GIRO Conference 2016

James Armstrong, Admiral Group, GIRO Committee Chair

Speaker: David Rule, Executive Director for Insurance Supervision, Bank of England

This session has been conceived to showcase the thoughts, challenges and ambitions of the very newest of our GI fellows, from different organisations and different locations. The hour will build on the very honest and open responses gained from those whose voices are least often heard, those on whom the very future of the GI actuarial world depends, through a series of pre-Conference interviews... Where, through their eyes, is the profession going? Is the career pathway smooth and direct following possibly the hardest professional exams in the world? Is there a challenge to be seen off from others in the provision of actuarial services? A panel comprising members of many ages and backgrounds will be on hand to contemplate and offer differing views. It is hoped that the roving mike, around the auditorium, will be hotter than ever as we debate the future of the GI actuary. 

Panellists:
Susan Dreksler, PwC; Chair of General Insurance Reserving Oversight Committee (GI ROC)
Memoria Lewis, Director, Member Support, IFoA
Marjorie Ngwenya, President-elect, IFoA
Martin Noble, Zurich Insurance; Deputy Chair of General Insurance Board

Speaker: Marjorie Ngwenya, President-elect, IFoA

Marjorie is Group Strategy Executive at Liberty in South Africa and is based in Johannesburg. She has extensive experience in risk management, consulting and reinsurance. She was the editor of The Actuary for three years until the end of 2011.

Marjorie is an active volunteer for the IFoA and served for four years as a member of the Audit and Risk Committee. She is a member of the IFoA management board. As an overseas member of Council, Marjorie represents the IFoA as an ambassador, connecting with the IFoA’s substantial overseas membership. She is a trustee of the Legal Resources Trust in South Africa.

A1: The Good, Bad and Ugly of Stress and Scenario Testing

Stress and Scenario testing (SST) can be used for many different areas of the business and purposes. Many, if not all firms, should have done some sort of scenario testing whether it is for business planning purposes, as part of the internal model validation or as part of their Own Risk and Solvency Assessment (ORSA) under the Solvency II regime. We would like to share our practical experience in this area based on our own experience in carrying out SST, focusing on SST in the ORSA & validation. Our workshop will include how we: 
1) set up the framework; 
2) picked the scenarios and linked them to the risk profile;
3) quantified the impact of the scenarios both quantitatively and qualitatively; and 
4) presented this to the senior management.

Speakers: Cherry Chan, Barnett Waddingham LLP and Jianhua Siew, RSA

A2: Advance Uses of Internal Models to Support Reinsurance Business Decisions

In this presentation, we will go through our case study published by the Institute of Risk Management‘s (IRM) Internal Model Industry Forum (IMIF).  This is intended to be a practical case-study style presentation which will demonstrate to the audience how to embed an Internal Model in an insurance company’s decision-making process for reinsurance. We will visit a range of techniques which we used to evaluate reinsurance decisions such as its breakeven return period, its impact on risk appetite and on our common currency metric – risk-adjusted profits (RAP).

Speakers: Yoon-kwong Loh, AIG Europe and Laurence Dunkling, AIG Europe

A3: TORP: SII TPs - Sharing the Pain

•  Review of results on a survey on TP working practices to identify where the industry is making practical decisions make TP calculation more efficient
•  Consider and describe additional alternative processes/techniques to assist in making the TP process more efficient
•  Consider how TPs relate to other reserving bases to see where efficiencies can be made in the conversion process allowing for typical timeframes for reporting in each.

Speakers: Neil Bruce, Travelers Syndicate Management, Fergal Dolan, KPMG and Keith Taylor, AXA

A4: A Systematic Approach to Clash Pricing

One of the problems identified with Solvency II capital modelling are the extreme results: the modelled tails being consistently too “thin”. We believe that this is partially due to losses being modelled as independent of one another. Our proposal is to modify the modelling process so that “events” are simulated rather than individual losses; this will enable losses within an event to be correlated, producing heavier, and so we believe, more realistic tails.

Speaker: Dee Fitzgibbon, Lockton Re

A5: An Update from the Third Party Working Party on the Latest Trends in Personal Motor Bodily Injury and Property Damage Claims

Seventh iteration of the Institute and Faculty of Actuaries Third Party Working Party (TPWP), which investigates third party motor claims (injury and property damage). The scope focusses on private car comprehensive experience and includes geographical analysis as well as the impact of recent regulatory change. Claim experience is expected to be enhanced by a range of additional analyses including but not limited to economic, traffic density and wider insurance market (e.g. claim management companies) developments.

Speaker: Simon Black, Aviva and Robert Treen, Willis Towers Watson

A6: IFRS 4 Phase II – Will you be Ready for 2021?  

In February 2016 the IASB voted unanimously to begin drafting the new insurance contracts Standard. They have indicated that they expect to complete the drafting of the Standard by early 2017 and this would mean that the new Standard could be effective from 2021. In other words, this is definitely going to happen and for insurers to be ready for implementation, preparation needs to start now!
With the new Standard firmly on the horizon we can’t ignore it any longer and with only a few years to prepare – can you really afford to miss this workshop?
The planning phase for a major change like this is key and the IFRS 4 Phase II Working Party for General Insurers was formed following GIRO 2015 to investigate both the technical and operational impacts that the new Standard is likely to have. At first sight IFRS 4 Phase II may appear to have a lot similarities with Solvency II but significant differences in both recognition and measurement of insurance contracts are becoming apparent. The impact of IFRS 4 Phase II will be far reaching - from data needs to modelling requirements, all the way through to financial reporting. Join us in this interactive workshop to find out more. No prior knowledge is required.

