Section
Hot Topic
Format

Forecast on Future Developments

Mikko Myrskylä

Executive Director of the Max Planck Institute for Demographic Research, MPIDR (Executive Director)
Germany

Consequences for Insurance Industry

Winfried Heinen

Chairman of the Board of Executive Directors, Gen Re (Board of Executive Directors)
Germany

Moderation

Risk Modelling and Valuation: Quantifying Model Risk

Paul Glasserman

Jack R. Anderson Professor of Business, Columbia University (Jack R. Anderson Professor of Business)
USA

Abstract

In this presentation, I will discuss methods to quantify model risk. At its core, a valuation or risk measurement model implicitly assigns probabilities to scenarios, with each scenario determining a set of cash flows or losses. Alternative models assign different probabilities to different scenarios. The literature on “robustness” and uncertainty provides tools for gauging the plausibility of alternative models relative to a baseline model. Among a set of plausible alternatives, we can identify the worst-case model, meaning the one that would produce the largest deviation from the baseline model. The difference in valuation of a security or portfolio under the baseline model and the worst-case alternative yields a bound on model risk at each level of plausibility. This framework lends itself to practical implementation through Monte Carlo simulation, taking advantage of an explicit representation for the worst-case alternative. I will illustrate this method through problems of portfolio analysis, derivatives valuation, and the measurement of counterparty risk.

Risk Modelling and Valuation: Capital Management – From Modelling to Creating Value

Tom Wilson

Chief Risk Officer, Allianz (Chief Risk Officer)
Germany

Abstract

*Value and Capital Management: A Handbook for the Finance and Risk Functions of Financial Institutions, Wiley 2015. Forthcoming 2017 in Chinese by the Shanghai University of Finance and Economics Press, 2017 in Korean by Pakyoung-sa Publishing, and 2018 in Japanese).

Do Performance Fees Motivate Portfolio Managers to Increase Risk Following Poor Performance? Evidence from Social Trading Networks

Philipp Doering

Ruhr-University Bochum (PhD Student / Research Associate)
Germany

Alexander Jonen

Helmut-Schmidt University of Hamburg
Germany

Abstract

Abstract/abstract_470.pdf

Risk Management with Multiple Value-At-Risk Constraints

Thai Nguyen

University of Ulm (Postdoc)
Germany

Abstract

Abstract/abstract_99.pdf

Case Study Fitting the Generalized Pareto Distribution to Large Claims

Rene Stephan

Klemmstein & Stephan (Partner)
Germany

Abstract

Abstract/abstract_422.pdf

Scenario and Stress Testing - A Practioners Guide

Daniel Finn

Conning & Co. (Director)
United States

Abstract

Abstract/abstract_577.pdf

Stochastic Loss Reserving with Emphasis on the Bornhuetter-Ferguson Method

Annina Saluz

AXA

Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis

Jean-François Bégin

Simon Fraser University (Assistant Professor of Statistics and Actuarial Science)
Canada

Abstract

Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, placing special emphasis on the 2005–2012 period. As the model captures firm-specific credit risk and dependence across the firms, it serves as a building block to construct a systemic risk measure. We find increases in systemic risk contributions for both insurance and banking subsectors during the crisis period. We also detect a unidirectional causal effect from banks to insurers when accounting for heteroskedasticity.

The Impact of Insurance Premium Taxation

Anna-Maria Hamm

Leibniz University Hannover
Germany

Abstract

Abstract/abstract_47.pdf

Calculation of Flatrated Fleets in the Commercial Motor Business on the Basis of the Credibility Approach - A Practical Application

Michael Klamser

Allianz (Actuary/Portfoliomanagement)
Germany

Abstract

Abstract/abstract_362.pdf

Experience Rating of (Re)Insurance Premiums under Uncertainty about Past Inflation

Michael Fackler

Self-employed (self-employed)
Germany

Abstract

Abstract/abstract_219.pdf

Modeling Dynamic Policyholder Behaviour through Machine Learning Techniques

Marco Aleandri

Sapienza University Rome, Ageas (PhD Candidate in Actuarial Science)
Belgium

Abstract

Abstract/abstract_80.pdf

Financial Instruments for Mitigation of Flood Risks: The Case of Florence

Giovanni Rabitti

Bocconi University of Milan
Italy

Abstract

Flood risk in Florence is used for testing the dynamics on a real case.

Restating the National Highway Transportation Safety Administration’s National Motor Vehicle Crash Causation Survey for Automated Vehicles

Jonathan Charak

Zurich (Assistant Vice President)
USA

Abstract

The National Highway Transportation Safety Administration (NHTSA) concluded its National Motor Vehicle Crash Causation Survey (NMVCCS) in 2008. The NMVCCS analyzed the events leading up to a motor vehicle crash to determine what was causing automobile accidents. This study, which found that 93% of accidents are caused by human error, is often referenced to justify and quantify automated vehicles’ accident reduction potential. However, this study was never intended to be applied to automated vehicles. Currently celebrating its 100th year, the Casualty Actuarial Society fulfills its mission to advance actuarial science through a singular focus on research and education for property/casualty actuarial practice. Among its 6,200 members are experts in property-casualty insurance, reinsurance, finance, risk management, and enterprise risk management. The Casualty Actuarial Society has created an Automated Vehicles Task Force (CAS AVTF) to research the technology’s risks and their implications for insurance and risk management. To this end, the Task Force has re-evaluated the NMVCCS in the context of an automated vehicle world. It found that 49% of accidents contain at least one limiting factor that could disable the technology or reduce its effectiveness. The safety of automated vehicles should not be determined by today’s standards; things that cause accidents today may or may not cause accidents in an automated vehicle era. Rather, things like the vehicle’s failure rate (after accounting for any fail-safes, infrastructure investments, and driver interactions) and unavoidable accidents (e.g., falling rocks) should be the gauge by which they should be measured. Safety metrics should also consider additional criteria that would not be part of today’s standards and safety concerns, as automation introduces additional risks to consider. This report details the CAS AVTF’s re-evaluation of the NMVCCS and notes areas for future research.

Territorial Risk Classification using Spatially Dependent Frequency-Severity Models

Peng Shi

University of Wisconsin-Madison (Associate Professor)
USA

Abstract

In non-life insurance, territory-based risk classification is useful for various insurance operations including marketing, underwriting, ratemaking, etc. This paper proposes a spatially dependent frequency-severity modeling framework to produce territorial risk scores. The framework applies to the aggregated insurance claims where the frequency and severity components examine the occurrence rate and average size of insurance claims in each geographic unit, respectively. We employ the bivariate conditional autoregressive models to accommodate the spatial dependency in the frequency and severity components, as well as the cross-sectional association between the two components. Using a town-level claims data of automobile insurance in Massachusetts, we demonstrate applications of the model output—territorial risk scores—in ratemaking and market segmentation.

Health System Designs: An Integrated Approach to Achieving UHC with Multiple Stakeholders, Focusing on the Working Poor in Developing Countries

Anne Drouin

International Labour Organization
Switzerland

Lisa Morgan

International Labour Organization (Technical Officer)
Switzerland

Abstract

Abstract/abstract_504.pdf

Prenatal Insurance – Coverage for the Unborn

Kay Ying Shong

RGA (Senior Marketing Actuary)
Singapore

Abstract

Abstract/abstract_185.pdf

Anti-Selection in the Brazilian Individual Health Insurance Market

Ana Carolina Maia

University of São Paulo (Professor)
Brazil

Abstract

Abstract/abstract_501.pdf

Risk Adjustment Modeling for Medical Plans in the United States

Jed Linfield

Healthfirst (Director Actuary)
United States

Abstract

Abstract/abstract_400.pdf

Long-Term Health Insurance: The German Model

Clemens Frey

PwC
Germany

David Richter

PwC (Senior Manager)
Germany

Abstract

Abstract/abstract_553.pdf

Composition in Private Health Plans with Automatic Renewal

Thomas Neusius

Rhein-Main University of Applied Sciences (Professor)
Germany

Abstract

Abstract/abstract_273.pdf

Market consistent cash flows for benefits, tax and future profits in life and pension insurance

Thomas Møller

PFA Pension (Head of Actuarial Innovation and Modeling)
Denmark

Abstract

We study the problem of valuating life insurance contracts in the presence of taxes and future profits. The basic framework consists of the classical finite state Markov chain model describing the possible states of the policy-holder and a stochastic model for the financial market. One approach to model the liabilities is to introduce a full simulation model for the relevant states of the policy holder and the payments associated with the contracts. We discuss how one can alternatively adopt analytical methods such as Thiele's differential equation for the state wise reserves and Kolmogorov's forward equations for the transition probabilities for determining the market values of the various cash flows arising from the contracts. More precisely, we determine the tax cash flows for guaranteed and unguaranteed payments, tax payments and future profits for the owners. We also discuss how the market values of the cash flows can be determined without explicitly deriving the underlying cash flows. The cash flows for unguaranteed payments, taxes and profits will typically depend on the term structure, which is uncertain. We refer to these cash flows as term structure dependent cash flows.

Default Retirement Income Strategy

David Blake

Pensions Institute at Cass Business School (Director)
United Kingdom

Abstract

We start by covering the key risks in retirement, such as interest rate risk, inflation risk, investment and reinvestment risk, and longevity risk. We then look at the components of a retirement financial strategy: investment strategy, the strategy for investing the pension pot; withdrawal strategy, the strategy for withdrawing cash from the pension pot to finance expenditures; and longevity insurance strategy. A good product for delivering retirement income needs to offer: accessibility, a degree of flexibility to withdraw funds on an ad hoc basis; inflation protection, either directly or via investment performance, with minimal involvement by individuals who do not want to manage investment risk; and longevity insurance. It is difficult for a single product to meet all these requirements, but a combination of drawdown and a deferred (inflation-linked) annuity does, for example. So a well-designed retirement income programme will have to involve a combination of products. Next we discuss the withdrawal strategy, and note that there is no safe fixed withdrawal rate that guarantees to last for the lifetime of the retiree (apart from a life annuity). Alternatives are: withdraw the annuitised value of the fund each year, known as the ‘equivalent annuity’ strategy; draw only the ‘natural’ income from the fund, defined as the ‘pay-out of dividends from income-generating investments’; auto-rebalancing, withdraw from asset classes that experienced the highest growth during the year; and cashflow reserve (or bond) ladder or bucket, hold enough in deposits or short-maturing bonds to meet the next two years of expenditure. We then consider the longevity insurance strategy, which determines when longevity insurance is purchased and when it comes into effect. The essentially boils down to the choice between: buying and immediate annuity when it is needed, and buying a deferred annuity at the point of retirement, with the deferred annuity beginning to make payments when it is needed. We end by designing a default retirement income/expenditure plan.

PRIIP-KID: Providing Retail Investors with Inappropriate Product Information?

