You are here

GIRO Conference 2017

17-20 October 2017

About this event

GIRO is attended annually by over 800 delegates and speakers who are keen to discuss key topics such as Pricing, Reserving, Modelling and the future of the insurance industry. Last year we had a record number of delegates in Dublin - over 860 professionals came together for this annual conference.

Please note: Delegates are required to source their own accomodation. As the event is in Edinburgh there is plenty of choice to suit all budgets. 

Registration Tue, 17/10/2017 - 18:00 - 19:00 Registration Opens

Registration will be taking place in the Strathblane Hall and Atrium Foyer from 18.00-19.00 on the Tuesday evening.

Dinner Tue, 17/10/2017 - 19:00 - 22:30 Buffet Dinner and Exhibition

The buffet and exhibition will be taking place in the Lennox Suite Level -2.

Plenary session Wed, 18/10/2017 - 08:45 - 08:55 Chairs Opening

Sameer Keshani, Chair, GIRO Conference 2017. 

Plenary session Wed, 18/10/2017 - 08:55 - 09:05 Presidential Address

Colin Wilson, Immediate Past President. 

Plenary session Wed, 18/10/2017 - 09:05 - 10:05 Plenary 1

Ann Pettifor 

Ann Pettifor is a UK-based analyst of the global financial system, director of Policy Research in Macroeconomics (PRIME) a network of economists concerned with Keynesian monetary theory and policies. Ms Pettifor is an honorary research fellow at the Political Economy Research Centre at City University, London (CITYPERC) and a fellow of the New Economics Foundation, London.  As executive director of the consultancy Advocacy International, she has advised governments and organisations on sovereign debt restructuring, international finance and sustainable development. Ms Pettifor is best known for correctly predicting the Global Financial Crises in several publications including in a book ‘The Real World Economic Outlook’. In 1999 she was granted the freedom of the city of Callao in Peru for her work on debt cancellation for Peru, and the President of Nigeria, President Obasanjo, made her a Member of the Order of the Niger (MON) for her work in leading the campaign to write off billions of dollars of debt owed by Africa's poorest countries.

Plenary session Wed, 18/10/2017 - 10:05 - 10:50 PRA Update
Workshop Wed, 18/10/2017 - 11:00 - 11:50 Workshop Session A

A1: Update form the Modelling, Analytics, and Insights from Data (MAID) Working Party

The world of Data Science continues to be both a threat and an opportunity for actuaries in traditional and new areas of work. The IFoA Council are keen to see our strategy develop and build on the work of the Modelling, Analytics, and Insights from Data working party 'MAID'. This session will be an opportunity to share progress, exchange views about what data science means for the profession, and most importantly, what we can and should be doing to engage with it as actuarial professionals.

The event will be facilitated by members of the MAID working party.

Speaker: Stelio Passaris, FIS Global

A2: Update from the PPO Working Party
The update from the PPO Working Party will cover the latest findings of the industry quantitative survey based on data as at 31st December 2016. Key areas that will be covered include:

  • Overall PPO propensity, and PPO propensity by a variety of factors such as class (Motor / Liability), settlement year, accident year, injury type and age.
  • Metrics such as future life expectancy and reduction in life expectancy by our injury and care regime categorisations.
  • Any other interesting trends we are seeing the data.

Speakers: Patrick Tingay

A3: Potential impacts of Autonomous Vehicles on the UK Insurance Sector
The development and uptake of autonomous vehicles (AVs) is likely to be gradual. Nonetheless a survey of industry experts highlights the diversity of responses and suggests rapid uptake is possible.

The central forecast of experts predicts a contraction of the UK motor insurance market by 2040 but how much of a contraction? Capital requirements are also expected to fall as cars become safer but will capital requirements fall by as much as premiums?  

A gradual introduction of AVs may allow insurers time to adapt but what might a motor insurer’s business model look like once autonomous cars become increasingly popular?

We share findings from our Bank of England Quarterly Bulletin on the Potential impacts of autonomous vehicles on the UK insurance sector. 

Speakers: Chris Wiltshire, Nick Silk and Stefan Claus, Bank of England

A4: Machine Learning Methods for Modelling Insurance Claim
This presentation is an initial output of a project supported by Society of Actuaries on 'Machine learning methods for modelling insurance claims'.  It is a literature review on the topic.

First, we will cover the existing developments in GLM modeling of insurance claims and recent research on applications of machine learning techniques to claim modeling.

