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					             Slovensko
             aktuarsko
             društvo




            Slovenian actuarial association is organizing a conference
            on Solvency 2 and IFRS phase 2. The conference will be
              held at Hotel M, Derčeva ul. 4, Ljubljana, Slovenia on



                     11th and 12th October 2011.




Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia
Davčna številka: 17081068, številka računa: 02038-0055144937
        Slovensko
        aktuarsko
        društvo




Slovenian actuarial association is organizing a conference on Solvency 2 and IFRS phase 2. The conference
will be held at Hotel M, Derčeva ul. 4, Ljubljana, Slovenia on

                                                         11th and 12th October 2011.
We have put together an interesting and informative programme of topics and are honoured to welcome a host of
distinguished guest speakers who will share with you their tried and tested views and experience.

Guest speakers at the conference are Mario Wüthrich, Jernej Merhar, Ermanno Pitacco, Darko Medved, Aleš
Ahčan, Jože Sambt, Aleš Tomažin and Imrich Lozsi.

Registration fee for members of SAA is 350 EUR (others 400 EUR) and includes lunch and refreshments.
Registration fee must be paid in advance to the SAA account with the note »registration fee - conference Solvency
2 and IFRS phase 2«, account number: 02038-0055144937.

Participation at the conference counts for 50 continuing professional development credit points.

Please confirm your participation by sending an e-mail to the associations email address: info@actuaries.si no
later than 30. 9. 2011.




Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia   1                    11th and 12th October 2011
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AGENDA:
Tuesday 11.10. 2011 – Solvency 2

   Schedule                  Lecture                                                 Lecturer
  8.30–9.00                  Registration, tee/ coffee
  9.00–10.00                 Paid-incurred chain claims reserving method             Mario Wüthrich
 10.00–10.15                 Break
 10.15–11.15                 Risk margin for a non-life insurance run-off            Mario Wüthrich
 11.15–11:30                 Break
 11.30–12.30                 Risk free interest term structure                       Jernej Merhar
 12:30–13.30                 Lunch
                             Solvency requirements for life annuities allowing for
 13.30–15.30                 the longevity risk: internal models versus standard     Ermanno Pitacco
                             formulas
 15.30–15.45                 Break
                                                                                     Ermanno Pitacco, Darko Medved,
 15.45–16.30                 Estimation of Slovenian mortality tables – 1. Part
                                                                                     Aleš Ahčan, Jože Sambt
 16.30–16.45                 Break
                                                                                     Ermanno Pitacco, Darko Medved,
  16.45–17.45                Estimation of Slovenian mortality tables – 2. Part
                                                                                     Aleš Ahčan, Jože Sambt



Wednesday 12.10. 2011 – MSRP phase 2

   Schedule                  Lecture                                                 Lecturer
  8.30–9.00                  tee/coffee
  9.00–10.00                 Summary of key changes                                  Aleš Tomažin & Imrich Lozsi
 10.00–10.15                 Break
 10.15–11.15                 Recognition and measurement                             Aleš Tomažin & Imrich Lozsi
 11.15–11:30                 Break
 11.30–12.30                 Margins, time value of money                            Aleš Tomažin & Imrich Lozsi
 12:30–13.30                 Lunch
 13.30–15.30                 Presentation and Disclosures                            Aleš Tomažin & Imrich Lozsi
 15.30–15.45                 Break
 15.45–16.45                 Interactions with Solvency II                           Aleš Tomažin & Imrich Lozsi
 16.45–17.00                 Concluding remarks, closing of the seminar




Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia   2                             11th and 12th October 2011
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ABSTRACTS OF PRESENTATIONS:

Solvency 2 – prof. dr. Mario Wuthrich                                           - the concept of “adequacy requirements” (risk
                                                                                  margin and solvency capital);
Paid-incurred chain claims reserving method.                                    - the possibility of adopting internal models for risk
                                                                                  and solvency assessment, instead of the standard
                                                                                  formula.
We present a novel stochastic model for claims
                                                                             The seminar will specifically focus on these issues,
reserving that allows to combine claims payments
                                                                             in the framework of risk-management actions aiming
and incurred losses information. The main idea is to
                                                                             at facing the longevity risk. Numerical examples will
combine two claims reserving models (Hertig’s model
                                                                             be provided in order to illustrate various aspects of
(1985) and Gogol’s model (1993)) leading to a log-
                                                                             solvency requirements.
normal paid-incurred chain (PIC) model. Using a
Bayesian point of view for the parameter modeling we
derive in this Bayesian PIC model the full predictive
distribution of the outstanding loss liabilities.                            Estimation of Slovenian mortality tables – Ermanno
                                                                             Pitacco, Darko Medved, Aleš Ahčan, Jože Sambt
Risk margin for a non-life insurance run-off
                                                                             With the introduction of Solvency II a consistent market
For solvency purposes insurance companies need to                            approach to the valuation of insurance assets and
calculate so-called best-estimate reserves and a risk                        liabilities is required. The current minimum standard
margin for non-hedgeable insurance-technical risks.                          for valuing liability arising from the annuity business
In actuarial practice, the calculation of the risk margin                    in Slovenia is the German annuity tables DAV 1994
is not based on a sound model but various ad-hoc                             R. The DAV 1994 tables were used in the German
methods are used. In the present paper we properly                           insurance industry up until 2005 when the new DAV
de?fine these notions and we introduce insurance-                            2004 R tables were introduced. The replacing of DAV
technical probability distortions. We describe how the                       1994 R by DAV 2004 R in 2005 caused a rise in
latter can be used to calculate a risk margin for run-                       premiums for deferred annuities in Germany of about
o?ff risks in a consistent way.                                              10% to 20% depending on people’s age and gender.
                                                                             This is a substantial increase in premium rates and
                                                                             an important question for the Slovenian insurance
Risk free interest term structure – g. Jernej Merhar                         industry in the Solvency II framework is whether
                                                                             the DAV 1994 R tables are still sufficient or even
Solvency 2 requires that probability waighted average                        appropriate to measure the fair value of liabilities
of future cash flow takes into account time value                            arising from the annuity and pension business in
of money using the relevant risk free interest term                          Slovenia. In 2010 mortality working party was
structure. The presentation will focus on the method                         establish to find answers to this question. Members of
how risk free term structure will be determined. This                        working party were prof. dr. Ermanno Pitacco, doc. dr.
process requires definition of financial instruments                         Aleš Ahčan, doc. dr. Jože Sambt, dr. Darko Medved
extrapolation mathod and ultimate forward rate.                              and Robert Sraka. Project was financially supported
                                                                             by Slovenian Insurance association. In our talk we
                                                                             will present results of the project, which is based
Solvency requirements for life annuities allowing for
                                                                             on an application of the Lee-Carter methodology to
the longevity risk: internal models versus standard
                                                                             calculate the best estimate value of an insurance
formulas – g. Ermanno Pitacco
                                                                             annuity in Slovenia. Topic will be divided into four
                                                                             parts: Projecting mortality (Ermanno Pitacco), Poisson
The transition from Solvency 1 to Solvency 2 regime                          Log-Bilinear model (Aleš Ahčan), Modelling mortality
in life insurance implies a number of new issues. In                         by cause (Jože Sambt) and Selection effect on annuity
particular:                                                                  purchasers (Darko Medved).




Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia   3                                        11th and 12th October 2011
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Short CVs of Lecturers:

Mario Wüthrich holds a PhD in mathematics from ETH                           Actuaries (UK)
Zurich (Swiss Federal Institute of Technology Zurich).                       Associate Editor of the international journals:
From 2000 to 2005, he held an actuarial position at                          »Insurance: Mathematics & Economics”, “Decisions
Winterthur Insurance and was responsible for claims                          in Economics and Finance”, “European Actuarial
reserving in non-life insurance as well as developing                        Journal”, “Insurance Markets and Companies:
and implementing the Swiss Solvency Test. Since                              Analyses and Actuarial Computations”
2005, he has been teaching actuarial mathematics
                                                                             Editor of the European Actuarial Academy series –
as professor at ETH Zürich. He serves on the board
                                                                             Educational part
of the Swiss Association of Actuaries (SAA) and is
editor of ASTIN Bulletin and of the European Actuarial                       Member of the Groupe Consultatif Actuariel Europeen
Journal.                                                                     Duties in the International Actuarial Association (IAA):
                                                                             member of the Education Committee, member of the
                                                                             Mortality Working Group, and member of the IAA
                                                                             Health Section Committee
Jernej Merhar is a Deputy Director of Insurance
                                                                             In 1996 awarded with the INA prize for Actuarial
Supervision Agency of the Republic of Slovenia since
                                                                             Mathematics from Accademia Nazionale dei Lincei.
May 2006 and also a head of the Actuaries, Statistic
and Informatics Section since June 2001. He started
his insurance business’ supervision career in 1994 as
an actuary at the Ministry of Finance. In 1995 when                          Darko Medved is a leading consultant at JMD
the Office for Insurance Supervision of the Republic of                      Consulting, specializing in actuarial theory and
Slovenian was established as part of the Ministry of                         practice. His doctoral thesis examined the actuarial
Finance he continued his work as an actuary at that                          pricing of life insurance products. His current research
Office. In 2000 he took the position of a lead actuary                       projects encompass the cost efficiency of insurance
in the Insurance Supervision Agency of the Republic                          companies, population mortality projections and
of Slovenia which was established as an independent                          actuarial valuations of pension systems.
supervision institution over the insurance business in
Republic of Slovenia. As the head of the Actuaries,
Statistic and Informatics Section he is responsible
for examination and analysis of actuary’s reports, for                       Aleš Ahčan is an Assistant Professor in Actuarial
controlling the calculation of the technical provisions,                     Science in the Department of Finance and Banking of
for monitoring insurance policy conditions and for                           the Faculty of Economics at the University of Ljubljana,
analyzing reinsurance programs. He is a member of                            Slovenia. His current research projects focus on pricing
Financial Requirement Expert Group and a member                              derivatives in incomplete markets, Bayesian mortality
of Technical Provision Subgroup at the European                              forecasting, predicting stock bubbles and pension
Insurance and Occupational Pensions Authority                                problematic.
(EIOPA). Since June 2007 till July 2009 he was a
leader of the Technical Provisions Subgroup at CEIOPS
(predecessor of EIOPA) and since July 2007 till                              Jože Sambt is an Assistant Professor at the Faculty of
autumn 2010 a deputy of the Financial Requirement                            Economics of the University of Ljubljana. His research
Expert Group leader.                                                         projects focus on demographics changes and their
                                                                             influences on public expenditure. He is the co-author
                                                                             of Slovenian population life tables.
Ermanno Pitacco
Full professor of Actuarial Mathematics in the Faculty
of Economics, University of Trieste                                          Imrich Lozsi has more than ten year experience in
Academic director of the Master in Insurance and Risk                        the insurance business on the consulting side. As
Management at the MIB School of Management of                                an audit actuary within KPMG, he cooperated with
Trieste                                                                      a number of insurers on various financial reporting
Actuary, full member of the Istituto Italiano degli                          topics under local accounting standards, IFRS and US
Attuari (Italy), and affiliate member of the Institute of                    GAAP. He played key role in several IFRS conversion

Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia   4                                       11th and 12th October 2011
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projects during which he was mostly responsible for                          Aleš Tomažin holds a Master in actuarial science and
coordinating actuarial aspects of the reporting process                      Master in information management science both from
and communicating actuarial matters to financial                             Faculty of Economics from Ljubljana. From 2009 he
reporting professionals. Imrich is a member of the                           is Chief Actuary at Maribor insurance company. He is
Czech Society of Actuaries, its working group for IFRS                       a member of Slovenian actuarial association and from
/ Solvency II and also a member of the working group                         2007 to 2010 led the Technical board of association.
for implementation of Pillar II requirements of Solvency
II in the Czech Republic, led by Czech Association
of Insurers. At present, he is conducting business at
consulting company in-pact.




Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia   5                                     11th and 12th October 2011

				
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