Stefan Graf

Ulm University, Institute for Finance and Actuarial Sciences, ifa Ulm (Consultant)
Germany

Abstract

Abstract/abstract_272.pdf

German Market Standard for PRIIP Category 4 Products

Andreas Niemeyer

Allianz (Actuary)
Germany

Tobias Rieck

Allianz
Germany

Abstract

Abstract/abstract_511.pdf

Modeling the Risk of a Policyholder Run

Tobias Huber

LMU Munich (Research Assistant and Doctoral Candidate)
Germany

Abstract

Abstract/abstract_26.pdf

In-Force Management in the Context of Solvency II

Olaf Schmitz

Allianz (Head of Research Unit)
Germany

Abstract

Abstract/abstract_529.pdf

Measuring and Balancing Adequacy and Sustainability in Social Security Programs

Assia Billig

IAA Population Issues Working Group (Chair)
Canada

Aldona Skucaite

Vilnius University (Lecturer)
Lithuania

Abstract

Abstract/abstract_306.pdf

Automatic Balancing Mechanisms for Mixed Pension Systems

Carmen Boado Penas

University of Liverpool (Senior lecturer in Actuarial Mathematics)
United Kingdom

Abstract

Abstract/abstract_464.pdf

Making Retirement Income Last a Lifetime

Ted Goldman

American Academy of Actuaries
United States

Ken Hohman

American Academy of Actuaries (International Secretary)
United States

Martin Stevenson

First State Super (Director)
Australia

Abstract

Abstract/abstract_65.pdf

Optimal Pension Protection

Till Förstemann

Deutsche Bundesbank (NA)
Germany

Abstract

Abstract/abstract_606.pdf

New Developments in Insurance IT, Industrialization of Actuarial Processes

Patricia L. Renzi

Principal Life Technology Solutions, Milliman (Principal – Life Technology Solutions)
USA

Preparing Digital Insurance for Take-Off

Axel Helmert

Managing Director, msg life central europe (Managing Director)
Austria

Current Topics of Insurance Supervision

Frank Grund

Chief Executive Director of Insurance and Pension Funds Supervision, Federal Financial Supervisory Authority, BaFin (Chief Executive Director of Insurance and Pension Funds Supervision, Federal Financial Supervisory Authority, BaFin)
Germany

Abstract

Inhalt des Vortrags wird erst 2018 abgestimmt

The Role of the Actuary in Influencing Regulation

Mohamed Seghir

Switzerland

Abstract

Abstract/abstract_222.pdf

The Role of Actuaries in the German Supervisory System

Kay Schaumlöffel

Federal Financial Supervisory Authority, BaFin (Federal Financial Supervisory Authority, BaFin)
Germany

Abstract

Abstract/abstract_46.pdf

Risk Modelling and Valuation: Model Risk, Solvency and Risk Aggregation

Paul Embrechts

Professor of Insurance Mathematics, ETH Zurich (Professor of Insurance Mathematics)
Switzerland

Abstract

risk management. Various relevant papers are to be found on my website: www.math.ethz.ch/~embrechts

Discussion

Oprisk Assessment = Black Swans Laughing?

Eberhard Müller

riskmueller consulting (Founder and Managing Director)
Germany

Abstract

Abstract/abstract_571.pdf

Recovery and Resolution Plans in Banking and Insurance

Bridget Macdonnell

Milliman (Consulting Actuary)
Ireland

Monika Smatralova

permanent tsb
Ireland

Abstract

Abstract/abstract_458.pdf

The Paradox of Prudence – Macroprudential Regulation of Life Insurance and Macroeconomic Models of the Financial Sector

Jochen Kienberger

Allianz (Head of Actuarial Reporting)
Ireland

Abstract

Abstract/abstract_541.pdf

Assessment of Operational Risks of Insurance Company for Management Decision Making

Irina Voronova

Riga Technical University (Professor)
Latvia

Abstract

Abstract/abstract_317.pdf

Management Strategies in Multi-Year Enterprise Risk Management

Dorothea Diers

Provinzial NordWest (Head of Risk Management)
Germany

Abstract

Abstract/abstract_460.pdf

Linking Insurer Strategy with ERM

David Ingram

Willis Towers Watson (EVP)
United States

Kevin Madigan

Willis Towers Watson
United States

Mike Wilkinson

Willis Towers Watson

Abstract

Abstract/abstract_271.pdf

A Formulation of Ecological Value Added

Taryn Reddy

University of the Witwatersrand (Lecturer)
South Africa

Robert Thomson

University of the Witwatersrand
South Africa

Abstract

Abstract/abstract_174.pdf

The Internal Model Industry Forum

Philip Whittingham

XL Catlin (Head of Model Validation and Risk Governance (including Operational Risk))
United Kingdom

Abstract

Abstract/abstract_603.pdf

Advances in Stochastic Mortality Modelling and Demographic Feature Extraction

Gareth Peters

Professor for Risk and Insurance Modelling, Heriot-Watt University (Professor for risk and insurance modelling)
United Kingdom

Abstract

We undertake a detailed case study on the Human Mortality Database demographic data from European countries and we use the extracted features to better explain the term structure of mortality in the UK over time for male and female populations when compared to a pure Lee-Carter stochastic mortality model, demonstrating our feature extraction framework and consequent multi-factor mortality model improves both in sample fit and importantly out-off sample mortality forecasts by a non-trivial gain in performance.

Using Risk Factors in Insurance Analytics: Data Driven Strategies

Katrien Antonio

Professor of Actuarial Science, KU Leuven (Professor of Actuarial Science)
Belgium

Abstract

This presentation will cover ongoing work by Sander Devriendt, Katrien Antonio, Edward (Jed) Frees and Roel Verbelen.

The Transition Towards Semi-Autonomous Vehicle Insurance: The Contribution of Usage-Based Data

Montserrat Guillen

University of Barcelona (Full professor)
Spain

Abstract

Abstract/abstract_183.pdf

Joint Modeling of Customer Loyalty and Risk in Personal Insurance

Edward Frees

University of Wisconsin-Madison (Professor)
United States

Abstract

Abstract/abstract_168.pdf

ASTIN Big Data Working Party Phase II: Predictive Modeling

Louise Francis

Francis Analytics and Actuarial Data Mining (Consulting Principal)
United States

Abstract

Abstract/abstract_295.pdf

Practical Use of Machine Learning in Non-Life Pricing – Smart Price Architecture

Clemens Frey

PwC
Germany

Frank Schönfelder

PwC (Senior Manager)
Germany

Abstract

Abstract/abstract_364.pdf

Generation Actuarial 2.0

Cristina Mano

Cantanhede Mano Consultoria em Atuária (Partner Consultant)
Brazil

Elena Rasa

Zurich
Italy

Abstract

Abstract/abstract_412.pdf

On the Decomposition and Dynamics of Health Insurance Liabilities

Marcus Christiansen

Professor, Carl von Ossietzky University of Oldenburg (Professor)
Germany

Abstract

In the life insurance literature a novel decomposition approach was recently proposed that uses martingale representations for defining meaningful risk decompositions of future liabilites. The applications include risk management, product design, and capital regulation. This talk shows that and how this decomposition approach can be further developed for application in health insurance. Besides discussing the different sources of risk such as mortality risk, morbidity risk, and financial risk, special attention will also be given to the time dynamics.

Projection Models for Health Expenses

Jan-Philipp Schmidt

TH Köln - University of Applied Sciences (Professor)
Germany

Abstract

Abstract/abstract_287.pdf

Health-Linked Life Annuities: Combining Protection and Retirement Income

Ermanno Pitacco

Professor of Actuarial Mathematics and Life Insurance Technique, University of Trieste (Professor of Actuarial Mathematics and Life Insurance Technique)
Italy

Abstract

Looking at health-linked life annuities from a technical perspective, we note that an appropriate product design can improve the profitabililty and/or the risk profile of the insurer’s portfolio. In particular, we will first prove that the care pension is less exposed to pricing (and reserving) risks than other LTC insurance products. Then, we will show that underwritten annuities can raise the size and the profitability of a life annuity portfolio without worsening its risk profile.

Capital-Efficient Participating Annuity Products in Practice

Jürgen Bierbaum

ALTE LEIPZIGER – HALLESCHE (Member of Executive Board)
Germany

Abstract

Abstract/abstract_324.pdf

Disability Insurance: Theory Versus Empirical Results

Kai Kaufhold

Ad Res (CEO)
Deutschland

Benoit Miclette

RGA
Canada

General Price Bounds for Guaranteed Annuity Options

Raj Kumari Bahl

University of Delhi (ASSISTANT PROFESSOR)
India

Abstract

Abstract/abstract_248.pdf

Projections and Profitability of Unit-Linked Products

Kristian Juul Schomacker

Edlund (Product Manager)
Denmark

Abstract

Abstract/abstract_166.pdf

Optimal Social Security Claiming Behavior under Lump Sum Incentives: Theory and Evidence

Ralph Rogalla

St. Johns University (Assistant professor in the School of Risk Management, Insurance and Actuarial Science)
United States

Tatjana Schimetschek

Goethe University Frankfurt
Germany

Abstract

Abstract/abstract_542.pdf

Saving Preferences in Retirement: The Impact of Mandatory Annuitisation Flexibility and Health Status

Jennifer Alonso-García

UNSW Sydney (Senior Research Associate)
Australia

Abstract

Abstract/abstract_256.pdf

Simplifying Retirement by Aligning Communication with Retirement Outcomes, rather than Investment Strategies

Catherine Donnelly

Heriot-Watt University (Associate Professor)
United Kingdom

Abstract

Abstract/abstract_350.pdf

Harmonization of Pensions and Housing

Martin Stevenson

First State Super (Director)
Australia

Abstract

Abstract/abstract_215.pdf

Actuaries in Banking - Raising Awareness & Accelerating Global Penetration

Kudzai Chigiji

WesBank Group (Head of Strategic Analytics and Research)
South Africa

Martin Collins

KPMG
United Kingdom

Michael Florig

Crédit Agricole CIB

Peter Temple

Independent Director at African Bank

Abstract

Abstract/abstract_225.pdf

Retakaful Under-Capacity – Growth Opportunity for Conventional Reinsurers?

Nina Ndebele

Deloitte (Senior Consultant)
Bermuda

Abstract

Abstract/abstract_582.pdf

In-Force Management — Value Potential and Role of Actuaries

Bartlomiej Maciaga

Boston Consulting Group
Germany

Jochen Wieland

Boston Consulting Group (Expert Consultant)
Germany

Abstract

Abstract/abstract_435.pdf

Actuarial Profession in Bangladesh is more Challenging than Ever

M. Ahsanul Haq

Actuarial Society of Bangladesh

Abstract

Abstract/abstract_294.pdf

Status and Development of the Panamaniam Association of Actuaries

Luis Alberto Martinez

Asociación de Actuarios de Panamá (president)
Panama

Abstract

Abstract/abstract_392.pdf

Quality in Actuarial Education in Small Transitional Countries - Case of Bosnia and Herzegovina

Jasmina Selimovic

University in Sarajevo (vice dean and professor)
Bosnia and Herzegovina

Abstract

Abstract/abstract_436.pdf

Actuarial Prospectus in Growing Nepalese Insurance Industry

Roshan Gyawali

MetLife (Sr.Officer)
Nepal

Abstract

Abstract/abstract_447.pdf

Actuarial Profession and Building Sustainable Regulation on Emerging Financial Markets

Vladimir Novikov

Russian Guild of Actuaries (President)
Russian Federation

Abstract

Abstract/abstract_517.pdf

Panel Discussion: Support for IAA Members

Darryl Wagner

Deloitte (Chairperson)
United States

Abstract

Abstract/abstract_434.pdf

Machine Learning Applications for Non-Life Pricing

Xavier Maréchal

reacfin (CEO)

Business Simulation Game for Non-Life Pricing as a Tool for Teaching

Xavier Maréchal

reacfin (CEO)

Economic Capital: Is There an Optimal Reinsurance Solution?