Second, we will provide an overview of machine learning methods, emphasizing variable selection techniques in the context of GLM models or other claim prediction approaches. In particular, we will consider penalized maximum likelihood or regularization methods such as the LASSO, elastic net, random forests and support vector machines.

Speakers: Ji Yao, RPC, Jaideep Oberoi and Jim Griffin, University of Kent

A5: IPF and Asbestos Reserves - Salvation or Damnation?
To date, insurance loss cost estimates for asbestos-related diseases in the UK have been dominated by mesothelioma rate assumptions.  However, a recent study throws up an interesting challenge to actuaries working in this area.

A recent study has shown a strong correlation between UK asbestos imports (appropriately time lagged) and deaths classified as idiopathic pulmonary fibrosis (“IPF”).  IPF is a lung condition causing 4000 deaths each year, more than 50% above that of mesothelioma, but with no attributed cause.  While there is as yet no causal link established, the implications of one being accepted in court are extremely serious. 

In this session, Miriam Lo, an actuary, and Dr Chris Barber, a medical expert and author of the study, will discuss whether a link between asbestos and IPF might exist, and if so, what the implications, good and bad, might be. 

Note: This session will assume only a basic familiarity with issues surrounding asbestos-related diseases.

Speakers: Miriam Lo, Marcuson Consulting Ltd and Dr Chris Barber, Health and Safety Laboratory, NHS

A6: 2018 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; 3. risks and challenges faced by the sector in 2018; 4. update on alternative reinsurance capital.

Speakers: Graham Coutts and Harish Gohil, Fitch Ratings

A7: Visualisation and Validation of Capital Modelling Outputs
Communication of complex and technical work remains a challenge for the profession, particularly with regard to capital models as such outputs are used in wider areas such Risk Management (in particular, model validation). Communication challenges arise across all communication groups (upwards to senior management, to our peers, regulators, to other related users of the model outputs, and indeed even to the actuaries working on their own models).

Key learning points include:

  • Sample of strategies for communicating such technical detail with example visuals 
  • Example of employing such visual aids in other business functions
  • Possible implementation approaches 

Speaker: Nasir Shah

A8: Parameter Error in the London Market
As London Market actuaries, do we rely too much on judgement? Where and when should we just say, "I don't know". This presentation touches on the perils of using too little data in commercial decisions, where this is not presented along with clear communication of uncertainty.

Speakers: Buu Truong and Mark Lee, Insight Risk Consulting

A9: Enhancing Investment Strategy; Issues and Opportunities in the Current Investment Climate
European non-life insurers are increasingly looking to refine their investment strategy and optimise their assets backing liabilities. We will explore three key issues and opportunities for consideration in this context: The sustained low yield environment and the realisation that these yields are here to stay; this has triggered a wider review of firm’s strategic asset allocation, in a bid to improve investment income and profitability Investment governance implications of changing an investment strategy; how do firms better understand their risk profile, achieve a well-integrated finance function and justify their asset allocation decisions? Managing the business on multiple balance sheets; how can adopting a different approach to investment strategy help to meet Solvency II, IFRS, EV and local accounting requirements?

We will leverage our experience in the market to provide insights into how firms might enhance their investment strategy approach in order to meet demanding business objectives.

Speakers: Ryan Allison and Ben Grainger, EY

A10: What is the Optimum Reserving Team Structure?
We have performed a market wide study of the size and shape of reserving team, gathering data from a variety of insurers small to large, niche players to multi-lines.

Our study addresses a number of questions:

  • What are the key drivers of the size of reserving teams?
  • What are the greatest challenges facing reserving teams and how can these be mitigated?
  • What are the opportunities for greater efficiency?
  • How can reserving teams become better business partners?

·What do future technologies means for the reserving function?

Speakers: Alice Boreman, Deloitte

A11: TBC

Dinner Wed, 18/10/2017 - 12:00 - 13:15 Lunch
Plenary session Wed, 18/10/2017 - 13:25 - 14:10 Plenary 2: Core Topics

Core Topics

Capital

Pricing 
Speakers: Steven Powell, HCC and Wendy Seago, Aviva

Reserving
Speakers: Simon Margetts, EY and Paul Moorshead, Aviva

Further details will be available in due course. 

Plenary session Wed, 18/10/2017 - 14:20 - 15:05 Plenary 3: Core Topics

Core Topics

Capital 

Pricing
Speakers: Steven Powell, HCC and Wendy Seago, Aviva

Reserving
Speakers: Simon Margetts, EY and Paul Moorshead, Aviva

Further details will be available in due course. 

