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Železna c. 14, 1000 Ljubljana, Slovenija
Davčna številka: 17081068
Številka računa: 02038-0055144937
Spoštovani!
Vljudno vas vabimo, da se udeležite strokovnega seminarja Slovenskega aktuarskega
društva z naslovom Aktualne teme s področja obvladovanja tveganj , ki bo
potekal
6. in 7. novembra 2013
v M- hotelu, Derčeva ul. 4, Ljubljana.
Na seminarju bodo predavali priznani tuji in domači gosti: Maximilian Strasser,
Andrew Smith, Daniel Matić, Antoine Esquieu, Vincent Dupriez, Andrej Blejec in Aleš
Tomažin. Predavanja bodo v angleščini.
Obravnavali bomo modeliranje naravnih katastrof, težavnost modeliranja tveganj in
ocenjevanje napak v modelih, življenjska zavarovanja v spremenjenem ekonomskozakonodajnem okolju, seveda pa tudi aktualne vsebine iz Solventnosti 2 in novosti s
področja računovodskih standardov (IFRS 4 faza 2). Že prvi dan je predvidena tudi
praktična delavnica, kjer bomo imeli priložnost teorijo utrditi skozi praktične primere,
zato udeležence prosimo, da imajo prvi dan s sabo prenosne računalnike z Excelom.
Kotizacija za udeležbo na seminarju je za člane Slovenskega aktuarskega društva 350
EUR (za ostale 400 EUR) in vključuje kosilo ter pogostitev v odmorih.
Vljudno vas vabimo, da se seminarja udeležite v čim večjem številu.
Udeležba na seminarju šteje za 50 točk formalnega PSI.
Prosim, da udeležbo potrdite na elektronskem naslovu društva: info@actuaries.si s
pripisom: »za orga-team Seminar« najpozneje do 30. 10. 2013. Prosim, da ob prijavi
navedete tudi, kdo bo plačnik, in v primeru, da je plačnik podjetje, navedete tudi
davčno številko podjetja. Po izvedbi seminarja Vam bomo poslali račun.
Ljubljana, 14. oktober 2013
Upravni odbor SAD
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Železna c. 14, 1000 Ljubljana, Slovenija
Davčna številka: 17081068
URNIK:
Sreda 06.11.2013
Čas
Naslov predavanja
8.30 – 9.00
Prijava, čaj / kava
9.00 – 11.00
Predavatelj
Uvod v tehnično ozadje modeliranja katastrof
(z odmorom)
11.00 – 11.15 Odmor
11.15 – 12.45 Težavnost modeliranja tveganj - 1. del
Maximilian Strasser
Andrew Smith
12.45 – 13.45 Kosilo
13.45 – 14.45 Težavnost modeliranja tveganj - 2. del
14.45 – 15.00 Odmor
Spremembe v okolju življenjskih zavarovanj - izzivi in
15.00 – 17.00
reakcije (z odmorom)
Andrew Smith
Daniel Matić
Četrtek 07.11.2013
Čas
Naslov predavanja
Predavatelj
8.30 – 9.00
Čaj / kava
9.00 – 10.30
IFRS 4 faza 2: poudarki zadnjega osnutka standarda
Antoine Esquieu
10.30 – 10.50 Odmor
10.50 – 12.20
Tržna optimizacija Solventnosti 2: Kako izkoristiti
Solventnost 2 pri razvoju novih produktov
Vincent Dupriez
12.20 – 13.50 Kosilo
13.50 – 14.50 Statistika (je) za vsakogar
Andrej Blejec
14.50 – 15.10 Odmor
15.10 – 16.10 Pet faz človeškega razvoja
Aleš Tomažin
16.10 – 16.30 Razprava in zaključek
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Železna c. 14, 1000 Ljubljana, Slovenija
Davčna številka: 17081068
ABSTRACTS:
Technical introduction to the development of cat models – Maximilian Strasser
Using Slovenian model developments as case studies the session aims at providing an in depth
understanding of probabilistic cat models. Addressing the need for cat models, requirements on the
input data side and discussing typical cat model output, the talk will provide a good overview on why
and how we use cat models today. Probabilistic models will also shortly be reviewed in the light of
Solvency II. The main part of the lecture will lead the audience through critical components of a
probabilistic cat model development combined with Q&A.