Darius Weglarz

SCOR (Senior Underwriter)
Germany

Abstract

Abstract/abstract_269.pdf

RBC Regimes’ Impact on Capital Motivated Reinsurance

Paul Sauvé

RGA (SVP Global Financial Solutions)
Germany

Abstract

Abstract/abstract_238.pdf

Applying Solvency II Internal Models as Basis for Value Based Management of Life Insurance Carriers

Wolfgang Deichl

Allianz (Chief Actuary & Chief Accountant)
Germany

Abstract

Abstract/abstract_365.pdf

The Marginal Cost of Risk and Capital Allocation in a Property and Casualty Insurance Company

Qiheng Guo

Georgia State University (PhD Candidate)
United States

Abstract

Abstract/abstract_578.pdf

SCOR Actuarial Awards

tba

Single Loss Development Models For The Projection Of Individual Large Claims For Long Tail Non-proportional Reinsurance Pricings

Steffen Schumann

SCOR

Classifying Professions by Means of Regionalization

Stefan Wolfgang Wetzel

ALTE LEIPZIGER (Bereichsleiter Aktuariat & Berichtswesen)
Germany

Abstract

Abstract/abstract_43.pdf

Property Graphs: a Statistical Model for Fire Losses Based on Graph Theory

Pietro Parodi

SCOR (Senior Pricing Actuary)
United Kingdom

Peter Watson

Cass Business School
United Kingdom

Abstract

Abstract/abstract_158.pdf

Data, Decisions, and Distortions: Decision-Making in the Modern World

David Hand

Emeritus Professor of Mathematics, Imperial College London (Emeritus Professor of Mathematics)
United Kingdom

Abstract

While the theory of actuarial and statistical methods has developed gradually over time from the mid-seventeenth century, it is only relatively recently that the computer has had its impact on the practical application of the ideas. Increasingly decisions affecting our lives are being based on formal decision-making processes coded within computers. Often these processes are very elaborate, using data no single human could hope to understand, or even manually examine. Sometimes the processes are adaptive, changing according to obscure internal mechanisms as new data become available. While clearly such developments hold huge promise for improving the human condition, they do not come without risks. In particular, the data may be of uncertain quality. The different dimensions of data quality are examined, categorised as bad data (not the data you want, but a distorted version), invisible data (not just the data you have, but also the data you’d like), changing data (not the data you’ve got, but the data you’ll have), alternative data (not the data you’ve got, but the data you would have had), and misleading data (not the data you’ve got, but the data you think you’ve got). Examples are given showing the potential adverse impact on our decisions, and our lives, and strategies for tackling the problems of poor data quality via detection, prevention, and correction are briefly explored.

 

 

Selection Behavior in the Market for Private Complementary Long-Term Care Insurance in Germany

Jörg Schiller

University of Hohenheim (Professor)
Germany

Abstract

Abstract/abstract_154.pdf

Old-Age Care Prevalence in Switzerland: Drivers and Future Development

Michel Fuino

University of Lausanne (Phd)
Switzerland

Abstract

Abstract/abstract_180.pdf

Long-Term Care Models and Dependence Probability Tables by Acuity Level: New Empirical Evidence from Switzerland

Joël Wagner

University of Lausanne (Full Professor)
Switzerland

Abstract

Abstract/abstract_109.pdf

Modelling Life History in Advanced-Age Period by Care-Cycle and Creating Multi-State Life Table

Shuji Tanaka

Nihon University (Professor)
Japan

Abstract

Abstract/abstract_163.pdf

Cause-Of-Death Mortality and Socio-Economic Status: A Study of a Portfolio Dynamics

Heloise Labit Hardy

ARC Centre of Excellence in Population Aging Research (Senior Research Associate)
Australia

Abstract

Abstract/abstract_81.pdf

Can Frailty Models Improve Actuarial Calculations in Health Insurance?

Ermanno Pitacco

Professor of Actuarial Mathematics and Life Insurance Technique, University of Trieste (Professor of Actuarial Mathematics and Life Insurance Technique)
Italy

Abstract

The present paper aims at exploring possible applications of the frailty concept and related stochastic assumptions in the context of health insurance (disability annuities and long-term care annuities, in particular), hence generalizing the probabilistic structure of the multi-state models. A more realistic setting should actually allow for individual random frailty, affecting disablement, recovery, mortality. Special attention will be placed on the volatility of the benefits paid by the insurer (and hence on its risk profile), assessed in this more realistic framework.

Making a Success in the Changing World of Disability Insurance.

Zoe Woodroffe

Gen Re (Senior Pricing Actuary)
United Kingdom

Abstract

Abstract/abstract_371.pdf

An Actuarial Study of Micro-Insurance in Bangladesh Formal Life Insurance Industry

M. Ahsanul Haq

Actuarial Society of Bangladesh

Abstract

Abstract/abstract_217.pdf

An Overview of the Life Insurance Industry and Current Topics in Japan

Yuho Murate

Dai-ichi Life
Japan

Ryo Yonamine

Dai-ichi Life (Assistant manager)
Japan

Abstract

Abstract/abstract_280.pdf

Pricing and Profit Testing of a Life Insurance Product: Savings and Individual Retirement using Simulation Approach

Woundjiague Apollinaire

Jomo Kenyatta University of Agriculture and Technology (Ph.D Student)
Kenya

Abstract

Abstract/abstract_351.pdf

Underwriting Around the World - An Update

Allen Klein

Milliman (Principal and Consulting Actuary)
United States

Abstract

Abstract/abstract_221.pdf

The Costs of Underwriting Simplification

John Turner

Swiss Re (Head of L&H Underwriting EMEA)
Switzerland

Abstract

Abstract/abstract_144.pdf

Population Aging Shadow Prices and Pay-as-you-go Social Security

John Turner

Pension Policy Center (Director)
United States

Abstract

Abstract/abstract_142.pdf

Cohort Specific Measures of Lifetime Pension Benefits and Contributions in Finland

Ismo Vesa Antero Risku

Finnish Centre for Pensions (Head of Planning Department)
Finland

Abstract

Abstract/abstract_170.pdf

Intergenerational Equity: Metrics for Conditional Indexation in Pension Plans

Louis Adam

Laval University (Professeur)
Canada

Abstract

Abstract/abstract_565.pdf

Actuarial Perspectives on Inequality

Assia Billig

IAA Population Issues Working Group (Chair)
Canada

Abstract

Abstract/abstract_387.pdf

Gender Outcomes in Retirement Systems – Why Are Women Still Getting Such a Bad Deal ?

Simon Brimblecombe

International Social Security Association (Head Research)
Switzerland

Abstract

Abstract/abstract_98.pdf

Digital Disruption: The Impact of Information Management on New Products and Business Models for Society

Tom Jenkins

Chair of the Board, OpenText (Chair of the Board)
Canada

Abstract

An effective data architecture is essential to realizing the opportunities of AI within actuarial science.

Managing Environmental, Social and Governance (ESG) Factor Integration

Randy Bauslaugh

McCarthy Tétrault (Partner)
Canada

Abstract

Abstract/abstract_240.pdf

Inherited Heart Disorders: Implications for Life Insurance and Health Insurance

Angus Macdonald

Professor, Heriot-Watt University (Professor)
United Kingdom

Abstract

Genetic testing for inherited heart disorders (cardiomyopathies) is becoming widespread. In countries where genetic test results are admissible for insurance underwriting, genetic councellors are believed to advise clients to obtain life or health insurance before taking a genetic test for a suspected cardiomyopathy. Using Hypertrophic Cardiomyopathy (HCM) as an example, we consider the implications for insurance, especially as regards pre-existing conditions and diagnostic as opposed to predictive genetic testing.

Predicting Incidences of Acute Myocardial Infarctions: Are Big Data and Machine Learning Algorithms Useful for Predictive Models?

Noriyuki Kogo

Milliman (Actuarial Associate)
Japan

Abstract

Abstract/abstract_426.pdf

Development of Alternative Retirement Income Products in Australia – the Comprehensive Income Products for Retirement System

Tim Furlan

Russell Investments (Director, Superannuation)
Australia

Martin Stevenson

First State Super (Director)
Australia

Sustainable Old-Age Provision in Times of Falling Discount Rates and Rising Life Expectancy?

Richard Herrmann

Heubeck (Executive)
Germany

Optimal Portfolios under Possible Stress Scenarios

Ralf Korn

University of Kaiserslautern (Professor of Financial Mathematics)
Germany

Abstract

Abstract/abstract_69.pdf

Liability Driven Investments with a Link to Behavioral Finance

Markus Wahl

Technical University of Munich (PhD student)
Germany

Abstract

Abstract/abstract_169.pdf

Go Green – Changing Dynamics of the Investment Mandates

Shivam Singhania

Ernst & Young (Senior Consultant)
India

Abstract

Abstract/abstract_452.pdf

Population Structure and Asset Values

Kathleen Rybczynski

University of Waterloo (Associate Professor)
Canada

Abstract

Abstract/abstract_394.pdf

A Third Order Factor for Immunization: Implications Into Solvency II

J. Iñaki De La Peña

(University of the Basque Country)

Abstract

Abstract/abstract_303.pdf

Flood Risk Modelling: Methodology and Challenges

Hansjörg Albrecher

Professor of Actuarial Science at University of Lausanne (Professor of Actuarial Science)
Switzerland

Abstract

Floods are among the major natural hazards and suitable models for the respective risks are of particular importance for the management of natural disasters. In this talk we discuss various approaches towards modelling flood risk events together with the challenges that arise in practical implementations. Particular emphasis will be given on the choice of the underlying spatial and temporal dependence model, the modelling of extremes as well as on diversification possibilities for this type of risk. We illustrate the analysis with concrete case studies for European floods.

Contagion and Systemic Risk

Paul Glasserman

Jack R. Anderson Professor of Business, Columbia University (Jack R. Anderson Professor of Business)
USA

Chances of Advanced Data Requirements under Solvency II - In Context of Undertaking Specific Parameters (USP)

Marius Reitz

ROKOCO (Consultant)
Germany

Abstract

Abstract/abstract_480.pdf

Annual Press Conference 2018: How Feldafinger Brandkasse Applies Its Internal Model in Enterprise Risk Management

Peter Ackermann

Generali

Steve Brüske

HDI

Dorothea Diers

Provinzial NordWest (Head of Risk Management)
Germany

Björn Hille

HDI

Peter Müller

BaFin

Carsten Peters

Beltios

Abstract

Abstract/abstract_477.pdf

Issues of Group Solvency Calculations Based on the ICS 1.0

Mirko Kraft

Coburg University of Applied Sciences and Arts (Professor)
Germany

Abstract

Abstract/abstract_554.pdf

Individual Claims Reserving: Opportunity As a Challenge

Alexandre Boumezoued

Milliman (R&D Senior Consultant)
France

Laurent Devineau

Milliman
France

Abstract

Abstract/abstract_292.pdf

Prediction of the Amount of a Claim Using a Copula Model in Micro-Level Reserving

Olivier Lopez

Laboratoire de Statistique Theorique et Appliquee (Professor)
France

Abstract

Abstract/abstract_227.pdf

Modified Chain Ladder

Gisler Alois

ETH Zurich (Prof. Dr. em.)
Switzerland

Abstract

Abstract/abstract_335.pdf

Granular Loss Modelling with Copulae

Michal Pesta

Charles University (Assistant professor)
Czech Republic

Abstract

Abstract/abstract_437.pdf

Looking at Concentration and Composition in the Life Insurance Context

Josée Kaulich-Bartz

Manager of Experience Studies & Analytics , Swiss Re (Manager of Experience Studies & Analytics)
Switzerland

Walter Olbricht

Professor, University of Bayreuth (Professor)
Germany

Abstract

The talk introduces some of these techniques and tools and explores their potential for life insurance, as well as their limitations. The ideas are illustrated by small real-world examples drawn from the Swiss Re data monitoring pool ('Swiss Re Bestandsmonitoring') and recent Swiss Re studies on the insurability of HIV-positive people.