Refreshments Wed, 18/10/2017 - 15:15 - 15:45 Afternoon Refreshments
Workshop Wed, 18/10/2017 - 15:55 - 16:45 Workshop Session B

B1: ESG Investing: An Introduction for GI Actuaries
This practical session will first explain the concept of ESG investing and help dispel some misconceptions about the topic. We will then show how environmental (E), social (S) and governance (G) factors can have a material financial impact on investment returns and so demonstrate how taking account of ESG issues has the potential to add value and reduce risk. The session will then finish by looking at a case study which shows how ESG issues can be practically implemented into a general insurer’s established investment strategy.

Speakers: Sophie Coleman, Novae Management Group and Sandy Trust, Grant Thornton

B2: Solvency II Practical Review Working Party
The objective of the working party is to identify the key practical issues with the application of Solvency II, which, following the TSC Inquiry, can help guide the PRA with the modifications on Solvency II post Brexit. We will set out the results of our market-wide survey, which is due to be carried out in mid-April, to obtain an industry view of these practical issues and ensure our research is in line with the views of wider practitioners.

The presentation will cover the key practical issues and possible recommendations around Capital (Standard Formula) and Technical Provisions and any associated reporting requirements.

The audience will need a working knowledge of Solvency II though those with no/ basic knowledge will also benefit by getting a view on the key issues.

Speakers: Amrita Pattni and Henry Medlam, Guy Carpenter, Catherine Drummond, Lane Clark & Peacock, Yuming Mei, Mazars

B3: The Practical Brexit - Regulatory, Tax, Capital and Operational Strategies
This will be an interactive session covering the practical considerations of Brexit for insurance firms. They will cover key issues such as maintaining access to passporting rights, tax and regulatory optimisation and various operational considerations.

They will also discuss a number of potential corporate and legal entity structures for the post Brexit world as well as the various vehicles and mechanisms that can be used to implement and achieve the desired corporate structure.

They will also cover a number of case studies and the broader trends that we are seeing in the market. As this is an interactive session, the audience will be encouraged to share their experiences, views and observations of the developing landscape.

Speakers: Bharat Raj, Howard Jones, Roy O'Neil and Simon Blackburn, Grant Thornton

B4: Insurtech - Threat or Opportunity?
Insurtech is a looming threat to those that remain unaware. There are a number of ways to make this an opportunity.

  • Business models need to adapt to replicate the best characteristics of insurtech. In some areas this will require a ground up rebuild of systems, processes and cultures.
  • Insurtech covers a large number of pain points for incumbents. They can be viewed as minimal cost resource that produces a solution designed for specific issues they identify. Early engagement and support can support incumbents in transforming themselves.
  • New business models allow insurers to diversify their portfolio and reach diifferent consumers.

Insurtech can be the ultimate meritocracy

  • Why it is never too late to get involved.
  • What skills and characteristics should you work on if you wish to get involved?
  • How many insurtechs see success and how can you increase your chances if you start your own.

Speaker: Visesh Gosrani

B5: Everything you wanted to know about Regulation.. and more...
This session is likely to include :

  • Changes to the Actuaries' Code;
  • APS X1;
  • Changes to the Practising Certificate regime;
  • Risks to the public interest which arise from actuarial activity
  • The new TAS framework

Speakers: Christine McConnell, IFoA and Ann Muldoon, FRC

B6: Navigating the ORSA
This session will look to cover the following:

  • Supervisory areas of focus when reviewing an ORSA
  • Observations on the ORSAs across the market and easy wins
  • Quantitative observation / trends we’ve seen in stress and scenario testing and risk appetites in the context of the ORSA.
  • Differences and similarities we’ve seen in stress and scenario testing and risk appetites between sub-sectors (e.g. London market versus retail, Life versus GI)
  • Emerging risks highlighted in the ORSAs

 Speakers: Amanda Istari and Elena Papastylianou, Bank of England

B7: Capital Modelling: A Business Perspective
The total cost of implementing solvency II has been very significant, especially in the development of the capital model. The workshop will explore what value the capital modelling process provides to key stakeholders within the business, including management and capital providers, and how they could get more out of it. We will explore the link between the business planning cycle and capital setting, discussing the challenges actuaries and risk managers face. The workshop will also cover a business perspective on the validation of the Internal Model, with case studies on a couple of risk components.

