Syllabus
Prime Re Academy – stands for reengineering the academic stateoftheart into practical applications. It is a “refinery” of useful techniques and important methods, in which longstanding PRS experts train other insurance professionals with handson seminars and workshops.
Actuarial Engineering
16 hours workshop addressing:

Fundamental programing hygiene in Excel and VBA

Data smoothing (Whittaker–Henderson, …)

Calibrations and model fitting (max likelihood, χ^2, …)

Stochastic simulations (collective models, …)

Risk aggregation (copulas, …)

Generation tables (mortality distributions, …)

Pricing ((G)LM, …)

Stochastic reserving (bootstrapping, …)

Claims development (neural networks, …)

Market risks (cellular automata, …)
Modelling Dependencies
16 hours workshop addressing:

Monte Carlo simulations

Accuracy

Acceleration

Simulation of multiple variables


Random variable dependencies

Elliptical variables and correlations

Causal modelsokay

Stochastic models

Tail dependencies


Copulas

Determination

Calibration

VaR superadditivity


Process dependencies – Lévy copulas
Risk, Capital and Solvency Models  an ORSA Perspective
16 hours workshop addressing:

Components of the economic balance sheet and economic capital (discounted reserves, replication portfolios,...)

Components of the risk and the solvency capital (large claims and frequency claims, market and credit risks,...)

Reinsurance (proportional and nonproportional)

Risk aggregation (Monte Carlo algorithm, dependencies and diversification,...)

The inclusion of deterministic stress scenarios (Swiss SST model)

Metarisks (parameters, risk margin,...)

Multiannual projections

Use test

Portfolio planning

Reinsurance optimization

Capital allocation

Reinsurance Pricing and Structuring
16 hours workshop addressing:

Fundaments and purpose of reinsurance

The four traditional treaty types

Quota share

Surplus

Stop loss

Excess of loss


Pricing

Onleveling

Loadings

Experience rating

Exposure rating

Natural catastrophe rating


Long tail lines of business

Alternative risk transfer

Reinsurance optimization
Reinsurance Underwriting
16 hours workshop addressing:

Underwriting

Treaty types

Reinsurance and Risk management

Reinsurance markets

Underwriting process


Actuarial

Pricing

Optimization


Claims

Accounting

Legal framework

Clauses

Contract wordings

Contract certainty


Advanced topics

Natural catastrophe

Insurance linked securities

Alternative risk transfer

Model Calibration
16 hours workshop addressing:

Fitting distributions

QQ and PP plots

Moments fitting

Maximum likelihood

KolmogorovSmirnov test

Chisquared procedure


Fitting dependences

Bernstein copula

Maximum likelihood

Quantile exceedance probability


Important calibration considerations

Inferring the tail from the bulk

Bias and efficiency

Parameter risk

Model risk

Model Validation
16 hours workshop addressing:

Why validate

Validation Procedures & Stakeholder Management

Validation Process & Organisation

Calibration

Actual versus Expected

Backtesting

Cross Validation

Monte Carlo Convergence

Dependences

Plausibilisations

Probability Integral Transform

Sensitivity Analysis

Reverse Stress Tests

Vendor Models
Economic Scenario Generators
16 hours workshop addressing:

Risks and risk drivers

Equity models

Geometric Brownian motion

Pareto shocks

Heston model

GARCH processes

Rule 90 cellular automaton


Interest rate models

Yield curve phenomenology

Vasicek model

HullWhite model

Multifactor models

Numerical approximations


Bootstrapping the economy

Other economic variables

Spreads

Inflation

FX


Risk neutral vs real world

Validation
Stress Scenarios
16 hours workshop addressing:

Model validation

Rare onerisk events

Rare manyrisks events

Extreme parameter values


Model enhancement

SST scenario aggregation


ORSA

Multiyear issues

Solvency II scenarios


Market stability

EIOPA stress tests


Stochastic scenarios

Stressing parameters

Stressing risks

Risk dependences


Asset scenarios

Economic scenario generators

Historic financial crisis

Complex dependences


Liability scenarios

Market scenarios

Companyspecific scenarios

The Standard Formula of Solvency II
16 hours workshop addressing:

Components of the economic balance sheet and the RBC

Cost of capital margin

Minimum required capital

Components of the solvency capital requirement

Life risks

Nonlife risks

Health risks

Market risks

Credit risks

Intangible risks

Operational risks


Adjustments for loss absorbing capacity
Stochastic Simulations and Risk Measures
3 hours seminar addressing:

Different types of insurance risks

Generation of stochastic events

Monte Carlo acceleration techniques

Measures of risks and coherence
Insurance Risk Models
3 hours seminar addressing:

Aggregate models

Collective models

Individual models

Exposure models
Risk Calibration
3 hours seminar addressing:

PP & QQ plots

Moments fitting

Maximum likelihood estimation

KolmogorovSmirnov tests

Chisquared estimation

Parameter risk
Risk Dependencies
3 hours seminar addressing:

Correlations and their pitfalls

Causal models

Copulas

Tail dependence
Reserving Risk
3 hours seminar addressing:

Mack ChainLadder

HalfMack

Bootstrap

Individual claims development
Market Risk Models
3 hours seminar addressing:

Geometric brownian motion

Shocks

Equity models

Interest rate models

Credit models
Reinsurance
3 hours seminar addressing:

Fundaments and purpose of reinsurance

Proportional and nonproportional reinsurance

Experience and exposure rating

Long tail lines of business

Expenses and risk loadings

Reinsurance optimization