Modern Data Analytic Methods for the Prediction of German Disability Incidence Rates

Frank Schiller

Chief Actuary in Life and Health Reinsurance, Munich Re (Chief Actuary in life and health reinsurance)
Germany

Abstract

Therefore we apply several multivariate data analytic methods to predict German DI incidence rates. We compare these different methods and share some of the results and their application in product design and pricing or process design for UW and claims. For these applications a careful interpretation and validation by market experts and medical doctors is crucial.

Probability of Sufficiency of the Risk Margin for Life Companies under IFRS 17

Eric Dal Moro

SCOR (Head of Group P&C Reserving)
Switzerland

Igor Rudenko

SCOR
Russian Federation

Abstract

Abstract/abstract_165.pdf

Reserving for Life Insurance in a Low Interest Rate Environment - Additional Interest Provisions (Zinszusatzreserve)

Wolfgang Siegert

Allianz (Member of actuarial Research Unit)
Germany

Abstract

Abstract/abstract_252.pdf

The Evolution of Yield Curves in 2 Factor Hull White Models

Franziska Diez

Fraunhofer ITWM
Germany

Ralf Korn

University of Kaiserslautern (Professor of Financial Mathematics)
Germany

Abstract

Abstract/abstract_316.pdf

Maximum Technical Interest Rates in Life Insurance under Solvency II

Michael Pannenberg

HDI (Head of Actuarial Controlling)
Germany

Abstract

Abstract/abstract_439.pdf

Employer Accounting for Pensions: Insurance Accounting vs. Employer Accounting under IFRS

Andreas Johannleweling

KPMG (Head of Pension Assessment Group)
Germany

Abstract

Abstract/abstract_171.pdf

Valuation of Pension and Similar Obligations for the Purposes of a Corporate Transaction

Graham Pearce

Mercer (Partner)
Germany

Abstract

Abstract/abstract_309.pdf

Alternative Approaches for Unwinding the Discount - With Particular Focus on Determining Interest Cost under US-GAAP and IFRS

Alfred E. Gohdes

Rentenberatung Gohdes (CEO & Teaboy)
Germany

Abstract

Abstract/abstract_33.pdf

Interest Rates: In Search of a “New Normal”

Rolf Ketzler

German Insurance Association (Senior Economist)
Germany

Abstract

Abstract/abstract_569.pdf

A Markov-Chain-Type Approach for Pension Benefits

Rainer Berntzen

Gutachterbüro Karras (actuary)
Germany

Abstract

Abstract/abstract_90.pdf

The Retirement Income Frontier and Its Application in Constructing Investment Strategies at Retirement

John Anderson

Alexander Forbes (Portfolio Manager)
South Africa

Steven Empedocles

Sygnia Asset Management
South Africa

Abstract

Abstract/abstract_15.pdf

Personalizing ALM-Based Investment Strategies for Default DC Members

Brnic Van Wyk

QSuper (Head of Asset/Liability Management)
Australia

Abstract

Abstract/abstract_223.pdf

Interrelations Between Certain Regulatory Requirements, Investment Strategies and Security of Benefits in Occupational Pension Institutions (IORPs)

Stefan Nellshen

Bayer-Pensionskasse (Chief Executive Officer (CEO))
Germany

Abstract

Abstract/abstract_50.pdf

DC: Profiting Responsibly of Abandoning Guarantees - Risk-Bearing Investments in the Payout Phase: Method and Consequences

Ruud Smits

Aegon (Strategy analyst)
Netherlands

Abstract

Abstract/abstract_261.pdf

Big Data Analytics As an Opportunity for Fraud Management in the Insurance Sector

Oyugi Margaret Achieng

Resolution Insurance (Head of Actuarial)
Kenya

Abstract

Abstract/abstract_203.pdf

Estimation of Claim Amounts Using Bivariate Hidden Markov Models

A. Sevtap Kestel

Middle East Technical University (Professor)
Turkey

Abstract

Abstract/abstract_116.pdf

Big Data Analytics: Mining Your Catastrophe Claims Data for Competitive Advantage

Karen Clark

CEO, Karen Clark & Co. (CEO)
USA

Abstract

Advanced open loss modeling technology enables actuaries to take on a wider role in providing more credible information for pricing and underwriting catastrophe exposed lines of business. Actuaries can provide more actionable information to senior executives before, during, and after the events. This session will include actual examples of model customizations and how they resulted in more accurate catastrophe loss estimates and impacted the decision making process.

Life Long Learning in the IFoA

Chris Bristow

Institute and Faculty of Actuaries

Joanne Buckle

Milliman
United Kingdom

CPD in South Africa

Tobe Hope

Hollard Health
South Africa

Mickey Lowther

Actuaries Mickey Lowther (PRINCIPAL)
South Africa

Abstract

Abstract/abstract_73.pdf

CPD in Spain

Rafael Moreno Ruiz

Instituto de Actuarios Españoles

Discussion on CPD on an International Level

Macro-Prudential Surveillance beyond Banking: Recent Developments and Perspectives

Benjamin Weigert

Director General Financial Stability, Deutsche Bundesbank (Director General Financial Stability)
Germany

IAA Risk Book

Sam Gutterman

self-employed (retired consulting actuary)
United States

Eberhard Müller

riskmueller consulting (Founder and Managing Director)
Germany

Dave Sandberg

Allianz
United States

Stuart Wason

retired, former OSFI
Canada

Abstract

Abstract/abstract_260.pdf

Limit Systems under Solvency II

Michael Kluettgens

Willis Towers Watson
Germany

Klaus-Peter Nischke

Germany

Abstract

Abstract/abstract_74.pdf

An Analysis of the Solvency II Regulatory Framework’s Smith-Wilson Model for the Term Structure of Risk-Free Interest Rates

Peter Løchte Jørgensen

Aarhus University (Professor of Finance)
Denmark

Abstract

Abstract/abstract_128.pdf

Robust Evaluation of Solvency Capital Requirement for Participating Life Insurances under Solvency II

Donatien Hainaut

University of Louvain (Professor)
Belgium

Abstract

Abstract/abstract_127.pdf

Panel Discussion: 2 Years of Solvency II from a European Point of View

Thomas Béhar

AAE, Institut des Actuaires (Chief actuary)
France

Abstract

Abstract/abstract_332.pdf

Architecture of Internal Models

Tigran Kalberer

Milliman (NA)
Switzerland

Abstract

Abstract/abstract_233.pdf

Validation of Internal Models and Related Governance Aspects

Sandra Kurmann

Milliman (Consulting Actuary)
Switzerland

Abstract

Abstract/abstract_53.pdf

Economic IRR and Its Application

Naoki Sunamoto

Fukoku Mutual Life (Appointed Actuary and General Manager of Corporate Risk Management Department)
Japan

Abstract

Abstract/abstract_373.pdf

Temporal Clustering and Renewal Processes in Empirical and Modelled Data

Stefan Reimann

Swiss Re (Senior Risk Modeller)
Switzerland

Abstract

Abstract/abstract_323.pdf

Uncertainties: Traveling the bridge between actuarial practice and academia: some personal examples

Paul Embrechts

Professor of Insurance Mathematics, ETH Zurich (Professor of Insurance Mathematics)
Switzerland

Abstract

On October 7, 1994, within the Department of Mathematics of the ETH Zurich, we founded RiskLab in collaboration with the banking and insurance industry. A key premise was the notion of precompetitive research, i.e. research which is both relevant for the global financial industry as well as academically publishable. In this talk I will briefly sketch the establishment of such a bridge-building center and discuss successes and failures both from an organizational as well as from a research point of view. From what I learned from the establishment and running of RiskLab, I will give advice on possible future cross-disciplinary centers with related ambitions. One such center within the ETH Zurich is the in 2011 established ETH Risk Center. In contrast to RiskLab which was solely restricted to the Department of Mathematics, the Risk Center bundles about 20 professors from 8 different departments. The research topics treated also go beyond purely banking and insurance ones. A key aspect of my presentation will be the discussion of mainly actuarially relevant research topics treated within either RiskLab or the Risk Center. Examples may include the modeling of dependence within examples from insurance, finance and engineering, the modeling of catastrophic events, the analysis of business interruption scenarios and the challenges facing the financial industry in a changing technological environment. Towards the end of my talk I will make some comments on the teaching for and duties of future actuaries.

Uncertainties: Validating Risk Models Using PIT Values

Alexander McNeil

Professor of Actuarial Science, University of York (Professor of Actuarial Science)
United Kingdom

Abstract

In the final part of the talk we link backtesting approaches based on PIT values to the literature on comparative testing of forecASTINg procedures using concepts like elicitability and consistent or proper scaling roles. We show that the two approaches can reveal different deficiencies of risk models and thus provide complementary tools in the model validator’s armoury.

Back to the Future – Peer-To-Peer Start-Ups Rediscover the Roots of Insurance

Serhat Guven

Casualty Actuarial Society
United States

Abstract

Abstract/abstract_57.pdf

Evaluation Report of the ASTIN Working Party ANCRM

Magda Schiegl

University of Applied Sciences Landshut (Professor)
Germany

Abstract

Abstract/abstract_411.pdf

Will Asian Insurers Leapfrog the Global Insurance Industry?

Wesley Cui

Willis Towers Watson
China

Karsten Wantia

Willis Towers Watson (Director)
Germany

Abstract

Abstract/abstract_539.pdf

Decoding Machine Learning Algorithms

Tvisha Gupta

Ernst & Young (Consultant)
India

Prabakar Rajasekaran

Ernst & Young
India

Satraajeet Mukherjee

Ernst & Young

Abstract

Abstract/abstract_544.pdf

Pricing of Cyber Insurance Contracts in a Network Model

Matthias Fahrenwaldt

Heriot-Watt University

Stefan Weber

Leibniz University Hannover (Professor)
Germany

Kerstin Weske

Leibniz University of Hannover (PhD Candidate)
Germany

Abstract

Abstract/abstract_262.pdf

General Insurance Claims Modelling with Factor Collapsing and Bayesian Model Averaging

Sen Hu

University College Dublin

Abstract

Abstract/abstract_384.pdf

Protection Against Accumulating Casualty Loss and Earnings Volatility Using a Structured Forward-Looking Approach on Quantifying Policy Clash

Salomon Billeter

Swiss Re
Switzerland

Christian Wirtz

Swiss Re (Senior P&C Portfolio Manager)
United States

Abstract

Abstract/abstract_232.pdf

Randomly Indexed Central Order Statistics through Examples and Applications

Aneta Gacovska - Barandovska

Ss. Cyril and Methodius University, Skopje (Assistant professor)
Macedonia

Abstract

Abstract/abstract_604.pdf

A Universal Actuarial Model to Improve Health and Lower Costs

Ken Beckman

Central States Indemnity (Vice President and Actuary)
United States

Abstract

Abstract/abstract_188.pdf

Health Insurance and Prevention: Using Customer Behavior Study and Targeting in Order to Maximise the Effectiveness of Prevention Programs

