Continuing Professional Development
for actuaries
Insurance Risks & Counterparty Risks linked to reinsurance
Xavier Maréchal – Xavier Chenut
Actuarial House
Place du Samedi – Zaterdagplein 1
1000 Brussels
Program CONTENT
The course will be organized in 3 sessions (3CPD each):
- Session 1: Risk Identification + Risk Measurement (part 1)
- Session2: Risk Measurement (part 2) + Risk Mitigation
- Session 3: Case Studies
Session 1: Risk Identification + Risk Measurement (part 1) / When
Risk Identification
The goal of this section will be to describe briefly the different insurance risks. We will start from the risk mapping of the Standard formula of Solvency 2 and provide definition and examples of the risks. We will treat each risk in the most relevant module (e.g. mortality and longevity risk in Life module and no more in Health module) to avoid repetition (except for catastrophe risk which can be quite different between the modules). We will also introduce inflation risk which is not identified separately in the S2 formula’s risk mapping.
1 Life Underwriting Risks
a. Mortality and Longevity risks
b. Lapse risk
c. Expense risk
d. Catastrophe risk
2 Non-Life Underwriting Risks
- Premium risk
- Reserve risk
- Catastrophe risk
- Inflation risk
- SLT vs NSLT
- Disability – morbidity risk
- Revision risk
- Catastrophe risk
5 Other
- Inflation risk
For each of these risks, we will present solutions/models in order to measure the uncertainty surrounding these risks.
When possible, a comparison with the measurement techniques used by the Standard Formula (shock, fixed factors) will be performed.
Potential links with USP will be brought to light. Criteria for selecting the appropriate technique will be presented when possible.
A small introduction to model risk and parameter uncertainty risk will also be proposed with examples to demonstrate its potential impact. A link with the ORSA process will also be performed during this session.
1Modelling uncertainty in insurance and reinsurance counterparty risks
2Comparison with Solvency 2 Standard Formula and USP
3Model and parameter uncertainty risks / 16/10/2017
(17h00 – 20h00)
Session 2: Risk Measurement (part 2) + Risk Mitigation / When
Risk Measurement (part 2)
Description of the contents: see Session 1
Risk Mitigation
For each of the risks discussed in the first section, we will present potential mitigation techniques that could be set up in order to reduce the risk. We will evaluate the impact on profitability and solvency for each mitigation technique.
1Reinsurance
2Securitization (Cat bond, longevity bonds, …)
3Evolution of product mix / 19/10/2017
(17h00 – 20h00)
Session 3: Case Studies / When
24/10/2017
(17h00 – 20h00)
Trainers
Xavier Maréchal
XavierMaréchal is one of the founders of Reacfin and its CEO. Xavier is the co-author of: “Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems” (Wiley, 2007).
Xavier has extensive experience in the actuarial field, obtained during his 14 years as a consultant for many national and multinational insurance companies. He has gained complementary experience in various fields going from Non-Life ratemaking and provisioning to life modelling and ALM.
Xavier has obtained various academic degrees, such as: MSc in Engineering in Applied Mathematics (Magna Cum Laude), and MSc. in Actuarial Sciences (Magna Cum Laude) and an MSc. in Business Management (Cum Laude). Xavier is a full member of the Institute of Actuaries in Belgium (IA|BE) and is vice-president of the Association of Actuaries of the University of Louvain-la-Neuve (ASALv).
After several years of intensive modeling activities, Xavier works now as project manager, reviewer and mentor for consultants. Xavier holds the actuarial function for one health insurance company.
Xavier Chenut
Xavier Chenutholds master degrees in Engineering and Actuarial Sciences and is a full member of the Institute of Actuaries in Belgium (IA|BE).
He has 15 years of experience in reinsuranceacquiredthroughvarious positions heldwithin QBE Re Brussels in the actuarial, underwriting and risk management departments.
Xavier iscurrently Head of TechnicalUnderwriting, leading a team of specialists in the design and pricing of reinsurance structures.
Registration form
Insurance Risks & Counterparty Risks linked to reinsurance
Please complete and return by mail before 12/10/2017 :
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Session 1 Risk Identification + Risk Measurement part 1: 16/10/2017
Member IA|BE: € 150 Others: € 250
Session 2: Risk Measurement part 2 + Risk Mitigation: 19/10/2017
Member IA|BE: € 150 Others: € 250
Session 3 Case Studies: 24/10/2017
Member IA|BE: € 150 Others: € 250
Cancellation policy: If you need to cancel your registration, please note that you have to send a mail to 48 hours at the latest before the starting date of the training or seminar.
After this date, the payment of the participation fee is due.
You can always let a colleague (member of IA|BE) take your place.