The use of proxy-models for risk measurement of life insurance portfolios
Event details
| Date | 26.01.2016 |
| Hour | 12:00 › 13:00 |
| Speaker | Guido GRÜTZNER (Secquaero Advisors AG, Zurich) |
| Location | |
| Category | Conferences - Seminars |
Cash-flows from certain portfolios of life insurance products depend in a complex and non-linear manner on the underlying insurance and market risk factors. This makes market consistent valuation and risk measurement, as required under regulatory frameworks such as the Swiss Solvency Test or the EU Solvency II initiative, quite challenging. To meet those requirements, life insurers 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 applications of these proxy-models. Part of the presentation will be inspired by a recently published Working Paper of the German Actuarial Society giving an overview of current industry practice.
Links
Practical information
- Informed public
- Free
Organizer
- SFI@EPFL and DSA = Département de sciences actuarielles, UNIL, http://www.hec.unil.ch/dsa