Céline Blattner

ACTUARIS (Partner)
France

Jean-Louis Rulliere

ISFA / Lyon1 University
France

Abstract

Abstract/abstract_476.pdf

Forecasting the Role of Lifestyle Factors on Lifespan with Severe Disability: A Simulation Approach in Healthy 50+ Adults Driven from the French National Hospital Discharge Database 2008-2013

Quentin Guibert

Institut de Science Financière et d’Assurances
France

Frédéric Planchet

Institut de Science Financière et d’Assurances (Professeur)
France

Abstract

Abstract/abstract_363.pdf

Role of Medical Advances in Population Longevity Improvement - A Case Study on Statins

Lisanne Gitsels

University of East Anglia (Postdoc)
United Kingdom

Abstract

Abstract/abstract_538.pdf

On Cash Flows Dependent on Investment Returns in Life and Pension Insurance

Kristian Buchardt

PFA Pension (Head of Actuarial Risk Modelling)
Denmark

Thomas Møller

PFA Pension (Head of Actuarial Innovation and Modeling)
Denmark

Abstract

Abstract/abstract_510.pdf

Longevity Bond Pricing in Equilibrium

Petar Jevtic

Arizona State University (Assistant Professor)
United States

Abstract

Abstract/abstract_543.pdf

Unisex Tariffs: Equilibria Social Welfare and Implications

Jörn Sass

University of Kaiserslautern (Professor)
Germany

Abstract

Abstract/abstract_187.pdf

Empirical Bayes Credibility for the Classic Markov Chain Life Insurance Setting

Christian Furrer

University of Copenhagen / PFA Pension (Industrial PhD student)
Denmark

Abstract

Abstract/abstract_445.pdf

Friends with Benefits

Neil Parkin

RGA (Group Risk Actuary)
South Africa

Abstract

Abstract/abstract_308.pdf

Why Insurance Works Better with Some Adverse Selection

Pradip Tapadar

University of Kent (Senior Lecturer in Actuarial Science)
United Kingdom

Abstract

Abstract/abstract_349.pdf

A Semi-Markov Model with Pathologies for Long-Term Care Insurance

Guillaume Biessy

SCOR (R&D Actuary)
France

Abstract

Abstract/abstract_484.pdf

Geospatial Analysis of Survival Models Applied to Mortality and Lapse Risks in Life Insurance

Fabian Agudelo Avila

Natixis Assurances (Junior Actuarial Analyst)
France

Abstract

Abstract/abstract_509.pdf

DC in a DB Country

Heribert Karch

Managing Director, Metallrente (Managing Director)
Germany

Pure DC in Germany – Justification, Specification and Stakeholders’ Feedback

Stefan Oecking

Mercer (Partner)
Germany

Abstract

Abstract/abstract_198.pdf

Pure DC in Germany – How Does It Work?

Thomas Hagemann

Mercer (Chief Actuary Germany)
Germany

Georg Thurnes

Aon Hewitt
Germany

Abstract

Abstract/abstract_237.pdf

Pure DC in Germany - General Regulations and Implementation of Asset Management

Reiner Dietz

HQ Trust (Head of Institutional Business)
Germany

Abstract

Abstract/abstract_431.pdf

Comparison of New German Pure DC with DC Plans in Other Countries

Juergen Fodor

Willis Towers Watson (Senior Consultant & Actuary)
Germany

Abstract

Abstract/abstract_457.pdf

The Impact of Longevity and Investment Risk on a Portfolio of Life Insurance Liabilities

An Chen

Ulm University (Professor and Chair of the Institute of Insurance Science)
Germany

Abstract

Abstract/abstract_167.pdf

About Being Accurate for the Best Estimate: Product Designs for Participating Life Annuities

Sandy Bruszas

Goethe University Frankfurt
Germany

Raimond Maurer

Goethe University Frankfurt (Chair of Investment, Portfolio Management and Pension Finance)
Germany

Abstract

Abstract/abstract_104.pdf

Setting Up a New Corporate Pension Scheme with Sharing Risks: Japanese Case Study

Kosuke Yoshida

The Institute of Actuaries of Japan (Section Head)
Japan

Abstract

Abstract/abstract_421.pdf

Doubly Enhanced Annuities: A Potential Solution to the Annuity Puzzle

Colin Ramsay

University of Nebraska-Lincoln (Professor)
United States

Abstract

Abstract/abstract_546.pdf

Actuary 4.0

Peter Devlin

Deloitte (Partner)
Germany

Marcus Von Hermanni

Deloitte
Germany

Abstract

Abstract/abstract_51.pdf

The Frog in the Water - The Future of the Actuarial Profession

Jules Gribble

International Association of Insurance Supervisors (Senior Policy Advisor)
Switzerland

Lesley Traverso

Talent Insights (Director)
Australia

Abstract

Abstract/abstract_361.pdf

The Robots are Coming: The Future of the Actuary

Caroline Bennet

Deloitte
Australia

Darryl Wagner

Deloitte (Chairperson)
United States

Abstract

Abstract/abstract_383.pdf

Developing an IAA Younger Actuaries’ Toolkit

Chintan Gandhi

Aon Hewitt (Senior Consultant)
United Kingdom

Abstract

Abstract/abstract_488.pdf

Cyber Risk: Actuarial Economic Theory of Cyber Risk

Shaun Wang

Professor of Actuarial Science, Nanyang Technological University (Professor)
Singapore

Abstract

Cyber risk, and more broadly, data information security risk takes on increased importance in today’s digital economy. There are several challenges in quantification of cyber risks, which calls for new actuarial theories for cyber risks. Firstly, there is a convoluted relationship between threats (number of cyberattacks) and vulnerability (likelihood of weakness being exploited). Secondly, there is an interlocking relationship between firms’ cyber security spending and the required provision for the residual loss. Conceptually, the provision for the Annual Loss Expectancy can be viewed as the insurance premium for a full risk transfer, which depends on the level of information security investment. Thirdly, a firm’s information system has multiple data assets facing multiple areas of vulnerability, which need to be accounted for in optimal allocation of resources of cybersecurity investment. In this talk I present an actuarial economic theory, with mathematical equations for the combined effect of security investments in addressing cyber threats and vulnerability, from which one can derive the required provision for the residual Annual Loss Expectancy. I will discuss implications in cyber insurance product design, including the features of pre-breach prevention/mitigation and post-breach response. I will also discuss the externality effects of cybersecurity investment and the need for private-sector collective actions.

Information Security

Stephan Gerhager

Chief Information Security Officer, Allianz (not yet confirmed) (Chief Information Security Officer)
Germany

Stochastic Interest Rate Models in Valuation

Ingo Kraus

ERGO (Head of Asset Modelling (Risk Management))
Germany

Abstract

Abstract/abstract_246.pdf

Model Calibration Using Overlapping Data

Stuart Jarvis

BlackRock (Managing Director)
United Kingdom

Abstract

Abstract/abstract_319.pdf

Applying Neural Nets to Interest Rate Forecasting

Anna Knezevic

M&A Solutions (Director)
Hong Kong

Matthew Lightwood

Conning & Co.
Germany

Abstract

Abstract/abstract_226.pdf

Predicting Long-Term Asset Returns Using Demographic Data

Jaideep Oberoi

University of Kent (Lecturer in Finance)
United Kingdom

Abstract

Abstract/abstract_236.pdf

Algorthmic Differentiation: The Silver Bullet to Overcome the Post Solvency II Challenge

Sven Ludwig

FIS (Managing Director, Head of SME Risk Management and Analytics EMEA)
Germany

Abstract

Abstract/abstract_270.pdf

A Statistical Perspective on Catastrophe Models

Mathias Raschke

R+V (Senior NatCat Modeller (Risk Engineer))
Germany

Abstract

Abstract/abstract_291.pdf

Climate Change and Mortality

Sam Gutterman

self-employed (retired consulting actuary)
United States

Abstract

Abstract/abstract_338.pdf

Actuaries Climate Index and SOA Climate Research

Dale Hall

Society of Actuaries (Managing Director of Research)
United States

Abstract

Abstract/abstract_564.pdf

Modelling the Frequency and Severity of Cyber Incidents

Christos Mitas

Risk Management Solutions (VP of Model Development)
United Kingdom

Abstract

Abstract/abstract_340.pdf

Insurability of Non-Life Risks

Maria Heep-Altiner

TH Köln - University of Applied Sciences (Professor)
Germany

Abstract

Abstract/abstract_105.pdf

Actuarial and Risk Communication: An Introduction on How to Better Interact with Your Business Partners

Caroline Grégoire

CG4 Coaching

Abstract

Abstract/abstract_607.pdf

The Determination of Optimal Prices for Insurance Products

Holger Theismann

Helvetia (Head of non-life actuarial department)
Germany

Abstract

Abstract/abstract_258.pdf

Technology Changes - and How the Work of Actuaries is Becoming Even More Critical to the Insurance Industry

Jürgen Huschens

Industry Technical Leader, IBM (Industry Technical Leader)
Germany

Abstract

The world and options of technology is developing at an increasing speed. While topic areas like Big Data or Real-time Analytics are starting to be digested by the Insurance Industry, new technology topics like IoT, Blockchain, Robotics or Cognitive Computing are making pathways into widespread, pervasive usage. The author will provide patterns describing how these technology options are supporting the transformation of many Insurance companies from the classical “covered risk”-perspective of their product portfolio into service providers (“care takers”) addressing the underlying life situation of the customers in a (more) holistic way. The presentation will contain many illustrating real life examples how this shift may look like and why this solves real problems for the persons affected, the companies involved and the Insurance company taking care of a specific problem area. These examples will, by nature, be crossing the lines of the classical separation of life, health, P&C as the real life situation of humans are very likely to ignore these classifications. From a mathematical point of view this extension will be accompanied by the necessity for models that can be used not only to predict hazardous constellations, but also give ”optimal” (in whatever sense) advice and resulting actions how to finally avoid this. The development of these models together with the interference with the Risk models, the models predicting customer behavior or the operational models needed to handle individual, contextual support actions will be the next frontier of actuaries and mathematicians (models composed from sub-models).

An Overview of Enhanced Statistical Models Used in Healthcare Analysis with a Focus on Providers

Fabian Winter

Head of Health Analytics, Munich Re (Head of Health Analytics)
Germany

Abstract

Advanced Statistical analyses can enhance traditional actuarial methods to highlight trends and behaviours which can be crucial to the running of a healthcare portfolio. This presentation outlines current new thinking in methodology with practical examples.

Predicting the Occurrence and Progression of Illnesses in Individuals

Daniela Rode

RISK-CONSULTING Prof. Dr. Weyer (Managing Director)
Germany

Abstract

Abstract/abstract_42.pdf

Pension Saving Decision Making under Lifetime and Investment Uncertainty

Mogens Steffensen

Professor of Life Insurance Mathematics, University of Copenhagen (Professor of Life Insurance Mathematics, University of Copenhagen)
Denmark

Abstract

We discuss the design of pension products. The theoretical context is decision making under uncertainty with notions of preferences like risk aversion, habit formation, and resolution of uncertainty. The practical questions we address concern guaranteed benefits, smoothing of investment returns and...would you actually like to know when you are going to die?