Speakers: Laura Barella, PwC; Alice Boreman, Deloitte and Jamie Grant, Lancashire Insurance Company 

A7: Flood Re and the Future of Flood Insurance

The Flood Re scheme, which supports the provision of affordable insurance for high flood-risk households, has been in force since April 2016. In this workshop, the Flood Working Party will explore how the introduction of Flood Re has affected the market, and look at the first instalment of their transition plan for an eventual return to risk-reflective pricing. This interactive session will encourage you to share your experience of Flood Re so far, and discuss ideas for how the industry can help to achieve this long-term goal.

Speakers: Philippa King, LCP and Neil Chapman, Willis Towers Watson

A8: Quality of Earnings in Insurance

We will discuss some of the key challenges for insurers looking forward in explaining their earnings and dividend story to investors. We will cover: What investors mean by quality of earnings; Different measures of value creation for insurers (Cash, IFRS Earning, SII Capital Genration); Examples of the diversity of public disclosures and how this compares to elements of the Solvency II QRT reporting; The challenges of forecasting Solvency II Capital Generation; The challenges of putting together useful reserving disclosures.

Speaker: Daniel Beard, EY

A9: The Emergence of Risk over One Year

• Intuitive Interpretation of One Year Risk Emergence Factors: Actuaries and Underwriters understand the drivers of a risk and how they may emerge over time. However, they often find harder to convert their expert judgement into a number, an emergence factor. The presentation shows how someone can avoid pitfalls when applying expert judgement to one year risk. This is done by discussing several examples of different types of risk, such as natural catastrophes, legal changes and longevity risk
• Link of One Year Risk and Risk Margin: Sometimes the one year risk is treated as independent of the risk margin, but the two are closely linked and the presentation provides examples of their interconnection and how it affects the overall capital requirements. We also discuss the link between correlations used for the one year risk and risk margin calculations
• Estimation Errors: We summarise the assumptions of some of the most commonly used methods. We also highlight the significant statistical errors involved in the estimation of emergence factors.

Speaker: Dimitris Papachristou, PRA, Bank of England

A10: Solvency II IMAP: Views from the Inside and the Outside

At times, the various approvals processes for different aspects of Solvency II can strike fear into the heart of even the most robust actuary. They fear that the internal model (or whatever) that they have lovingly created over (in some cases) several years and which they have come to be only slightly less attached to that their own children, may enter the process and be spat out like a lump of gristle. In such ways are dreams shattered and hearts broken. But what is the process really like?
In this presentation, we look at the process from two perspectives:
•  From the outside, an actuary who has led the IMAP process for a large insurer for the last six years, resulting in model approval at the end of last year. He will discuss his experiences “at the coalface”.
•  From the inside, an actuary who spent six months as a mole within the PRA’s approvals team (well, okay, a secondee!). He will discuss such matters as what it was like to work in the PRA, how the review process works and some of the pitfalls firms fell into.

During the workshop, they will pass on some of their experiences and lessons learned. This will include busting some myths about the process and providing pragmatic advice on what insures can do to make their journey through the process a smooth and easy one, or at least a little less painful. 
Can you afford to miss this?

Speakers: Simon Sheaf, Grant Thornton UK LLP, David Innes, RSA and Nylesh Shah, Prudential Regulation Authority

Join Marjorie Ngwenya, President-elect of the IFoA, for an informal lunch to discuss the development of the actuarial profession. How can actuaries remain relevant in a changing world? Where could the actuarial skillset be applied in the future? And what can actuaries do to ensure that their global profession continues to thrive? All of this and more will be explored in the context of the IFoA’s newly refreshed strategy. 

This lunch is now fully booked. To be added to the waiting list please email Niki Park. 

B1: Strategic Asset Allocation under Solvency II - the Asset-Liability-Capital Efficient Frontier

Summary: Solvency II capital charges depend on insurers’ assets and liabilities as well as the interplay between them. Insurers can no longer be content with strategic investment analyses focused solely on assets. The efficient frontier must be redefined using whole-company risk and reward metrics including cost of capital associated with each strategy. The presenters look at the impact this aspect has on strategic asset allocations. Some appreciation of Solvency II, investments and stochastic modelling is desirable.

Speakers: Nigel Hooker and Alexander Tazov, Conning Asset Management Ltd

B2: Learn to be part of the Machine Revolution

In this workshop, Alex, a former machine learning skeptic, and Alan, a machine learning aficionado, will cut through a lot of the spin surrounding this topical area, providing a thought-provoking and practical introduction for actuaries.Using real code and examples that you can take away and apply yourself, Alan and Alex will take you through a case study so that you can start to apply these models at work.The workshop will cover these four elements: 1. Getting your machine ready for use 2. Training your machine 3. How well did the machine do? 4. Is there still room for the actuary? Our aim is that you come away from our workshop with some of the mystique stripped away from this exciting new area, and with skills to help you to be part of how these tools are adopted at your workplace.