Speakers: Veekash Badal, Milliman and Adhiraj Maitra, Lloyds

B8: Underwriting Risk Charge Calibration for Standard Formulas- New Lessons from US Experience
This session will present findings that include:

  • Dependency: Simple line of business dependency relationships are as accurate as complex methods, and simpler methods can be more readily calibrated.
  • Line of Business Risk Factors: Specialty companies have different line of business risk factors than non-specialty companies, for the same line of business.
  • Interest Rate Environment: Underwriting risk factors vary with interest rates in ways that are problematic with rising interest rates.
  • Solvency II calibration methods: A comparison Solvency II and US underwriting risk factor calibration methods.
  • Back-Testing: An evaluation of the accuracy the US RBC Formula in predicting underwriting variability.
  • Time Horizon: Multi-year dependency creates higher risk than might be considered in standard formula one-year time horizon calibrations.

And more…

Speaker: Allan Kaufman, FTI Consulting

B9: Implications of Changing Customer Behaviour in Personal Lines Insurance

An examination of changes in buying behaviour in personal lines insurance. A comparison of the development of motor insurance with the current position of the home market. The changing customer behaviour is used as a basis for assessing impact on individual margins, and ultimately business valuations. 

Speakers: Fiona Anandale, PwC and Ian Burningham, LBGI

B10: Finance Effectiveness: How to Free Up Your Time to do more Interesting Things
Want to release actuarial and finance resources from the chore of slow, manual and onerous processes? Want to get them back to actively managing the risk and finances of the business?

Enhancing processes has never been more important to insurers. The additions to the reporting processes of Solvency II and, for some in the future, IFRS 17 can and will have a noticeable impact on time and resources.

This workshop will discuss:

  • The challenges facing actuarial and financial reporting teams
  • Streamlining processes and reducing the working day timetable
  • Automating processes using robotics
  • Improving controls in actuarial and financial processes
  • Developing model risk frameworks
  • Success stories

Speakers: Adrian Gilder and James Cruttenden, Grant Thornton

B11: Masterclass TBC

Workshop Wed, 18/10/2017 - 16:55 - 17:45 Workshop Session C

C1: Reserving in the Pressure Cooker
Reserving processes are under pressure from all sides in companies. The focus is on faster close processes with no surprises along with “value add” MI.  Recent financial years have benefited from prior period development in reserves supporting company P&Ls following 2010 – the absence of such development in future places additional strain on reserving processes. 

Pressure on the reserving cycle, unexpected regulatory changes, the demands of tighter solvency 2 reporting timetables, IFRS projects, and consistency between reserving and reserve risk in capital modelling makes reserving as intricate as ever. Chief Reserving Actuaries must tread a careful path between the needs of Boards; CFOs; regulators and policyholders. This presentation focuses on the timescales and pressures of the reserving cycle and ways of managing the resulting conflicts.  It will look at automation techniques to relieve the perfect storm in reserving processes.  Interactive Q&As will be used to explore further the pressures on the reserving processes in 2017 and beyond.

Speakers: William Diffey, The Warranty Group and Apollos Dan, Risk Dynamics/McKinsey

C2: TBC

C3: Improving Claims Performance

Speakers: Matthew Facey and Tom Helm, Willis Towers Watson

C4: Who benefits from InsurTech?
In this interactive session they will:

  • Take a dispassionate view on the 'strategic' status of the insurance industry (traditional business models, minimal change vs. huge societal and technology changes)
  •  Explore the InsurTech trends we see in the industry and importantly the potential implications to insurance business models.
  •  It will be an interactive session that will capture the audiences views on these trends - from reengineering the insurance value chain, potential of fragmentation through to wholesale displacement.
  • And they shall examine the benefits of InsurTech to help the Bank of England identify, monitor and assess market wide trends using AI and machine learning.

Speakers: Stefan Claus and David Jeacock, Bank of England

C5: Predictive Modelling for Customer Targeting: A Banking Example
The audience will learn how leading companies (Netflix, Amazon, etc) apply customer targeting, why it is important (product relevance, cross-selling...), some predictive modelling techniques used (Naive Bayes and Support Vector Machines, maybe more if time allows) and how to deal with class imbalance.

It is aimed at an audience that is interested in predictive analytics but is not necessarily familiar with the topic.  The presentation has an introduction with one or more known examples (Netflix, Amazon, etc) followed by a banking case study.  