GAUSS Prize Lecture of DAV and DGVFM

tba

Review of the German Annuity Table - Mathematical Methods and Actuarial Considerations

Franziska Foellmer

ERGO (Actuary)
Germany

Johannes Lörper

DAV (Vorstandsmitglied)
Germany

Abstract

Abstract/abstract_151.pdf

Latest in SOA Mortality Research

Dale Hall

Society of Actuaries (Managing Director of Research)
United States

Cynthia Macdonald

Society of Actuaries (Senior Experience Studies Actuary)
United States

Abstract

Abstract/abstract_596.pdf

Is the Party Over for Mortality Improvements?

Paul Murray

Swiss Re (Chief Pricing Officer)
United Kingdom

Abstract

Abstract/abstract_131.pdf

Home Equity Release for UK Seniors: A Twenty-First Century Product Design

Douglas Andrews

University of Waterloo (Adjunct Professor)
Canada

Abstract

Abstract/abstract_126.pdf

Assessing the Sustainability of the Canada Pension Plan through Actuarial Balance Sheets

Jean-Claude Ménard

OSFI (Chief Actuary)
Canada

Abstract

Abstract/abstract_388.pdf

Risk Index

Christian Heiniger

Willis Towers Watson (Director Retirement Solutions)
Switzerland

Alexandre Allegrezza

Willis Towers Watson
Switzerland

Abstract

Abstract/abstract_450.pdf

Risk Sharing for Public Pension Schemes Based on an Adapted Notional Defined Contribution System

Hélène Morsomme

University of Louvain (PhD student)
Belgium

Abstract

Abstract/abstract_310.pdf

A Study of Whole Life Annuity in Japan Utilizing "Risk-Sharing Corporate Pension"

Satoshi Fukumoto

Nippon Life (Manager)
Japan

Abstract

Abstract/abstract_443.pdf

An International Look at Recent Trends in Longevity – Where and Why is Life Expectancy No Longer Increasing and What Impact Might Recent Longevity Trends Have?

Brian Ridsdale

IAA Mortality Working Group (Chairman)
United Kingdom

Adrian Gallop

UK GAD

Abstract

Abstract/abstract_149.pdf

Mortality Development in Pensions – Data Basis, Models and Results in UK and Germany

Richard Herrmann

Heubeck (Executive)
Germany

Cathy Love Soper

Barnett Waddingham
United Kingdom

Abstract

Abstract/abstract_474.pdf

Development of Mortality Tables Covering Multinational Populations — The Case of the UN Pension Fund

Stuart Schulman

Conduent HR Services (Principal and Consulting Actuary)
United States

Abstract

Abstract/abstract_370.pdf

Unraveling Relevant Risk Factors Explaining Pension Fund Mortality: A Case Study in the Netherlands

Frank van Berkum

University of Amsterdam (PhD student)
Netherlands

Abstract

Abstract/abstract_283.pdf

Improving Actuarial Communication

Zachary Brown

Milliman (Principal &Portfolio Manager)
United States

Abstract

Abstract/abstract_372.pdf

A Toolbox for a Professional Communication with Non-Actuaries

Matthias Bonikowski

{m}bonikowski (Self-employeed)
Germany

Abstract

Abstract/abstract_337.pdf

The Actuary in the Courts

Ignacio del Barco Martinez

CPPS (GENERAL DIRECTOR)
Spain

Abstract

Abstract/abstract_503.pdf

Outsourcing Actuarial Functions – Do´s and Don‘t’s

Dieter Köhnlein

Roever Broenner Susat Mazars

Michael Tripp

Mazars
United Kingdom

Abstract

Abstract/abstract_600.pdf

Mortality Tables Update Through Multi-Population Models. Application to Longevity Risk Transfer and Shock Computation

Naoufal El Bekri

Institute des Actuaires

Abstract

Abstract/abstract_331.pdf

Index-Based Solutions to Protect Income in the Agriculture & Agri-Food Industry - The Case of France

Victor Bouton

Institute des Actuaires

Agricultural Insurance and Financial Arbitrage with Satellite Images

Pierrick Piette

Institute des Actuaires

Modelling of Drought-Induced Subsidence and Consequential Building Damages in France

Jana Friederike Schulte

Institute des Actuaires

People are No Numbers, But Numbers Can Describe People

Dirk Jonker

Crunchr (Managing Director)
Netherlands

Abstract

Dirk Jonker, Dutch Actuary of the year, shares his personal story of how he transformed from a classical retirement actuary into a data science entrepreneur to solve big people puzzles for companies. Get inspired with tons of visual examples and see how you can be relevant (and needed) in a context far beyond pension and insurances.

Johan de Witt-Prize

tba

Assessing the Economic Impact of Longevity Hedges

Andrew Cairns

Heriot-Watt University (Professor)
United Kingdom

Abstract

Abstract/abstract_483.pdf

A Class of Random Field Memory Models for Mortality Forecasting

Yahia Salhi

Claude Bernard Lyon 1 University (Assistant Professor)
France

Abstract

Abstract/abstract_88.pdf

The Implications of Mortality Heterogeneity on Longevity Sharing Retirement Income Products

Andrés Villegas

UNSW Sydney (Lecturer)
Australia

Abstract

Abstract/abstract_425.pdf

Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing

Jonathan Ziveyi

UNSW Sydney (Senior Lecturer)
Australia

Abstract

Abstract/abstract_516.pdf

Conditions of Interest of a Longevity Megafund for Pension Funds

Edouard Debonneuil

Institut de Science Financière et d’Assurances
France

Frédéric Planchet

Institut de Science Financière et d’Assurances (Professeur)
France

Abstract

Abstract/abstract_561.pdf

The European Actuarial Journal

Ralf Korn

University of Kaiserslautern (Professor of Financial Mathematics)
Germany

Perspectives on Bridging Actuarial Theory and Practice

Hansjörg Albrecher

Professor of Actuarial Science at University of Lausanne (Professor of Actuarial Science)
Switzerland

Abstract

angefragt

Neural Networks Applied to Chain-Ladder Reserving

Mario V. Wüthrich

ETH Zurich

Abstract

Abstract/abstract_39.pdf

Scenario-Based Capital Requirements for the Interest Rate Risk of Insurance Companies

Sebastian Schlütter

University of Applied Sciences Mainz (Professor of Quantitative Methods)
Germany

Abstract

Abstract/abstract_155.pdf

Potential Macroprudential Instruments in Insurance Supervision to Address Systemic Risk - State of the Regulatory Discussion in the IAIS and EIOPA -

Stefan Andresen

Federal Financial Supervisory Authority, BaFin
Germany

Johannes Bartels

Insurance and Pension Funds Supervision, Federal Financial Supervisory Authority, BaFin
Germany

Abstract

Abstract/abstract_423.pdf

Impact of Solvency II on Governance Structures and Business Strategy: Experiences and Outlook

Oliver Faulhaber

SV SparkassenVersicherung (Head of Risikomanagement and Compliance)
Germany

Abstract

Abstract/abstract_145.pdf

Earthquake Catastrophe Risk Management

Gayane Arsenyan

Central Bank of Armenia (Supervisor Actuary)
Armenia

Armen Vardanyan

Central Bank of Armenia
Armenia

Abstract

Abstract/abstract_418.pdf

Preparing Financial Regulation for the Next Crises

Eckhard Platen

University of Technology Sydney (Professor)
Australia

Abstract

Abstract/abstract_299.pdf

Multi-Year Analysis of Solvency Capital in Life Insurance

Karen Tanja Rödel

Ulm University

Abstract

Abstract/abstract_417.pdf

Risk Analysis of Annuity Conversion Options with a Special Focus on Decomposing Risk

Alexander Kling

Institute for Finance and Actuarial Sciences, ifa Ulm
Germany

Katja Schilling

Allianz (Consultant)
Germany

Abstract

Abstract/abstract_505.pdf

An Evaluation of Withdrawal Benefi ts in Variable Annuities via Machine Learning

Hongjun Ha

Saint Joseph’s University, Philadelphia

Abstract

Abstract/abstract_339.pdf

The Life Cycle Model with Recursive Utility: Defined Benefit vs. Defined Contribution

Knut Kristian Aase

Norwegian School of Economics (Professor)
Norway

Abstract

Abstract/abstract_111.pdf

Modelling Clusters of Extremes

Abstract

Abstract/abstract_378.pdf

Advanced Modelling for Flood Insurance in Europe

Abstract

Abstract/abstract_314.pdf

NatCat Modelling

Yörn Tatge

AIR Worldwide (Senior Vice President and Managing Director)
Germany

Machine Learning Vs Actuarial Methods In Claim Prediction

Friedrich Loser

Techniker Krankenkasse (resposible actuary and data scientist)
Germany

Abstract

Abstract/abstract_24.pdf

Fatal Shock Models in Large Dimensions

Matthias Scherer

Technical University of Munich (Prof.)
Germany

Abstract

Abstract/abstract_56.pdf

Fuzzy Demographic Robust Analysis Using Fuzzy Regression Clustering – A Case on the Impact of Demographic Factors on Stock Market in Canada

Soheyl Sadinejad (Sadi-Nezhad)

University of Waterloo (Post-doctoral fellow)
Canada

Abstract

Abstract/abstract_414.pdf

Actuarial Challenges in an Insurtec

Dieter Kiesenbauer

FRI:DAY (Chief Underwriting Officer)
Germany

Abstract

Abstract/abstract_558.pdf

Medical Inflation and Health Insurance

J.-Matthias von der Schulenburg

Director, Institute for Risk and Insurance at University of Hannover (Director)
Germany

Abstract

It is a well-known phenomenon that the costs for health care have increased much more than the GDP or the general inflation rate. One component of the health care cost increase is medical inflation. Obviously, medical inflation is an important factor for calculating premiums and trends in health insurance. But what is medical inflation? And what do we know about it? There is quite a large number of publications on medical inflation. However, serious empirical research on medical inflation is rare. The presentation describes the various definitions of medical inflation, presents an international comparison and tries a prediction on medical inflation in future.

The Medicalization Hypothesis, Drug Related Expenses and the Demographic Change

Christian O. Jacke

Scientific Institute of the Private Health Insurance

Frank Wild

Scientific Institute of the Private Health Insurance (Director)
Germany

Abstract

The drug related consumption and expenses continue to increase every year. This is particularly true for private insurances (PKV) which reimburse pharmaceutical innovations. In comparison to the compulsory sickness insurance, only a small number of regulations allow to reduce prices. This PKV characteristic may be beneficial for the assured person and the physician because therapy planning and personalized drug selection occurs independently from budget restraints. However, medical treatment of high quality is challenged especially in the case of chronical diseases. The aim of study is to estimate drug related expenses by age and sex for the present and the future.

Predicting Survival of Patients in Hospice Using Time-Dependent Survival Models

Ian Duncan

University of California Santa Barbara (Professor)
United States

Abstract

Abstract/abstract_113.pdf

Securities Lending in Insurance

Enrico Biffis

IAssociate Professor of Actuarial Finance, Imperial College Business School London (Associate Professor of Actuarial Finance)
United Kingdom

Abstract

In this talk I will provide a cross sectoral overview of securities lending, and then focus more explicitly on the insurance space, as well as discuss the perspective of regulators addressing the issue of systemic risk contribution via an activities based approach. I will then outline a portfolio model to illustrate the main trade-offs at play when designing and managing securities lending programs, demonstrating in turn how a holistic, risk based approach can provide a good representation of the risk profile of such activities. Finally, I will explore how a Solvency II – type framework may be used to understand the main risks channeled by securities lending operations.