Speakers: Alex Marcuson, Marcuson Consulting Ltd and Alan Chalk, Machine Learning Solutions Ltd

B3: Long-Tail Claims Deterioration: Management Responses and Actuarial Reactions

Long-tail casualty classes tend to exhibit multi-year deteriorations as opposed to immediate deteriorations. These deteriorations are often a significant driver of company losses and thus management action. This presentation considers the following:
• Recent history of these deteriorations and  driving causes:
o This section will detail past instances of significant casualty claims deteriorations that are publically known. We will consider the impact of management's responses in subsequent years and the key learnings from them.
• Typical management operational responses:
o This section will outline typical management responses and their expectations from the impacts of their actions. Examples of such responses can be re-underwriting the portfolio, putting the portfolio into runoff and undertaking a claims review.
• Actuarial investigations to understand impact of management actions:
o This section discusses the investigations that can be done to understand the impact of management’s actions and validate management’s expectations.
• Reserving responses to management actions:
o This section will consider the typical difficulties observed in undertaking reserving analysis in these situations and the techniques that be used to overcome them.

Speaker: Nadeem Korim, Hiscox

B4: Recovery and Resolution Plans – An Overview

This talk will cover the following topics: 1) A brief overview on the background of recovery and resolution plans – a very brief history of how they were developed by regulators for the banking industry and have been moving across to the insurance industry. This included the designation of the original 9 globally systemic insurance groups, which is now being rolled out to global reinsurance firms, as well as European and national level regulatory shifts. It will then move onto the UK market and the PRA’s focus on these plans within it’s fundamental rules (FR8). 2) A technical re-cap of what each of these plans are, why they are different from one another, and how they can be structured. 3) The talk will then briefly touch on what an actuaries role can/should be within the development of these plans. 4) 2-3 practical examples based on previous projects. These will cover the difficulties of developing the plans, some recommendations to help, as well as some example outputs. These are based on projects my firm has delivered and that I have worked on or led.Audience engagement will be via questions throughout the session. Last year I used the smartphone app for live voting which was very useful, I would intend to use the same again if it is availble. Questions could cover topics such as scenarios likely to cause a stress, and inter-group arrangements likely to cause issues in a recovery situation. The audience should leave the session with the regulatory context/background of RRP's and a technical appreciation of what they are, how they are related, and why they are different. They will also have some practical examples of what works and what doesn't.

Speaker: Andrew Hancock and Andrea Murdock, EY

B5: Update from the UK Asbestos Working Party

Since reforming in 2007 the UK Asbestos Working Party (“AWP”) is a source of expertise within the profession on matters relating to UK asbestos related diseases. Its aim of this Working Party is to provide assistance to actuaries having to estimate the reserves relating to UK asbestos related claims. 

In 2009 the Working Party produced new UK Insurance Market estimates. The Working Party estimated that the undiscounted cost of UK mesothelioma-related claims to the UK insurance market during the period 2009 to 2050 could be around £10bn. Including the potential cost of asbestos-related lung-cancer, pleural thickening and asbestosis claims, the total UK Insurance Market cost of asbestos-related claims could be around £11bn. The updated estimate was and still is highly uncertain, and it was possible that the actual outcome could be appreciably more or less than this amount. For example, alternative possible scenarios give a cost of around £5bn or £35bn for the same period.   

Since producing the 2009 UK Insurance Market estimates, the Working Party has been reviewing the experiance and in the process of producing a new Insurance Market estimates based on more recent data and experience over the last 7 years. 

Speakers: Rob Brooks, PwC; John Wilson, Aviva and Pauline Barthelemy, Swiss Re

B6: PPO Capital Model Implications

The talk will discuss the approach we have taken to model PPOs within our capital models (SCR and Risk Margin); covering methodology, macro and micro calibration challenges, and implications. This area of capital modelling is under published, so the intent will be to share our approach and to encourage challenge and discussion of alternatives in order to search for industry best practice.

Speakers: Martin Cairns and Nick Ross, Aviva

B7: Model Governance - The Model Change Policy

The workshop will cover:Common themes emerging from approved model change policies.Good practice in model change applications.Answers to frequently asked questions.

Speakers: Amanda Istari and Ishtiaq Faiz, Bank of England

B8: Good Actuarial Report Report

We will present how we converted the actuarial function working party paper into a suggested report approach with interaction over the choices we made, or that the audience might make. This will be based on a synthesis of our working party outputs on the six key factors a good actuarial report requires and simple heuristics to aid in reporting  developed by the working party.

Speakers: Christopher Smerald, AIG and Matthew Pearlman, LCP

B9: IFRS 4 Phase 2: Understanding the financial and practical impacts for reserving

Actuaries will be at the heart of implementing the IASB’s final standard for Phase 2 for insurance contracts, which is expected by the end of 2016 or early in 2017.  The IASB’s proposals introduce a fundamentally new basis for reporting profits or losses for general insurance.  This workshop will be an ideal opportunity to get up to speed on the proposals, consider the potential business and financial impacts and understand why this standard is relevant to actuaries. 

Join this workshop for a lively discussion of the IASB’s proposals for the balance sheet, income statement and associated disclosure requirements based on the drafting published by the IASB at the time of this workshop, including illustrative examples of the financial impact of the Phase 2 proposals on the balance sheet and the calculations of revenue and profit and loss. In considering the financial impacts we will draw out the key questions and issues that general insurers will be keen to explore prior to implementing new accounting policies for Phase 2. Whilst the examples will be illustrative, they will reflect the presenting team’s experience of considering financial impacts for general insurance business.  If relevant, the session will also provide a quick overview of the key areas of IFRS 4 Phase 2 which remain uncertain/unconfirmed as at the date of the presentation.  Having considered the financial impact of the proposals, we will move on to considering the practical challenges and where these may align with work already completed for Solvency II. No prior knowledge required but please do bring your questions and points of view to contribute to the discussion.