Speaker: Pedro Ecija Serrano

C6: Debate session: Fairness in GI insurance – Actuarial and Customer Ethics Survey
The presenters will provide an executive summary of their paper before opening up to challenge and debate from the audience (who are expected to have read the paper in advance).

The paper will compare and contrast the results of two surveys, one of actuaries and the other of the public, which will seek to understand what is perceived to be ethical and fair behaviour on the part of a general insurance company.

Speakers: Paul Moorshead, Aviva and Kirstin Barker, PwC

C7: Bayesian Hierarchical Models for Loss Development
In this talk we discuss Bayesian approaches to modelling cumulative paid/incurred loss development, with applications to growth curves and compartmental models:

  • They first introduce Bayesian modelling as a concept, discussing the benefits of Bayesian approaches and interpretation of model outputs.
  • They provide an overview of Markov Chain Monte Carlo and Hamiltonian Monte Carlo algorithms for reverse distribution estimation, and summarise how the open-source software 'Stan' can be used for the numerical computation.
  • An application of these techniques is demonstrated for estimating reserves using aggregated triangle data, and additional applications are explored
  • Finally, we discuss the strengths and weaknesses of these methods together with possible extensions.

Speakers: Michael Cooney, Barnett Waddingham, Cynon Sonkkilia, AIG and Jake Morris, Liberty Specialy Markets

C8: Navigating The People & Processes In Your Organisation & Influencing Positively
The term 'office politics' usually has a lot of negative connotations and indeed an inability to be able to navigate an organisation's formal processes and interact effectively with others at work can have far reaching adverse consequences.

Conversely, when people understand how their organisation really works and are equipped with the skills and confidence to engage effectively with different people of varying seniority and personality type, there are many benefits for both the individual's career and the organisation. Often, a halt in an individual's career progression can indicate that they lack positive political intelligence. Once individuals are equipped with the awareness and skills of how to be positively politically intelligent then more effective working, better decision making and ultimately improved organisational and individual performance are the result.

Navigating The People & Processes In Your Organisation & Influencing Positively will look at what organisational politics is, why it occurs and what individuals need to focus on to improve personal political intelligence.

Speaker: Joanna Gaudoin, Inside Out Image

C9: Pillar 3: Supporting Market Understanding or Just Holding us up?
Following the industry roundtable discussions and market review of UK insurers’ SFCRs, they’ll be sharing emerging themes, including:

  • Lessons learned from those working within Pillar 3
  • Quality of SFCRs so far, including case studies
  • Key market metrics, including capital coverage
  • Extracting value from SFCRs
  • Current challenges for practitioners

The talk will be interactive, including polling of audience views to encourage discussion and debate.

Speakers: Catherine Drummond and Laura McMaster, Lane Clark & Peacock

C10: Developing Approaches to Parameter Uncertainty in Capital Modelling
The presentation will start with a quick review of the general principles of uncertainty in modelling, and the distinctions between the different types (in particular between parameter and process uncertainty).

Based on this, they will proceed to examine the current state of play within capital modelling specifically, discussing how well embedded parameter uncertainty is in various risk areas and where gaps currently exist. They will talk more about specific areas where we feel there is room for improvement on current practice, in particular how to join up thinking between internal and external models, and why certain areas (including potentially underwriting risk, correlations and market risk) remain untouched. 

Finally they will discuss some practical methods being developed to give delegates some concrete ways of examining the potential impact on their own models of including this additional uncertainty, and how to go about adding this functionality into their existing models.

Speaker: Neil Gedalla, Lane Clark & Peacock

C11: Masterclass TBC

Social Wed, 18/10/2017 - 17:45 - 19:30 Leisure time
Dinner Wed, 18/10/2017 - 19:30 - 23:30 Drinks reception and optional dinner/activity

Further details to follow. 

Plenary session Thu, 19/10/2017 - 09:00 - 10:00 Plenary 4: Machine Learning

Duncan Anderson, Managing Director, Willis Towers Watson and Tony Bradshaw, Regional CEO Allianz Benelux

Plenary session Thu, 19/10/2017 - 10:00 - 10:15 Hot Topic Pitches
Refreshments Thu, 19/10/2017 - 10:25 - 10:55 Morning refreshments
Plenary session Thu, 19/10/2017 - 10:55 - 11:40 Hot Topics 1
Plenary session Thu, 19/10/2017 - 11:50 - 12:35 Hot Topics 2
Dinner Thu, 19/10/2017 - 12:45 - 14:00 Lunch
Plenary session Thu, 19/10/2017 - 14:00 - 15:00 Plenary 5: The Importance of Professionalism in Today’s Financial Sector

Sir Win Bischoff

Sir Win Bischoff is Chairman of the Financial Reporting Council in the United Kingdom and Chairman of JP Morgan Securities plc.  He is a Director of S&P Global Inc, and is a member of the International Advisory Board of Akbank TAS, Turkey. 