Difficult to model Risks – Andrew Smith
The presentation includes work with practical examples. More about the talk is available on
http://www.actuaries.org.uk/events/one-day/sessional-research-event-extreme-events-workingparty-paper-0.
Errors in Proxy Models
The talk will present modelling issues: the construction of the proxy model of bonds, annuities, term
assurance and investment guarantees, model fitting, methods available to help deciding for the
appropriate model, simulation issues and analysis of the results.
Model and Parameter Errors
The second part will cover introduction to several model and data issues that are important for the
analysis of model and parameter error and resulting implications for capital charges for these risks. It
will conclude explaining the appropriate communication of statistical test results.
Change in insurance climate – challenges and reactions – Daniel Matić
In the presentation the following topics will be covered:
 Markets in “traditional run-off”
 Recent developments in product Innovation
 Capital Management in volatile times
 FLAOR
IFRS 4 phase 2 : main features of the new exposure draft – Antoine Esquieu
10 years after the « Draft Statement Of Principles » of the IFRS standard applicable to insurance
reserves, the IASB has published the “Exposure Draft” of the standard at summer 2013. This project
of standard follows the previous version that had been published in 2010, and withdrawn following
the reactions of the market. If the main principles remain unchanged, some significant evolutions
have been introduced. This presentation addresses the key points of the Exposure Draft, the main
evolutions compared to the previous version and a comparison to latest Solvency II principles.
Solvency II Commercial Optimisation : How to benefit from Solvency II Maximasing returns and minimising volatility – Vincent Dupriez
Solvency II is likely to come into force the 1rst of January 2016. There are some key commercial
consideration that companies should deal with. Current product design and pricing methodology is
unlikely to be appropriate going forward. There is a danger that metrics will slip during the transition
and whilst products are developed. The overall capital employed by the business will change and
could be volatile. It is possible, without mitigating action that this will reduce returns below stated
targets. Some portfolios or entities could have onerous requirements under SII or hybrid capital may
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Železna c. 14, 1000 Ljubljana, Slovenija
Davčna številka: 17081068
need replacing. It will be important to mitigate these needs, and avoid capital raising at a time when
others may be, or that would surprise the market. There is uncertainty around the volatility
of the balance sheet in different scenarios, where this can be predicted, action should be taken to
reduce. Also, optimising diversification can improve the competitive position. There may be short
term opportunities as a result of transition rules which can be used to reduce capital requirements.
Etc.
What should I do now? What are my competitors doing? When will there be sufficient certainty to
take particular actions? The presentation will explore some considerations around choice of return
metrics, group structuring, ALM/investment strategy, external risk transfer and sale/purchase of
business units, capital review and product design.
Statistics (is) for Everybody – Andrej Blejec
Statistics (or better said, statistical reasoning) is part of everyday life, and yet it is not among the
popular experiences for those who encounter statistics in formal education. In this lecture we will
show that there is a place for statistical reasoning. Some important statistical concepts and methods,
used to describe phenomena around us, will be put into everyday perspective.
Five phases of human enterprise – Aleš Tomažin
The story of Human Enterprise, over centuries, is the story of instinctive desire to survive and prevail.
The evolution of human enterprise went through four phases and as we analyse this evolutionary
process, we shall see the early signs of emergence of the new phase - Phase Five.