Speakers: Amerjit Grewal, Tamsin Abbey and Carmel Nivel, Deloitte

B10: Putting the Science in Actuarial Science

This presentation will comprise an empirical critique of the Mack/Murphy claims volatility assumptions by analysing PRA returns of different companies and classes of business. Using data from different companies we can obtain a sufficient dataset which can be used to justify or otherwise the square root standard deviation assumptions. The Mack/Murphy volatility assumptions give rise to a theoretical justification for the volume-weighted chain-ladder as the best estimate predictor. Our work will understand whether this is empirically justified or whether a different formulation better fits observed data. Where a different formulation is found we will describe the implications of using this model compared with the Mack/Murphy volatility assumptions; such as the new model structure, the new fit to the residuals, and what predictions it gives compared to the standard Mack model.

Speakers: Simon Margetts, EY and Jacob Clark, Hiscox

B11: Regulatory Round Up

Members of the IFoA’s Regulation team will provide an update  on regulatory issues which are of direct relevance to members working in the GI environment . This will include an update on  the following :
• Our new standard APS X1  which will impact particularly on members working internationally;
• The new TAS framework;
• Our review of the Actuaries’ Code;
• Our review of the Practising Certificate regime; 
• Our programme of Risk Alerts.

Speakers: Christine McConnell and Emma Gilpin, IFoA

Attendees may attend two out of three plenaries: Reserving, Pricing and Capital

Reserving Plenary: 

In this session, we'll be tackling some of the big questions facing reserving actuaries today. Three speakers are ready to challenge your preconceptions, and push you to think twice about the way in which you approach your work. In the soft market how can you manage the board so the buffer-free best estimate remains suitably robust and stands the test of time?  How do we get beneath the bonnet of our claims data to understand what's really going on, and to tell the difference between short-term volatility and a genuine emerging trend? And how can we develop a qualitative, non-statistical language to meaningfully communicate the uncertainty around our results to a non-actuarial audience.

Speakers:
Sarah MacDonnell, LCP; Chair of Measuring Uncertainty Qualitatively WP
Chris Smerald, AIG; Better Sensing and Responding to Change WP
Joe Monk, Pioneer Underwriting  - How low can your best estimate go ?

Pricing Plenary: big and small N

When turning data into useful guidance for our organisations, the pricing actuary divides their time and resources between researching into ever better statistical techniques ("big N") and ever deeper knowledge of the data sets and their background ("small N"). Different circumstances invite different splits. The plenary is an opportunity for the participants to hear latest developments and re examine this fundamental question in their own settings.

Speakers:  
Pietro Parodi, Swiss Re; author of Pricing in General Insurance
Hasitha Subasinghe, Tech Rate Consulting; Co-Chair of Marine and Energy Pricing (ex) WP
Edward Tredger, Novae; Chair of Getting Better Judgment (ex) WP
Dr Ji Yao, RPC Consulting; Chair of Advanced Pricing Techniques in General Insurance WP

Capital Plenary: Beyond ‘model risk’
Exploring our understanding of the uses, drivers and limitations of internal models. 

Speakers:
Dr Andreas Tsanakas, Cass Business School
Dr James Norman, RPC Consulting
Jonathan Bilbul, AIG
Edward Toman, Travelers

Reserving Plenary: 

In this session, we'll be tackling some of the big questions facing reserving actuaries today. Three speakers are ready to challenge your preconceptions, and push you to think twice about the way in which you approach your work. In the soft market how can you manage the board so the buffer-free best estimate remains suitably robust and stands the test of time?  How do we get beneath the bonnet of our claims data to understand what's really going on, and to tell the difference between short-term volatility and a genuine emerging trend? And how can we develop a qualitative, non-statistical language to meaningfully communicate the uncertainty around our results to a non-actuarial audience.

Speakers: 
Sarah MacDonnell, LCP; Chair of Measuring Uncertainty Qualitatively WP
Chris Smerald, AIG; Better Sensing and Responding to Change WP
Joe Monk, Pioneer Underwriting - How low can your best estimate go ?

Pricing Plenary: big and small N

When turning data into useful guidance for our organisations, the pricing actuary divides their time and resources between researching into ever better statistical techniques ("big N") and ever deeper knowledge of the data sets and their background ("small N"). Different circumstances invite different splits. The plenary is an opportunity for the participants to hear latest developments and re examine this fundamental question in their own settings.

Speakers:  
Pietro Parodi, Swiss Re; author of Pricing in General Insurance
Hasitha Subasinghe, Tech Rate Consulting; Co-Chair of Marine and Energy Pricing (ex) WP
Edward Tredger, Novae; Chair of Getting Better Judgment (ex) WP
Dr Ji Yao, RPC Consulting; Chair of Advanced Pricing Techniques in General Insurance WP

Capital Plenary: Beyond ‘model risk’
Exploring our understanding of the uses, drivers and limitations of internal models. 

Speakers:
Dr Andreas Tsanakas, Cass Business School
Dr James Norman, RPC Consulting
Jonathan Bilbul, AIG
Edward Toman, Travelers

This session will cover opportunities on the horizon for actuaries to grab as the GI market continues to evolve. What will IFRS 4 Phase 2 mean in practice? How can Data Science help actuaries serve their clients and stakeholders? What should be considered for the ever challenging question of long term asset-liabilities matching? 

Speakers:
Laura Barella, PwC; Chair of IFRS 4 Phase 2 Working Party and Graeme Charters, Graeme Charters Associates; Member of IFRS 4 Phase 2 Working Party
Alexander Hanks, EY; MAID Working Party
Martin White, Resolute Management Services Limited; Member of GI Board

Come along to hear speakers pitch for your attendance then choose your two preferred sessions - rooms will be announced at the end of the pitches.

