Syllabus

Prime Re Academy – stands for reengineering the academic state-of-the-art into practical applications. It is a “refinery” of useful techniques and important methods, in which longstanding PRS experts train other insurance professionals with hands-on 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
  • 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
  • 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 non-proportional)

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

  • The inclusion of deterministic stress scenarios (Swiss SST model)

  • Meta-risks (parameters, risk margin,...)

  • Multi-annual projections

  • Use test

    • Portfolio planning

    • Reinsurance optimization

    • Capital allocation
       

Stochastic Reserving
  • Why stochastic reserves

  • Statistical methods

    • Mack Chain Ladder

    • (G)LM

  • Stochastic methods

    • Bootstrap

    • Markov Chain Monte Carlo

    • Half-Mack

  • Individual claims development

    • Mack method

    • Neural networks
       

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

    • On-leveling

    • Loadings

    • Experience rating

    • Exposure rating

    • Natural catastrophe rating

  • Long tail lines of business

  • Alternative risk transfer

  • Reinsurance optimization

Reinsurance Underwriting
  • 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
  • Fitting distributions

    • QQ and PP plots

    • Moments fitting

    • Maximum likelihood

    • Kolmogorov-Smirnov test

    • Chi-squared 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
  • 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
  • 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

    • Hull-White model

    • Multifactor models

    • Numerical approximations

  • Bootstrapping the economy

  • Other economic variables

    • Spreads

    • Inflation

    • FX

  • Risk neutral vs real world

  • Validation
     

Stress Scenarios
  • Model validation

    • Rare one-risk events

    • Rare many-risks events

    • Extreme parameter values

  • Model enhancement

    • SST scenario aggregation

  • ORSA

    • Multi-year 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

    • Company-specific scenarios
       

The Standard Formula of Solvency II
  • Components of the economic balance sheet and the RBC

  • Cost of capital margin

  • Minimum required capital

  • Components of the solvency capital requirement

    • Life risks

    • Non-life risks

    • Health risks

    • Market risks

    • Credit risks

    • Intangible risks

    • Operational risks

  • Adjustments for loss absorbing capacity
     

The Standard Model of the Swiss Solvency Test
  • Principles

  • Risk Bearing Capital – economic balance sheet

  • Target Capital – risks

    • Insurance

    • Market

    • Credit

    • Deterministic stress scenarios

  • Solvency

Stochastic Simulations and Risk Measures

2 hours seminar addressing:

  • Different types of insurance risks

  • Generation of stochastic events

  • Monte Carlo acceleration techniques

  • Measures of risks and coherence

Insurance Risk Models

2 hours seminar addressing:

  • Aggregate models

  • Collective models

  • Individual models

  • Exposure models

Risk Calibration

2 hours seminar addressing:

  • PP & QQ plots

  • Moments fitting

  • Maximum likelihood estimation

  • Kolmogorov-Smirnov tests

  • Chi-squared estimation

  • Parameter risk

Risk Dependencies

2 hours seminar addressing:

  • Correlations and their pitfalls

  • Causal models

  • Copulas

  • Tail dependence

Reserving Risk

2 hours seminar addressing:

  • Mack Chain-Ladder

  • Half-Mack

  • Bootstrap

  • Individual claims development

Market Risk Models

2 hours seminar addressing:

  • Geometric brownian motion

  • Shocks

  • Equity models

  • Interest rate models

  • Credit models