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:
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Fundamental programing hygiene in Excel and VBA
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Data smoothing (Whittaker–Henderson, …)
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Calibrations and model fitting (max likelihood, χ^2, …)
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Stochastic simulations (collective models, …)
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Risk aggregation (copulas, …)
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Generation tables (mortality distributions, …)
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Pricing ((G)LM, …)
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Stochastic reserving (bootstrapping, …)
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Claims development (neural networks, …)
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Market risks (cellular automata, …)
Modelling Dependencies
16 hours workshop addressing:
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Monte Carlo simulations
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Accuracy
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Acceleration
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Simulation of multiple variables
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Random variable dependencies
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Elliptical variables and correlations
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Causal modelsokay
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Stochastic models
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Tail dependencies
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Copulas
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Determination
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Calibration
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VaR superadditivity
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Process dependencies – Lévy copulas
Risk, Capital and Solvency Models - an ORSA Perspective
16 hours workshop addressing:
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Components of the economic balance sheet and economic capital (discounted reserves, replication portfolios,...)
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Components of the risk and the solvency capital (large claims and frequency claims, market and credit risks,...)
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Reinsurance (proportional and non-proportional)
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Risk aggregation (Monte Carlo algorithm, dependencies and diversification,...)
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The inclusion of deterministic stress scenarios (Swiss SST model)
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Meta-risks (parameters, risk margin,...)
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Multi-annual projections
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Use test
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Portfolio planning
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Reinsurance optimization
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Capital allocation
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Reinsurance Pricing and Structuring
16 hours workshop addressing:
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Fundaments and purpose of reinsurance
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The four traditional treaty types
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Quota share
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Surplus
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Stop loss
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Excess of loss
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Pricing
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On-leveling
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Loadings
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Experience rating
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Exposure rating
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Natural catastrophe rating
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Long tail lines of business
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Alternative risk transfer
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Reinsurance optimization
Reinsurance Underwriting
16 hours workshop addressing:
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Underwriting
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Treaty types
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Reinsurance and Risk management
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Reinsurance markets
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Underwriting process
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Actuarial
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Pricing
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Optimization
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Claims
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Accounting
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Legal framework
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Clauses
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Contract wordings
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Contract certainty
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Advanced topics
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Natural catastrophe
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Insurance linked securities
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Alternative risk transfer
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Model Calibration
16 hours workshop addressing:
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Fitting distributions
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QQ and PP plots
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Moments fitting
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Maximum likelihood
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Kolmogorov-Smirnov test
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Chi-squared procedure
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Fitting dependences
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Bernstein copula
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Maximum likelihood
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Quantile exceedance probability
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Important calibration considerations
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Inferring the tail from the bulk
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Bias and efficiency
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Parameter risk
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Model risk
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Model Validation
16 hours workshop addressing:
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Why validate
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Validation Procedures & Stakeholder Management
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Validation Process & Organisation
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Calibration
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Actual versus Expected
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Backtesting
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Cross Validation
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Monte Carlo Convergence
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Dependences
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Plausibilisations
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Probability Integral Transform
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Sensitivity Analysis
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Reverse Stress Tests
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Vendor Models
Economic Scenario Generators
16 hours workshop addressing:
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Risks and risk drivers
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Equity models
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Geometric Brownian motion
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Pareto shocks
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Heston model
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GARCH processes
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Rule 90 cellular automaton
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Interest rate models
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Yield curve phenomenology
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Vasicek model
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Hull-White model
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Multifactor models
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Numerical approximations
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Bootstrapping the economy
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Other economic variables
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Spreads
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Inflation
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FX
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Risk neutral vs real world
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Validation
Stress Scenarios
16 hours workshop addressing:
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Model validation
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Rare one-risk events
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Rare many-risks events
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Extreme parameter values
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Model enhancement
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SST scenario aggregation
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ORSA
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Multi-year issues
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Solvency II scenarios
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Market stability
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EIOPA stress tests
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Stochastic scenarios
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Stressing parameters
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Stressing risks
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Risk dependences
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Asset scenarios
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Economic scenario generators
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Historic financial crisis
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Complex dependences
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Liability scenarios
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Market scenarios
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Company-specific scenarios
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The Standard Formula of Solvency II
16 hours workshop addressing:
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Components of the economic balance sheet and the RBC
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Cost of capital margin
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Minimum required capital
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Components of the solvency capital requirement
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Life risks
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Non-life risks
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Health risks
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Market risks
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Credit risks
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Intangible risks
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Operational risks
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Adjustments for loss absorbing capacity
Stochastic Simulations and Risk Measures
3 hours seminar addressing:
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Different types of insurance risks
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Generation of stochastic events
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Monte Carlo acceleration techniques
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Measures of risks and coherence
Insurance Risk Models
3 hours seminar addressing:
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Aggregate models
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Collective models
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Individual models
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Exposure models
Risk Calibration
3 hours seminar addressing:
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PP & QQ plots
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Moments fitting
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Maximum likelihood estimation
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Kolmogorov-Smirnov tests
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Chi-squared estimation
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Parameter risk
Risk Dependencies
3 hours seminar addressing:
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Correlations and their pitfalls
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Causal models
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Copulas
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Tail dependence
Reserving Risk
3 hours seminar addressing:
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Mack Chain-Ladder
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Half-Mack
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Bootstrap
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Individual claims development
Market Risk Models
3 hours seminar addressing:
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Geometric brownian motion
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Shocks
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Equity models
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Interest rate models
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Credit models
Reinsurance
3 hours seminar addressing:
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Fundaments and purpose of reinsurance
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Proportional and non-proportional reinsurance
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Experience and exposure rating
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Long tail lines of business
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Expenses and risk loadings
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Reinsurance optimization