C1: Advance Uses of Internal Models for Asset Management

In this presentation, we will go through a practical case-study style presentation which will demonstrate to the audience how to embed an Internal Model in an insurance company’s decision-making process for asset management. We will visit specific examples involving daily market risk monitoring and risk appetite framework, strategic asset allocation exercise, Investment Risk-adjusted Profits (RAP) and  Foreign Exchange Matching Framework. We intend to publish this with the Institute of Risk Management‘s (IRM) Internal Model Industry Forum (IMIF) alongside our reinsurance case study which is already published.

Speakers: Yoon-kwong Loh, Laurence Dunklin and Christophe Travelletti, AIG Europe

C2: Managing Model Complexity

Strategic Modelling Reality is complex. Models are a simplification of reality, but how much of the complexity of the real world should they retain? What dangers lurk when a model becomes more complex than is warranted? Or when they are too simple? We will describe various different "types" of complexity that can arise in model building. We will look at some of the issues that have arisen from overly complex models in history, and how they can be avoided. We review some of the statistical and philosophical justifications for preferring simplicity. Finally, we share our own practical experiences in managing model complexity in the context of Internal Models.

Speakers: Dr James Norman, RPC Consulting and Chris Bird, Validus Holdings

C3: Mortality from Modelling to Pricing: Challenges and Solutions

We have already completed a decade of mortality securitization. Catastrophic mortality bonds or CATMs are still being launched with most of the products offering old wine in new bottles. Academicians and practitioners are looking at the herald of a new life market. However, many questions still need immediate attention. In this presentation, we seek solutions to some of these problems and offer state of art solutions for the same. In particular, we pay attention to the valuation of the first Catastrophic Mortality Bond that was launched in the market namely the Swiss Re Mortality Bond 2003. This bond encapsulates the behavior of a well-defined mortality index to generate payoffs for the bondholders. Pricing this bond is an arduous task and no closed form solution exists in the literature. We adapt the payoff of the terminal principal of the bond in terms of the payoff of an Asian put option and present a new approach to derive model-independent bounds exploiting comonotonic theory as illustrated in Albrecher et al. (2008) for the pricing of Asian options. The success of these bounds is based on the availability of compatible European mortality options in the market. We carry out Monte Carlo simulations to estimate the bond price and illustrate the strength of the bounds. RefrencesAlbrecher, H., Mayer, P. A., Schoutens, W.: General Lower Bounds for Arithmetic Asian Option Prices. Applied Mathematical Finance 15(2):123-149, 2008.

Speaker: Raj Kumari Bahl, University of Edinburgh

C4: An Introduction to the Insurance Capital Standard and its impact on General Insurers

The International Association of Insurance Supervisors (IAIS), under the purview of the Financial Stability Board (FSB) and G20, is tasked with preventing financial instability and enhancing global supervision of the insurance industryThe IAIS is developing a global group-level Insurance Capital Standard (ICS) that will apply to the largest internationally active insurers. This will apply alongside existing jurisdictional capital standards, such as Solvency II in Europe, or Risk Based Capital (RBC) in the United States.This presentation will cover:An introduction to the new global Insurance Capital StandardScope of the requirements and which insurers it will impactOutline the timeline of the development and implementation of ICSA look at their potential impact on general insurance companiesDiscussion of the critical open issues being debated on the international stageThe presentation will be co-hosted by XL Catlin and EY:Phil Whittingham: Head of Validation and Risk Governance, XL Catlin (Dublin) David Payne FIA, FCAS, MAAA, CERA: Senior Manager, EY (New York)Alexander Hanks* FIA: Senior Manager, EY (London) [*Alexander is a member of the IFoA’s Working Party on Global Capital Standards: however this presentation does not reflect the views, official policy, advice or other insights from the working party.]

Speakers: Alex Hanks, David Payne, EY and Phil Whittingham, XL Catlin

C5: Three down, Two to go – Tackling Pillar 3

All insurers have gone through the first hurdle of Day 1 and the quarterly Solvency II submissions, but the bigger challenge of the annual submissions lies ahead. The first annual submissions of the SFCR, RSR and QRTs are due at year-end 2016 but insurers ready? This session will consider the lessons learnt from the Day 1 and Q1 QRT submissions and discuss how insurers can prepare for their annual QRTs and Narrative Reports.

Speakers: Sinead Kiernan, Carol Lynch, and Darren Shaughnessy, Deloitte

C6: Lloyd's Update

An annual update on various activities and results.

Speakers: Richard Rodriguez, Adhiraj Maitra, Lydia Rhodes and Catherine Scullion, Lloyd's

C7: How to Get it Right, and Keep it That Way: Leading-Edge Software Development Techniques Applied to Actuarial Modelling

