model Validation
Model Validation

Time & Location

19 Jun 2024, 13:30 CEST – 21 Jun 2024, 12:00 CEST

KV Business School Zürich, Sihlpostgasse 2, 8004 Zürich, Switzerland

Guests

About The Event

Prime Re Academy is pleased to invite you to attend its workshop Model Validation in Zurich, Switzerland, in June 2024. Focus will be set on the following topic:

Validation 

Two experts who combine industry practice, regulatory experience and theoretical background present fundamental methods and apply them onto realistic examples taken from

  • Life insurance
  • General insurance
  • Investments and finance
  • Quantitative risk management
  • Machine learning

Workshop participants will learn various ways of carrying out validation which will enable management and regulators to gain confidence in the quality of models. The workshop will address topics such as:

  • Calibration of risks and dependencies
  • Actual versus expected, backtesting and cross validation
  • Testing forecast of distributions
  • Testing vendors models
  • Plausibility of data and extreme values
  • Sensitivity tests and reverse stress tests
  • Validation processes and organization, stakeholders’ expectations management

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 general insurance, assets or liabilities, traditional or machine learning techniques.

Dates and Schedule

Wednesday, 19 June 2024

13.00 – 13.30 registration

13.30 – 17.30 workshop

18.00 – dinner

Thursday, 20 June 2024

08.30 – 12.30 workshop

12.30 – 14.00 lunch

14:00 – 17.30 workshop

18.00 – dinner

Friday, 21 June 2024

08.30 – 12.00 workshop

12.00 – lunch

Venue

This workshop will be held at the KV Business School Zürich. Address: Sihlpostgasse 2, 8004 Zürich, Switzerland. 

Dress casual and comfortable. We suggest that participants from abroad reserve their hotel room in Zurich well in advance.

Fees

CHF 1’600 regular price

CHF 800 for students and unemployed participants

The fees include:

        - the workshop

- the documentation

- the prototypes in Excel®

- the dinners and lunches

- all Swiss taxes

Payment options

Please pay with credit card directly via our website.

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 15 CPD points. 

Contact

phone: +41 (41) 541 79 16

Email workshops@prime-re-academy.swiss

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 former Swiss Re Executive and Chief Actuary of Zurich Re, he has gained broad expertise in most actuarial disciplines, which he now deploys to advise leading insurers & reinsurers with bespoke technical solutions. Regularly numerous companies and regulators appoint him to develop and validate reserve, pricing risk and solvency models. He served for nine years on the ASTIN Board, which he chaired for 5 years, and he founded the CPD Committee of the Swiss Actuarial Association, which he presided for 10 years.

Dr Michel Dacorogna

Was 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. 

Tickets

Price

Quantity

Total

  • Standard ticket

    CHF 1,600.00

    CHF 1,600.00

    0

    CHF 0.00

  • Students and unemployed

    CHF 800.00

    CHF 800.00

    0

    CHF 0.00

Total

CHF 0.00

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