Different Benefit Triggers and their Impact on Long-Term Care Life Insurances

Thorsten Hiester

Senior Actuarial Analyst, Allianz (Senior actuarial analyst)
Germany

Abstract

After a brief summary of some background information, the relevant mathematical steps are presented which have been applied to convert the previous incidence and mortality rates for “care levels” to those for “care degrees”. Finally, we discuss the risk of undergoing the need for care bearing in mind the longevity risk.

United Nations Joint Staff Pension Fund

Carolyn Kaiser

United Nations Joint Staff Pension Fund (Chief, Risk Management and Techincal Services Unit)
United States

Denis Latulippe

Laval University Québec and Chairman of the Committee of Actuaries of the United Nations Joint Staff Pensions Fund
Canada

Abstract

The United Nations Joint Staff Pension Fund (UNJSPF) is a 60+ year old defined benefit plan providing retirement, disability, and death benefits to over 120,000 staff members of the United Nations and 23 other international organizations. The Fund pays benefits to over 72,000 retires and beneficiaries in over 190 countries in 15 different currencies. Assets are close to 60 billion $US. This paper provides background on the UNJSPF, focusing on the singular aspects of its governance, plan design, and actuarial and funding approach. The governance of the UNJSPF is bifurcated with assets and liabilities managed separately with technical coordination through asset liability management studies. The United Nations General Assembly has ultimate responsibility for the UNJSPF but has created a tripartite Pension Board and a secretariat to administer the Fund. Assets are managed mostly internally, under the responsibility of the United Nations Secretary-General. Key provisions of the UNJSPF consist of a benefit formula based on final average remuneration and service, with some variants regarding accrual rates, retirement age and payout options. In particular, the Fund has a unique two track system which allows retirees to receive benefits in local currency but comparing the value of their original benefit established in US dollars. The UNJSPF actuarial approach includes establishing its own actuarial assumptions, long-term open group funding method and sophisticated approach to determining the value of its two track system. There is an objective of maintaining constant the contribution rate. Finally, a Committee of Actuaries, as well as an Investment Committee and an Audit Committee are involved to assist the stakeholders.

Panel Discussion

Peter Devlin

Deloitte (Partner)
Germany

Gurvan Le Guern

European Patent Office (HR Director Compensation & Benefits)
Germany

Alfred E. Gohdes

Rentenberatung Gohdes (CEO & Teaboy)
Germany

Abstract

Abstract/abstract_52.pdf

Low Investment Returns and the Expected Impact on Retirement Savings – How the Low Investment Return Expectations Impact the Retirement Savings Planning

Alfred E. Gohdes

Rentenberatung Gohdes (CEO & Teaboy)
Germany

Abstract

Abstract/abstract_60.pdf

Pension Splitting on Break-Down of Marriage-Like Relationships

Korbinian Meindl

Neuburger & Partner

Abstract

Abstract/abstract_182.pdf

Defined Benefit Pension Plan Funding and the Role of Actuaries

Charles Cowling

JLT Employee Benefits (Director)
United Kingdom

Abstract

Abstract/abstract_41.pdf

Target Benefits – A Bold Innovation in Pension Plan Design

Randy Bauslaugh

McCarthy Tétrault (Partner)
Canada

Abstract

Abstract/abstract_241.pdf

Ethics, Standards and Regulations - Where Are We Heading?

Hillevi Mannonen

AAE Standards Project
Finland

Godfrey Perrott

IAA Actuarial Standards Committee
United States

Working Alone in Non-Standard Areas Away from your Home Country - What Does ‘Professionalism’ Mean in Practice ?

Simon Brimblecombe

International Social Security Association (Head Research)
Switzerland

Abstract

Abstract/abstract_101.pdf

Serving the Public through Self-Regulation in the United States

Cecil Bykerk

American Academy of Actuaries (Past President and Member, Council on Professionalism)
United States

Abstract

Abstract/abstract_204.pdf

Modernizing Actuarial Education: Recent International Developments

Andrew Gladwin

Old Mutual (Finance Actuary)
South Africa

Abstract

The global actuarial profession is now going through a period of significant change regarding actuarial education. This has been prompted by a number of actuarial professional associations around the world acknowledging that the world has changed, and what will be needed from the actuarial profession is also changing very fast. At a global level, this has been led by the Syllabus Review Task Force of the International Actuarial Association (IAA). This Task Force has come up with a new global actuarial syllabus setting out a minimum standard which the Task Force believes is needed to be an effective actuary in the 2020s. This new global syllabus has recently been adopted officially by the IAA, and is already influencing changes taking place in the syllabuses of many actuarial associations around the world. Some of these changes including the incorporation of the mathematical techniques and professional impacts of the big data revolution, as well as more focus on the delivery skills of an actuary, including communication and professionalism. There is also a focus on defining the depth of knowledge and thinking skills required for each part of the syllabus to help define more clearly the competencies needed for an actuary. All of this will also allow the actuary to operate in an increasing range of roles and industries, using a powerful technical toolkit backed with the professional promise.

The Certified Actuarial Analyst Qualification

Clifford Friend

Institute and Faculty of Actuaries

The New AAE Syllabus for Actuarial Qualification

tba

Future of Mobility: Forecast on future developments

Alexander Sixt

Member of the Executive Board (CAO), Sixt SE (Member of the Executive Board (CAO))
Germany

Future of Mobility: Consequences for Insurance Industry

Frank Sommerfeld

Member of the Board of Management, Allianz (Member of the Board of Management)
Germany

Moderation

Expectiles, Omega Ratios and Stochastic Dominance

Alfred Müller

University of Siegen

Abstract

Abstract/abstract_156.pdf

Solutions to Biometric, Mortality and Longevity Risks

Stéphane Loisel

Professor at ISFA, Lyon 1 University (Professor at ISFA)
France

Abstract

In this talk, we present challenges related to understanding, modelling, hedging and monitoring longevity risk. We first describe longevity risk and its potential consequences for the insurance and pension industry. We then describe how to model longevity risk and uncertainty in presence of very heterogeneous demographers viewpoints. In particular we introduce population dynamics approach to longevity modelling. We present partial hedging solutions and the associated basis risk. We conclude with operational monitoring solutions. Numerical illustrations are given based on simulations and real world insurance portfolios.

Managing Risk and Uncertainty at Munich Re

Bernhard Kaufmann

Group Chief Risk Officer, Munich Re (Group Chief Risk Officer)
Germany

Consistent Yield Curve Prediction

Josef Teichmann

ETH Zurich (Professor)
Switzerland

Mario V. Wüthrich

ETH Zurich

Behavioral Characteristics of a Unique Group of Individuals

Loïc Berger

IÉSEG School of Management

Part of the Problem or Part of the Solution – Are Actuaries Carbon Neutral?

Esko Kivisaari

IAA Big Data Working Group (Deputy Managing Director)
Finland

Abstract

Abstract/abstract_86.pdf

Adverse Selection in Secondary Insurance Markets: Evidence from the Life Settlement Market

Jochen Russ

Institute for Finance and Actuarial Sciences, ifa Ulm (Managing Partner)
Germany

Abstract

Abstract/abstract_62.pdf

As You Like It: Explaining the Demand for Life-Cycle Funds with Multi Cumulative Prospect Theory

Stefan Schelling

Ulm University (PhD Candidate)
Germany

Abstract

Abstract/abstract_322.pdf

Financial Literacy and Demand of Life Insurance Across Europe

Christiana Sintou

University of Glasgow (PhD researcher)
United Kingdom

Abstract

Abstract/abstract_532.pdf

Why the Deferred Annuity Makes Sense

Anran Chen

Cass Business School (PhD)
United Kingdom

Abstract

Abstract/abstract_346.pdf

A Generalized Loss Ratio Method Dealing with Uncertain Volume Measures

Ulrich Riegel

Munich Re (Senior Actuary)
Germany

Abstract

Abstract/abstract_130.pdf

Valuation of Non-Life Liabilities from Claims Triangles

Mathias Lindholm

Stockholm University (Senior lecturer)
Sweden

Abstract

Abstract/abstract_194.pdf

Reserving 4.0 – A Vision of Real-Time Reserving

Marcel Wiedemann

Esslingen University of Applied Sciences (Professor)
Germany

Abstract

Abstract/abstract_214.pdf

Capital Relief Criteria Derivation for Comparing the Economic Efficiency of Reinsurance Risk Transfer Instruments

Guillaume Ominetti

SCOR
France

Benjamin Schannes

Mercer (Head of R&D)
France

Abstract

Abstract/abstract_489.pdf

Integrating Core Non-Life Actuarial Activities By Incorporating Individual Policy Risk

Yoeri Arnoldus

Deloitte (Director)
Netherlands

Jurjen Boog

Deloitte (Manager)
Netherlands

Abstract

Abstract/abstract_428.pdf

Application of Classical Reserving Techniques Alongside Machine Learning Algorithms and Big Data

Kajal Mittal

Ernst & Young
India

Satraajeet Mukherjee

Ernst & Young

Anushree Vijayaraghavan

Ernst & Young
India

Abstract

Abstract/abstract_438.pdf

Excess Frequency Fitting for Long Tailed Risks

Markus Knecht

Exin Re (Actuary)
Switzerland

Abstract

Abstract/abstract_552.pdf

ASTIN General Meeting and Closing Ceremony

Optional Covers in German Public Health Insurance

Hanno Reich

Head of the life and health actuarial practice, KPMG (Head of the life and health actuarial practice)
Germany

Abstract

The German legislator has introduced optional covers in German Public Health Insurance in 2007. In my presentation I will explain the background of this decision, the different products which were introduced in the market and details of the regulatory environment. I will describe the pricing of such products which requires particular methods that are not commonly used in health insurance. The final part of the talk will deal with the performance of the products in the market, their profitability and the impact on the claims cost of the health insurers.

Approaches to Capital Requirements in Health Insurance

Hanno Reich

Head of the life and health actuarial practice, KPMG (Head of the life and health actuarial practice)
Germany

Abstract

angefragt

Results of the 3rd High Cost Claims Analysis of Phi in Germany

Jürgen Fischer

Munich Re (Client Manager)
Germany

Abstract

Abstract/abstract_44.pdf

Alternative Funding Models for High Cost Health Technologies

Didier Serre

Milliman (Actuarial Associate)
United Kingdom

Joanne Buckle

Milliman
United Kingdom

Abstract

Abstract/abstract_296.pdf

Future Diagnostics – What Impacts Will Liquid Biopsy and Other Imaging Techniques Have on the Sustainability of Living Benefit Products? Is a Fundamental Rethink Required?

Natalie Kelly

Swiss Re (Senior Products Actuary)
United Kingdom

Lawrence Tsui

Swiss Re
Hong Kong

Abstract

Abstract/abstract_133.pdf

Genomics, Personalized Medicine and Insurance

Emile Stipp

Chief Health Actuary, Discovery (Chief Health Actuary)
South Africa

Super-Healthy Lives: Implications for Mortality Rating and Longevity Improvements

Tim Crayford

Just
United Kingdom

Matthew Edwards

Willis Towers Watson (Senior Consultant)
United Kingdom

Abstract

Abstract/abstract_376.pdf

Validation and Estimation of Actuarial Assumptions in Life and Health Insurance

Jonas Hirz

BELTIOS (Senior Consultant)
Austria

Abstract

Abstract/abstract_160.pdf

Genetics and Life Insurance

Jessica Chen

Westpac Banking Corporation (Director of Insurance, Finance)
Australia

Damjan Vukcevic

University of Melbourne (Lecturer in Statistical Genomics)
Australia

Abstract

Abstract/abstract_442.pdf

The Importance of Genetics on Mortality and Morbidity Risk in the Presence of Detailed Health and Lifestyle Data - A Study Based on Half a Million Lives in the UK Biobank Cohort.