Software engineering can be a hugely challenging endeavour. Software products are arguably the most sophisticated and complex artifacts ever created by human beings. Systems that run into millions of lines of code need an overarching structure and good, consistent design principles to manage their complexity. In addition, they need rigorous quality-control processes. Otherwise, they can become unreliable, or impossible to understand, maintain and extend.Much model development performed by actuaries today is essentially software engineering. Actuaries may work with high-level languages like those in Prophet, Igloo, Tyche, ICRFS, ReMetrica, or Excel, but the complexity and sophistication of the models produced in these environments can be comparable to systems produced by teams of software developers working with lower-level languages like C# or C++.Over the past 60 years, fantastically effective tools and processes have evolved for managing the complexity of software development and maintaining the quality of the software that is produced. These are used by the best software teams in existence today, such as those at Google, Apple or IBM. However, these techniques have not yet percolated through to us model-building actuaries, who by and large are comparatively working in the Stone Age. We have APSs, TASs and GNs that tell us what standards to meet when model building, but comparatively little practical support in how to meet those standards in the face of short deadlines and limited resources.This talk will introduce the body of quality control processes, design principles and architectural practices that are used by today's leading edge software teams. We'll move from high-level considerations all the way down to the nuts and bolts, and we will particularly focus on application of these techniques to actuarial model-building, where they can be used very effectively to improve quality, clarity, scalability and maintainability of the models produced, and simultaneously save us time. There is a lot to cover!The speakers have over twenty years' experience in software development and actuarial modelling, being both professional software engineers and experienced financial modellers.

Speakers: Mark Sinclair-McGarvie and Christopher Linley, RPC Consulting

C8: PPO Mortality Analysis

Synopsis to be confirmed soon. 

Speakers: Alice Boreman, Deloitte; Natasha Regan, RPC Consulting; Miriam Lo, Marcuson Consulting and Frank Chacko, British Gas Insurance

C9: Messaging and Framing Uncertainty - Findings from the MUQ Working Party

The 2014 GIROC reserving survey highlighted uncertainty as an area where actuarial reserving practice varies considerably from actuary to actuary.  It recommended that more focus should be made by the profession on both the measurement and communication of uncertainty and that more efforts should be made to share best practice. 
The working party will use the workshop to seek views from the profession for its proposals on: 
 - Suggested messages to actuaries and stakeholders on how to approach uncertainty 
 - A suggested (simple) sample framework approach (drawn from the wide ranging research that the working party undertook last year) 
The MUQ (Measuring Uncertainty Qualitatively) Working Party is a GIROC working party.

Speakers: Sarah MacDonnell, LCP; Keith Brown, AXA; Tim Jordan, MPS; Jinnan Tang, Insight Risk Consulting and Erin Bargate, Hiscox

C10: Opening the Box on Big Data and Probing the Fog of The Cloud

Big Data and The Cloud are the subject of much IT industry hype, but to deliver value to business users they need to understand the capabilities and benefits of these tools to their industry. We will use this workshop to define capability, understand options and address issues around jargon, security and analytics when applied to actuaries in the insurance industry.

Speaker: Tony Lovick, RPC Consulting

C11: Strategy Masterclass: 7 Killers of Collaborative Working

Speaker: Alan Donegan, Pop-Up Business School

Alternative capital has been a game changer for the reinsurance markets. With traditional markets also now facing the threat, insurers are adapting and embracing other forms of capital provision to the traditional equity model.

Speakers: 
Christian Bird, Validus Holdings
Mike Kontaratos, Vario Partners 
Nigel Williamson, Lloyd’s

D1: An Update from the PPO Working Party

Full update from the 2015 year-end PPO Quantitative survey, including:- How PPO Propensity has changed over time- Average profile of a PPO settlement by class of business- Mortality experience of PPO claimantsHighlights from the 2015 year-end PPO Qualitative survey, including:- Real discount rate assumptions- Difference under Solvency II - Changes to the risk transfer marketInteractive voting to compare views from survey to audience opinions.
Bodily injury Almanac. A website created to investigate the differences in compensation across jurisdictions with the intent of discussing the implications for the UK.

Speakers: Peter Saunders, Swiss Re, Fiona Annandale, PwC and Lydia Rhodes, Lloyd's

D2: Lessons Learnt from the Unlikely Marriage between Cyber Security Experts and Actuaries in Producing a Practical Approach to Cyber Modelling

Market demand and regulatory requirements call for a structured way in assessing cyber risk. We will discuss the lessons we have learnt during our effort in constructing a quantitative model which may assist users in providing a meaningful way of estimating exposures and accumulations, articulating and quantifying extremes scenarios, and ultimately assist underwriters with assessing whether to accept a risk and at which price. This is a practical approach which focuses not only on how to estimate frequency but also severity of cyber losses across a number of industry sectors.

Speakers: Stavros Martis and Ana Chavez, KPMG

D3: Making the most of your Granular Claims Data

Data-driven approach to large loss reserving – a fresh approach challenging pre-conceived actuarial ideas. This is a stochastic approach utilising path dependence of historic development on individual claims to project future development paths for outstanding claims. We will present a case study showing insights based on real large loss data. A side benefit is useful diagnostics for assessing individual claims behaviour based on scarce and volatile historic data.

Speaker: Matthew Pearlman and Richard Holloway, LCP

D4: European Wave I and Wave II IMAP Submissions and Findings

This presentation will consist of delivering the results of the Wave I IMAP submissions across Europe. This will include discussing the work that was performed by companies and the key areas of focus by regulators. We will provide insight into the feedback provided by regulators and what key challenges companies faced and how they overcame these. We will also discuss the  next steps for companies who have been accepted onto IMAP and also companies who are in Wave II.

Speakers: Matthew Wheatley and Robert Harrison, EY

D5: Better Sensing and Responding to Change (BeSeRC)

The Better Sensing and Responding to Change working party is researching practical and theoretical approaches to the four axes of listening, sense-making, technical analysis, and Influence. We will host roundtables to illustrate the concepts developed and solicit feedback.  

Speaker: Christopher Smerald, AIG

D6: Update from the Peril-Based Reserving Working Party

The working party has been developing an approach for simulating transaction level loss data so that the performance of established and future reserving and reserve variability techniques can be evaluated against a range of criteria.The workshop will present the material developed and the findings to date.

