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SUMMARY:The use of proxy-models for risk measurement of life insurance por
 tfolios
DTSTART:20160126T120000
DTEND:20160126T130000
DTSTAMP:20260916T230025Z
UID:5c5d6ae32335f75df26d0d7d4c2a0b89675a2083e375112ee6476dbb
CATEGORIES:Conferences - Seminars
DESCRIPTION:Guido GRÜTZNER (Secquaero Advisors AG\, Zurich)\nCash-flows f
 rom certain portfolios of life insurance products depend in a complex and 
 non-linear manner on the underlying insurance and market risk factors. Thi
 s makes market consistent valuation and risk measurement\, as required und
 er regulatory frameworks such as the Swiss Solvency Test or the EU Solvenc
 y II initiative\, quite challenging. To meet those requirements\, life ins
 urers have developed fast approximative models for those cash-flows. This 
 talk introduces two of the currently employed approaches in the industry\,
  Replicating Portfolios and Least Squares Monte Carlo\, discusses current 
 practice in respect of calibration and validation as well as some applicat
 ions of these proxy-models. Part of the presentation will be inspired by a
  recently published Working Paper of the German Actuarial Society giving a
 n overview of current industry practice.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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