Peter Banthorpe

RGA (Head of Global R&D)
United Kingdom

Cathryn Lewis

King's College London
United Kingdom

Abstract

Abstract/abstract_28.pdf

Long Term Drivers of Future Mortality

Allen Klein

Milliman (Principal and Consulting Actuary)
United States

Abstract

Abstract/abstract_55.pdf

On the Integration of Deterministic Opinions into Mortality Projection Models.

Viani A. Djeundje Biatat

University of Edinburgh (Senior Research Fellow)
United Kingdom

Abstract

Abstract/abstract_245.pdf

Stochastic Mortality in a Levy Process Framework and Application to Longevity Products

Pierre Devolder

Catholic University of Louvain (PROFESSOR)
Belgium

Abstract

Abstract/abstract_290.pdf

How Big an Impact Does Socio-economic Status have on Cause of Death Rates?

Andrew Cairns

Heriot-Watt University (Professor)
United Kingdom

Abstract

Abstract/abstract_494.pdf

Hedging Retirement Longevity: Tontines Vs. Annuities

Moshe Milevsky

York University (Professor of Finance)
Canada

Abstract

Abstract/abstract_38.pdf

The Impact of Risk Classification in Life & Pension under Solvency II: An Analysis of Underwriting Risk Underwriting Costs and Classification Systems

Alexander Bohnert

University of Erlangen-Nuremberg (Postdoctoral Researcher)
Germany

Abstract

Abstract/abstract_97.pdf

Biometric Risks in Pension Block Portefeuilles

Sven Wiesinger

Hannover Re (Actuary)
Germany

Andrea Staehr

Hannover Re
Germany

Abstract

Abstract/abstract_119.pdf

Examining Pension Plan Risk in an Economic Capital Framework

Douglas Andrews

University of Waterloo (Adjunct Professor)
Canada

Pradip Tapadar

University of Kent (Senior Lecturer in Actuarial Science)
United Kingdom

Abstract

Abstract/abstract_395.pdf

Using the World Bank Criteria to Assess Six Countries’ Pension Systems

Carmen Boado Penas

University of Liverpool (Senior lecturer in Actuarial Mathematics)
United Kingdom

Adam Poulson

Barnett Waddington
United Kingdom

Radhika Ravi

Wilis Towers Watson
United Kingdom

Amrit Summan

Moodys
United Kingdom

Abstract

Abstract/abstract_275.pdf

Resetting the Age of Eligibility for Social Security

Shantel Aris

University of Waterloo

Abstract

Abstract/abstract_35.pdf

What Are the Effects of Population Aging on the Pension Systems in Brazil Spain and France?

Luis Eduardo Afonso

University of São Paulo (Associate Professor)
Brazil

Abstract

Abstract/abstract_205.pdf

Determination of Retirement and Eligibility Ages: Actuarial, Social and Economic Impacts

Assia Billig

IAA Population Issues Working Group (Chair)
Canada

Abstract

Abstract/abstract_264.pdf

History of Economic Scenario Generators

Parit Jakhria

Prudential (Head of Long Term Investment Strategy)
United Kingdom

Abstract

Abstract/abstract_329.pdf

The FSB’s Recommendations for Financial Disclosure of Climate Risk

Kenneth Donaldson

IAA (Chair of Resource and Environment Working Group)
United Kingdom

Abstract

Abstract/abstract_471.pdf

Actuarial Data Science Versus Data Protection – Update Against the Background of the General Data Protection Regulation

Stefan Nörtemann

msg life central europe

Abstract

Abstract/abstract_148.pdf

Blockchain – A New Technology with High Impact on Insurance?

Mathias Ott

HBA-Consulting (CEO)
Germany

Abstract

Abstract/abstract_147.pdf

IBNR Robot - An Actuarial Application on Artificial Intelligence

Shu Yi Lim

Nicholas Actuarial Solutions (Partner)
Malaysia

Nicholas Chee Lek Yeo

Nicholas Actuarial Solutions
Malaysia

Abstract

Abstract/abstract_344.pdf

Multi-Year Non-Life Insurance Risk – A Case Study

Marc Linde

BELTIOS
Germany

Lukas Hahn

University of Ulm, Institute for Finance and Actuarial Sciences, ifa Ulm (PhD-Candidate and Consultant)
Germany

Abstract

Abstract/abstract_354.pdf

Marine Insurance Trends - Challenges and Opportunities for Actuaries

Astrid Seltmann

The Nordic Association of Marine Insurers (Cefor) (Analyst/Actuary)
Norway

Abstract

Abstract/abstract_461.pdf

Analysing the Disconnect Between the Reinsurance Submission and Global Underwriters’ Needs

John Buchanan

Verisk / ISO (Managing Principal)
United States

Ana Mata

MatBlas
United Kingdom

Abstract

Abstract/abstract_298.pdf

Pre-Funding Healthcare Benefits after Retirement

Ibrahim Muhanna

i.e. Muhanna & Co (Managing Director)
Lebanon

Abstract

Abstract/abstract_293.pdf

An Analytical Framework for Medical Trends and Potential Mitigations

Stephen Bishop

Head of the Health Corporate Underwriting Department, Munich Re (Head of the Health Corporate Underwriting department)
Germany

Abstract

ForecASTINg Medical Trends remains one of the most significant components of healthcare pricing. This presentation analyses the sources of trend from utilisation effects to provider behaviour, and in addition summarises commonly used methods to control future trends.

Health Actuaries and Big Data

Ian Duncan

University of California Santa Barbara (Professor)
United States

Abstract

Abstract/abstract_282.pdf

Application of Machine Learning in Health Insurance to Reduce Claims Leakage and Improve Underwriting

Kajal Mittal

Ernst & Young
India

Satraajeet Mukherjee

Ernst & Young

Abstract

Abstract/abstract_534.pdf

Capital Funding Versus Pay-As-You-Go in Long Term Care Financing

Christine Arentz

Scientific Institute of Private Health Insurance Association

Frank Wild

Scientific Institute of the Private Health Insurance (Director)
Germany

Abstract

In Germany, long-term care insurance has been introduced as a pay-as-you go (PAYG) financing scheme in 1995. This system is however not sustainable with demographic change leading to a growing number of very old people (beneficiaries) and a shrinking share of young people financing long-term care insurance. These demographic developments result in either rising contributions (as we have witnessed in the last years) or in rationing insurance benefits. To see how a capital funded system would have coped with demographic change, we will simulate the premium path that would have emerged if the long-term care insurance had been introduced as a capital funded system for the whole German population in 1995. We will use the calculation model of the private mandatory long-term care insurance (“Private Pflegepflichtversicherung”) to calculate the starting premium that would have been necessary to insure the respective cohorts of the population. The basis for this calculation will be the information of 1995 on the benefits basket and the probability of benefit claims. Furthermore, we will also take into account the politically intended premium cap and the resulting cost-sharing between cohorts. On this basis, we will simulate the premium path successively over the years by taking into account all events requiring a premium adjustment (such as changing benefits, higher benefit claims or rising life expectancy). By that, we will generate a realistic premium path of the fictive capital funded long-term care insurance that can be compared to the contribution burden in the actual PAYG system. This comparison will be made using exemplary insureds with different socio-economic characteristics. In a second step, we will create a premium/contribution forecast for the fictive capital funded system and the existing PAYG long-term care system respectively to highlight the future difference in the premium/contribution burden of both systems.

Long Term Care Reform in Germany - At Long Last

Sabrina Link

Gen Re (Senior Pricing Actuary)
Germany

Abstract

Abstract/abstract_122.pdf

Planning Model for the Training of Medical Specialists for the Care of Old Age

Carlos Contreras Cruz

Inter-American Center for Social Security Studies. (Chief of Actuarial Division)
Mexico

Abstract

Abstract/abstract_382.pdf

Long-Term Care: an Actuarial Perspective on Societal and Personal Challenges

Sam Gutterman

self-employed (retired consulting actuary)
United States

Abstract

Abstract/abstract_330.pdf

Extension Compression and Beyond – A Unique Classification System for Mortality Evolution Patterns

Martin Genz

Ulm University, Institute for Finance and Actuarial Sciences, ifa Ulm (Doktorand)
Germany

Abstract

Abstract/abstract_76.pdf

Modelling Old Age Mortality Rates: An Extrapolation Method Based on the Mode and the Compression of Mortality

Santiago Fiallos

PwC (Manager)
France

Vincent Gibrais

PwC
France

Vincent Noel

PwC
France

Abstract

Abstract/abstract_495.pdf

A New Toolkit for Mortality Data Analytics

Sarah Krömer

University of Erlangen-Nuremberg

Abstract

Abstract/abstract_568.pdf

A Set of New Stochastic Trend Models

Johannes Schupp

Ulm University, Institute for Finance and Actuarial Sciences, ifa Ulm (Consultant)
Germany

Abstract

Abstract/abstract_521.pdf

Retirement – A New Frontier of the Over 80s Market

Jules Gribble

International Association of Insurance Supervisors (Senior Policy Advisor)
Switzerland

Cary Helenius

Equity Risk Management
Australia

Abstract

Abstract/abstract_305.pdf

Financial Sustainability of the Algerian Retirement System: A Perspective Analysis of the 50 Coming Years

Farid Flici

Centre for Research in Applied Economics for Development (Permanent Researcher)
Algeria

Abstract

Abstract/abstract_389.pdf

20 Years After the Pension Reform

Carmen Fernandez

Mexican Social Security Institute (Chief Risk Officer)
Mexico

Abstract

Abstract/abstract_586.pdf

Risk Management for Annuity by Longevity Bond and Longevity Swaps

Tadashi Uratani

Hosei University (Professor)
Japan

Abstract

Abstract/abstract_405.pdf

A Coverage Factor for Managing Elderly Pension Benefits

J. Iñaki De La Peña

(University of the Basque Country)

Abstract

Abstract/abstract_257.pdf

On the Discount Rate of the Defined Benefit Plans

Mitsuko Nakajima

Mitsubishi UFJ Trust and Banking (employee)
Japan

Abstract

Abstract/abstract_367.pdf

Communicating Longevity Risk to the Public

Andrew Peterson

Society of Actuaries (Senior Staff Fellow)
United States

Ted Goldman

American Academy of Actuaries
United States

Abstract

Abstract/abstract_500.pdf

Quantifying Longevity Risk in Annuities By Means of the Generalized Age-Period-Cohort Model

Peter Vekas

Corvinus University of Budapest (assistant professor)
Hungary

Abstract

Abstract/abstract_540.pdf

Lessons Learnt from the Ongoing IFRS 17 Implementation in Asia-Pacific

Steve Cheung

Ernst & Young
Hong Kong

Integrated Risk Management in Practice

Marian Elliott

Institute and Faculty of Actuaries, Deloitte (Director)
United Kingdom

Abstract

Abstract/abstract_29.pdf

Banking Actuaries: The South African Experience

Michael Tichareva

National Standard
South Africa

Abstract

Abstract/abstract_304.pdf

The Impact of Public Pensions and Health Care on Fiscal Sustainability on Small Island Developing States in the Caribbean

Ravi Rambarran

Sagicor Financial Corporation (Executive)
Jamaica

Abstract

Abstract/abstract_599.pdf