Speaker: Alex Marcuson, Marcuson Consulting Ltd

D7: New Developments in Economics and the Impact on General Insurance, Risk Management and ALM

New developments in economics and the impact on general insurance, risk management and ALM. Whilst the insurance industry emerged from the financial crisis of 2008 in a much stronger position than the banking sector, there were numerous lessons to be learnt and wider implications on the practice of risk management. It is important therefore that the insurance industry continues to try and understand the drivers that caused it. Economics has been developing rapidly in recent years, particularly since the financial crisis of 2008 exposed weaknesses in the dominant school of economics;the neoclassical school. Other strands of economic thinking, such as behavioural, evolutionary, post-Keynesian, and ecological economics, offer the promise of better ways of understanding and modelling the economy as a complex system. They could be helpful in answering some of the key research questions for actuaries. For example, what causes financial crises, what is a reasonable long run investment growth rate, how to get an environmentally sustainable economy and financial system and what causes short term changes in GDP and employment? This workshop provides a brief overview of some of the most important new thinking in economics and its relevance to actuaries, including the dangers of considering models in isolation.

Speaker: Oliver Bettis, Munich Re

D8: Joining Up Op Risk Modelling and Management

Most operational risk modelling efforts in insurance were brought over from banking, where wider availability of loss data encouraged a statistical approach to modelling. However, as business becomes increasingly complex, historical data is not necessarily a predictor of future behaviours and insurance processes tend to produce less data anyway. This session introduces an alternative approach which combines the appeal of scenario approaches with the numerical appeal of statistical approaches. It introduces methods for making scenario derivation more rigorous and building models "honestly" even when only expert judgement is available for some of the parameters. The resulting model supports projections, stress testing, reverse stress testing and is more engaging for business users.

Speaker: Neil Cantle, Milliman

D9: Exploring Alternate Realities: Counterfactual Analysis on Extreme Loss

In this second update, we provide insights from our research, market surveys and interviews. We also present case studies that help illustrate what is a proportionate validation.  

Speaker: Junaid Seria, SCOR Global P&C

D10: Economic Scenario Generators - Lessons Learned from History

Some UK insurers have been using real-world economic scenarios for more than thirty years. Popular approaches have included random walks, time-series models, arbitrage-free models with added risk premiums or one-year distribution fits. Based on interviews with experienced practitioners, this workshop traces historical model evolution in the UK and abroad. We examine the possible catalysts for changes in modelling practice with a particular emphasis on regulatory and socio-cultural influences. We apply past lessons to provide a non-technical perspective on the direction in which firms may develop real world multi-period economic scenario generators in future.

Speaker: Andrew Smith, Deloitte

D11: Strategy Masterclass: Intrapreneurship for Actuaries

Speaker: Alan Donegan, Pop-Up Business School

Inappropriate behaviour – avoiding it, spotting it and correcting it
Presenters will challenge you to identify various ethical quagmires which might face today’s actuaries and explore with you the appropriate resolutions. The emphasis will be on interactivity – come prepared to participate.
 

Speakers:
Richard Winter, Bank of England
Ann Muldoon, FRC
Christine McConnell and Neil Hilary, IFoA

E1: Is this Real Life? Is this just Fantasy?: Making Real World Scenarios Real

Is this real life? Is this just fantasy?: Making Real World Scenarios RealFinancial firms now make widespread use of stochastic models for diverse and business critical purposes including risk, capital management, liability valuation, pricing and investment strategy,. Given the models are widely relied upon, firms increasingly need to satisfy themselves that their stochastic models are fit for purpose. To do this it is necessary to understand the choices made in building a stochastic model and in what circumstances the chosen parameters may not be appropriate. This session will describe methods of testing stochastic models, and what those tests can tell us about a models’ strengths and weaknesses. In particular, the session will cover:Common areas in which stochastic models fall short;The suite of tests that you should consider to ensure that your model is fit for purpose;Challenges in testing stochastic models;What constitutes a good stochastic model? 

Speakers: Andrew Smith, Jason Doughty and Eamon Howlin, Deloitte

E2: Practical Session - Actuaries and Audit

Actuarial work plays a key role in the preparation of financial statements of general insurers and audit provides confidence to investors that the accounts provide a true and fair view. This workshop is suitable for those new to working in audit and those whose work is being audited as well as more experienced practitioners. It provides an update on developments in audit and offers practical insights through the use of a case study exploring challenges an audit may face. 
Format of session: Presentation and Case Study with group discussions. 
Presentation - Developments in Audit. Content will depend on publications in 2016 and the latest developments in audit and may include:
 - Update on the Audit Regulation and Directive (ARD)
 - Audit related to Solvency II balance sheet
 - FRC's work to promote the quality of actuarial work in audit 
 - Training needs for actuarial work in audit
 - Changes in audit regulation relevant to actuaries (eg – audit provisions in the revised TASs) 
Case study:A challenging auditing assignment looked at from the point of view of the internal actuary and the auditor. Considerations may include: Complicated data (eg numerous spreadsheets); tight timescales; unclear reconciliations; communication to the Audit Committee; exercise of scepticism and retention of evidence; political pressures
Group discussion and feedback session about ways to approach the situations.