SHORT CVs:
Maximillian Strasser
2001: Graduation with Diploma in Geophysics
2001-2002: Scientific assistant at the seismological observatory on ICE, Tilaran Costa Rica
2002-2006: Risk Analyst at GE Frankona Re, Munich, Germany
2006 – today: Senior Vice President at Guy Carpenter GC Analytics. Member of the in the Global
model Development Team, located in Munich Germany
Tasks: Project manager for developments of probabilistic catastrophe models, scenario and
underwriting tool development, assessment of commercial models (RMS, AIR, EQE)
Recent project activities: Italy Flood model development (2013), pan European hail model
development (2014)
Andrew Smith is a partner at Deloitte. He is well known internationally for his portfolio of groundbreaking client assignments and extensive published research in the actuarial field. He graduated
from Cambridge University in 1990, with a first class degree in mathematics. Since joining Deloitte,
Andrew has consulted with many clients in diverse areas. For many years Andrew has been at the
forefront of developing stochastic investment models for use in asset-liability modelling and pricing.
Andrew has published many papers in insurance, pensions and financial matters. In 1996 he won the
Institute of Actuaries' prize for his paper "How Actuaries can use Financial Economics", another prize
in 2002 for his joint paper “Corporate Bond Models”, and a further prize for his joint 2004 paper “The
Cost of Capital for Financial Firms”. His 2001 methodology for constructing risk-free yield curves has
been adopted for the published yield curves under Solvency II. His joint paper “Why financial firms
can charge for diversifiable risk” won a Casualty Actuarial Society prize in 2003 and underpins much
of current thinking on risk margins. In 2008, the Institute of Actuaries awarded Andrew a Finlaison
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Železna c. 14, 1000 Ljubljana, Slovenija
Davčna številka: 17081068
Medal, in recognition of Andrew’s contribution to actuarial science, also awarding a prize for his joint
paper “The Modelling of Extreme Market Events”.
He is a spirited critic of actuarial mumbo jumbo, and is well-known for his ruthless debunking of
financial myths. He is frequently quoted in the press, and is widely respected as an entertaining and
informative conference speaker.
Daniel Matić joined Towers Watson in 2008. He covers a broad range of actuarial areas including
evaluation of life insurance companies, Solvency II and capital management. Before joining Towers
Watson, Daniel has worked 6 years for Allianz SE in Group Actuarial and L&H reinsurance where he
gained deep understanding of Reinsurance and actuarial controlling with strong focus on the CEE.
Daniel received a Master's degree in mathematics (Diplom-Wirtschaftsmathematiker) from the
University of Bielefeld in 2002 and is a qualified German Actuary (Aktuar DAV) and a member of the
German Actuarial Association (DGVM).
Antoine Esquieu is partner within Mazars. He is responsible for the Paris audit insurance audit
department. He has more than fifteen year experience in the insurance business as legal auditor and
actuary. He is the engagement partner of several insurance and reinsurance clients, in Life and NonLife, among which Scor and Axa Assistance.
Vincent Dupriez is a partner at EY Actuarial Services practice and has over 14 years of experience
in Insurance. He joined EY in July 2010 and is based in the Paris Office. He is a Qualified fellow of the
French Institute of Actuaries, a graduate of Ecole Normale Supérieure of Lyon and of Centre d’Etudes
Actuarielles. He is deputy chairman of the Internal models working group of the European
Consultative Actuarial Group. He works with a large number of insurance companies on various
issues such as MCEV, Solvency 2 (pillar 1, ORSA, ...), Actuarial function restructuring, IFRS 4 phase 2.
Andrej Blejec is a full professor of statistics at University of Ljubljana (BF, Department of Biology)
and senior researcher at National Institute of Biology, where he works as a researcher and consultant
for application of statistics in biology. With several decades of experiences in teaching statistics and
use of statistical development platform R, he is known as an expert for data visualizations and
computer animations for understanding of statistical methods. For actuaries, he teached several
introducing courses of R. He is elected member of International Statistical Institute, president elect of
International Association for Statistics Education and president of Statistical Society of Slovenia.
Aleš Tomažin holds a Master in actuarial science and Master in information management science
both from Faculty of Economics from Ljubljana. From 2009 he is Chief Actuary at Maribor insurance
company. He is a member of Slovenian actuarial association; from 2007 to 2010 and from 2013 he
led the Technical board of association.
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