Time & Location
About The Event
Prime Re Academy is pleased to invite you to attend the second workshop of the Capital Modelling Week in Zurich, Switzerland, in February 2019. Focus will be set on the following topic:
We suggest also signing up for the Risk, Capital and Solvency Models – an ORSA Perspective workshop
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 of models both by management and regulators. Model validation is at the heart of gaining trust with the quantitative assessment of risks.
Unfortunately, the usual statistical techniques do not work for the validation of risk models as we lack sufficient data to significantly test the results of the models. Indeed, we will never have enough data to statistically estimate the significance of the VaR at a probability of 1 over 200 years or the TVaR at 1%, which are the risk measures required by Solvency II and SST respectively. Instead, we need to develop various indirect strategies to test the relevance of the model. Three experts who combine praxis, regulation and theoretical background present in this workshop those indirect methods and the various steps to arrive at a full validation.
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 following is a list of the subjects that will be treated during the workshop:
• Calibration of the risk models and the dependencies between the various risk drivers
• Actual versus expected, backtesting and cross validation
• Testing the forecast of distribution through Probability Integral Transform
• Testing vendors models
• Sensitivity test and reverse stress test
• Validation processes and organization, stakeholders’ expectations management
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.
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
Wednesday, 20 February 2019
13.30 – 14.00 registration
14.00 – 18.30 workshop
18.30 – dinner
Thursday, 21 February 2019
09.00 – 12.30 workshop
12.30 – 14.00 lunch
14:00 – 18.30 workshop
18.30 – dinner
Friday, 22 February 2019
09.00 – 12.30 workshop
12.30 – lunch
Registration will be closed after 6 February 2019.
This workshop will be held at the See-Club in Zug. Address: Chamerstrasse 33, 6300 Zug.
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.
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 “Risk, Capital and Solvency Models – an ORSA Perspective” workshop a discount of CHF 1’000 is granted.
These fees are binding and must be transferred latest 6 February 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 6 February 2019 or if the workshop must be cancelled.
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.
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.
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.
Prime Re Academy, phone: +41 (41) 725 32 10
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.
- Regular priceCHF1,800CHF1,8000CHF0
- Attending both workshopsCHF2,600CHF2,6000CHF0
- For unemployed participantsCHF600CHF6000CHF0