Speakers: Natasha Regan, RPC Consulting and Karen Seidel, Lloyd's 

E3: Bank of England Update

The session will cover:
• Solvency II reporting: common themes and trends that have been observed in firms’ understanding of Solvency II reporting and differences from previous statutory reporting, both expected and unexpected
• Actuarial function Reports (AFRs): observations on the AFRs seen to date
• Monitoring the market initiatives: Stress Testing, Technical Pricing and Reserving.

Speakers: James Orr, Stefan Claus and Nylesh Shah, Bank of England

E4: Machine Learning Techniques and its Application in Pricing

This is an presentation from the Advanced Pricing Techniques working party. We will talk about the following topic in this session:- Update on latest development of machine learning techniques- Use of machine learning techniques in pricing- Case study of using ML in pricing practiceNote: the name of my employer is wrongly captured even I have updated it in the profile. I am with RPC Consulting now.

Speaker: Dr Ji Yao, RPC Consulting

E5: Cyber Risk Working Party

The cyber risk working party have been considering cyber risk issues impacting insurers, e.g. cyber attacks, systems failures and data theft. This talk will provide an updated view on the risks faced by insurers, and discuss the impact this has on risk capital and risk mitigation. It will consider these issues in the light of continuing advances in systems and technology which result in constant changes to underlying exposure. 

Speakers: Dani Katz, Optalitix and Ryan Rubin, Protiviti, Paul Klumpes, Norwich University, Keat Ang, Bank of England, Rory Egan, Munich Re, Ramiz Mohamed, XL Catlin

E6: Behavioural Finance for Actuaries

Decision makers are often not rational which can lead to poor decision making as a result of behavioural bias. This is particularly important given the Actuaries’ Code requirements and FCA focus in this area. This session is based on the findings from primary research carried out with actuaries in April 2016 and looks at:
• What biases actuaries demonstrate in practice
• Whether actuaries are more or less biased than the general population
• How actuaries can minimise the impact of biases in their work
• How actuaries can effectively communicate with users of actuarial work

The work has been undertaken by a cross-practice working party, which is reviewing the application of behavioural finance to actuarial work. The aim of the working party is to improve understanding and to provide recommendations of how behavioural finance can be incorporated into actuarial work to enhance the role of the actuary and lead to more effective decision making.

Speakers: Kathy Byrne, Askis Limited and Paul Cook, Grant Thornton

E7: Delivering Value from Unstructured Text Data with Machine Learning

Unstructured text data such as underwriter notes, loss descriptions and customer comments contain a wealth of information that can be used in areas such as Pricing, Fraud and Customer Service. Additionally Social Media networking activity has seen exponential growth in recent years leading to an explosion of free form text data. The ability to make use of this information is seen as the next frontier in predictive analytics. However without the right tools and techniques making use of this data is challenging at best.This session is hands on and practical – we start by introducing the dataset : 27,000 historic job advertisements taken from TheActuaryJobs.com. We will cover the end to end process starting with data preparation and cleaning, and demonstrate how to automatically identify the key “themes” contained within the Job Description field using Topic Modelling - a state of the art machine learning algorithm. Finally we will demonstrate that it is possible to accurately predict the probability of an advertised role paying more than £70,000 using only the items (both structured and unstructured) contained in the job specification.

Speaker: Tony Ward, Machine Learning Solutions

E8: Beyond Actuarial: Taking Reserve Uncertainty out into the Business

Are we spending enough time thinking about the practical side of reserve uncertainty?Reserving matters a lot. A list of processes in an insurance company that take reserves as an input will confirm this. Reserves themselves can be subject to material uncertainty and, as a profession, we spend a significant amount of time trying to quantify that uncertainty.But where does that analysis end up? Does it feed through to key give context to key business decisions or does it stop with a section in a report and the parameterisation of a capital model?In this session, we will explore:The ways in which consideration of reserve uncertainty might improve decision making across a number of other functions within your company.Practical approaches for helping people outside of the reserving team get to grips with what reserve uncertainty might mean for them.More generally, how actuaries might help promote a framework for taking uncertainty into account when making key business decisions.We will draw on case studies from across the market throughout our session.We will also invite our audience to explore changes in their own decision making under a variety of uncertainty scenarios.

Speakers: Paul O’Connor, Azimuth Insights

E9: 2017 Global Reinsurance Outlook - A Rating Agency Perspective

This session will provide the following: 1. an update on the major issues affecting reinsurers; 2. outline the driving forces currently reshaping the global reinsurance landscape, including M&A; 3. risks and challenges faced by the sector in 2017; 4. update on alternative reinsurance capital; 5. reinsurance in a Solvency II world.

Speakers: Martyn Street and Harish Gohil, Fitch Ratings

E10: Alternative Assets for General Insurers

Alternative assets, such as illiquid assets and absolute return funds, have become more common in the insurance industry. Thus far they have been more common in life insurance.As interest rates continue to be low, the search for returns goes on and alternatives are becoming more common in general insurance space as well. In this presentation we cover: 1. Alternative assets used in the insurance industry 2. Rationales for general insurance investors 3. How to employ these in a return on capital framework4. Practical and operational considerations. These asset classes are often stepping into space previously occupied by the banking industry and aren't always tailored to an insurance investor. But with careful preparation there could be an opportunity for returns.

Speaker: Ben Grainger and Ryan Allison, EY

Paul Mason is a writer, broadcaster and film-maker who speaks on the area of economics, 
globalisation and the future of capitalism. As Economics Editor for Channel 4 News from 2013-2015 he covered all aspects of the UK and global economy, markets, labour and commerce. 

Previous to his role as Economics Editor, Paul was Channel 4’s Culture and Digital Editor examining the social, cultural and business impact of the new age of digital and online.