Mon, 09 Apr | Zurich, Switzerland

Modelling Dependencies - April 2018

When quantifying or aggregating risks, it is crucial to account for dependencies and model them correctly. This is particularly relevant in the context of modern risk based solvency and capital schemes, such as the Swiss Solvency Test, Solvency II or the ORSA Perspective.
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Modelling Dependencies - April 2018

Time & Location

09 Apr 2018, 13:30 – 11 Apr 2018, 14:30
Zurich, Switzerland

About The Event

Prime Re Academy is pleased to invite you to attend its workshop in Zurich, Switzerland in April 2018. Focus will be set on the following topic:

Modelling Dependencies

When quantifying or aggregating risks, it is crucial to account for dependencies and model them correctly. This is particularly relevant in the context of modern risk based solvency and capital schemes, such as the Swiss Solvency Test, Solvency II or the ORSA Perspective. Furthermore, modelling dependencies is also of utmost importance in reserving, pricing or risk transfer exercises involving more than one risk.

The workshop will present the main methods used in the insurance and finance industries:

  • causal dependencies
  • factor-models
  • statistical dependencies: copulas
  • compound Poisson processes and Lévy copulas
  • model selection and their calibration

It addresses both, the underlying theory and concepts as well as their practical implementations with Excel® templates. In particular, it will enable participants to model dependencies directly on their laptop, which can later be applied promptly in their daily assignments.

Dates and Schedule

Monday, 9 April 2018

13.30 – 14.00 registration

14.00 – 18.30 workshop

18.30 – dinner

Tuesday, 10 April 2018

09.00 – 12.30 workshop

12.30 – 14.00 lunch

14:00 – 18.30 workshop

18.30 – dinner

Wednesday, 11 April 2018

09.00 – 12.30 workshop

12.30 – lunch

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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 Pedro Fonseca

Is an expert in risk and data modelling, with 14 years of experience in the financial industry. Before joining Systemorph as head of Business Solutions, he headed the Risk Analytics & Reporting team at SIX, where he was responsible for quantifying and reporting risks across all business areas. Before that, he held various positions in the hedge fund, private equity, and risk data industries. Pedro holds a PhD in theoretical Physics from Rutgers University and frequently holds presentations and seminars.

Fees

CHF 1'600 early-bird if paid before or on 16 March 2018

CHF 1'900 if paid after 16 March 2018

CHF 600 for unemployed participants

A discount of CHF 500 for the third participant of the same company will be granted.

These fees are binding.

They will be refunded in total in case of cancellation before 30 March 2018 or if the workshop must be cancelled.

The fees include:

- the workshop

- the documentation

- the prototypes in Excel®

- the dinners and lunches

- all Swiss taxes

Venue

SCOR Services Switzerland AG, General Guisan-Quai, 8022 Zurich. Phone +41 (0)44 639 93 93 (reception)

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.

Contact

Raquel Forster

+41 41 725 32 16

Prime Re Academy

Tickets
Price
Quantity
Total
  • Early-bird paid until 16 March
    CHF1,600
    CHF1,600
    0
    CHF0
  • Full paid after 16 March
    CHF1,900
    CHF1,900
    0
    CHF0
  • For unemployed participants
    CHF600
    CHF600
    0
    CHF0
  • Third participant of company
    CHF1,100
    CHF1,100
    0
    CHF0
TotalCHF0

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