Sir Win Bischoff is a former chairman of Lloyds Banking Group and is a non-executive director at S&P Global, Eli Lilly and Company, Land Securities, Akbank and Prudential. He is a member of the 30% Club, a group of FTSE-100 Chairmen committed to having at least 30% of their Board members being female.

Plenary session Thu, 19/10/2017 - 15:10 - 16:10 Facilitated round table discussions
Refreshments Thu, 19/10/2017 - 16:10 - 16:40 Afternoon refreshments
Workshop Thu, 19/10/2017 - 16:40 - 17:30 Workshop session D

D1: Flood Experience in the Market
This session will provide an update on the work of the Flood Working Party over the past year, focusing on the experience of the industry since the introduction of Flood Re in 2016, and presenting high level results from an industry-wide data call concerning historical flood claims by region. There will be an opportunity to discuss how members of the industry can work together to help improve the resilience of homes and better reflect this in pricing, with the long-term aim of making pricing fairer for the consumer, even in the eventual absence of Flood Re.

Speaker: Philippa King, Aegus

D2: Parameterising emergence factors
Emergence factors are a popular method for calculating one-year reserve risk from ultimate reserve risk. It is a popular method because it is simple and flexible. However no wholly satisfactory method of parameterising emergence factors has been found. Robert will discuss the pros and cons of emergence factors compared to some of the alternatives, and distinguish different uses of emergence factors. Robert will describe some of the methods currently used to parameterise emergence factors, and then discuss some of the ways in which these methods are unsatisfactory. Robert will then discuss more generally the difficulties faced in finding any satisfactory method of parameterising emergence factors.

Speaker: Robert Scarth

D3: Mitigating the Risk of Epidemics
Each year, infectious diseases claim the lives of nearly 15 million people worldwide, including over 400,000 from food-borne illnesses alone. This results in a devastating emotional and financial impact, leading to billions of dollars in economic losses annually. In the year of the Zika virus, the continued threat of infectious diseases remains significant, which is why today, Metabiota, the pioneer in comprehensive epidemic risk analytics that help protect global health, is providing insight into what to expect in the year ahead.

Pandemic and epidemic risks need to be taken very seriously. How seriously? 

Calculations show such costs varying from a relatively modest 450 million US dollars due to the 2013 Enterovirus 71 in China to the staggering sum of 77 billion US dollars due to a large 2012 case of foodborne Illness in the US. The extent of humanitarian horror is not always a good predictor of the extent of the damages. Other factors also play a significant role.

Speaker: Petra Wildemann

D4: Technical Aspects of IFRS 17 Technical Provisions
The workshop will discuss technical aspects of IFRS 17 technical provisions including:

  • Practical aspects of calculating the risk adjustment, including the advantages and disadvantages of alternative methods
  • Methods for assessing the discount rate, including the application of investment modelling
  • Other key issues such as segmentation, contract boundaries, onerous contracts test, the treatment of reinsurance, transition rules etc.

Speakers: Matthew Facey, Peter England and Richard Bulmer, Willis Towers WatsonD5:

D5: Unravelling the Spreadsheet Web
Is your modelling network like the NY Grid or more akin to London Sprawl? How confident are you in the figures derived from this modelling network which drive your daily business decisions?

We have all been involved in building or utilising complicated models but do we know the extent of the network that each of these models feed into? And are we comfortable that we know the linkages. For instance, do we know how many macros are embedded? How many formulae are hard-coded? If any links are broken? Worksheets hidden?

Now is the time to dig into this area!

This session will provide an overview of what constitutes ‘model error risk’, how this is identified and measured, as well as how it can be eventually managed and mitigated.

  • Common challenges
  • Mapping your modelling environment: visualise how spreadsheets link together
  • Analysing how to determine the ‘red flag’ areas based on varying risk appetites
  • what is good model risk assessment framework

Speakers: Chloe Paillot, Kirsty McFall and Andrew Wood, Deloitte

D6: Lloyd's Annual Update
Further details to follow.

Speakers: Catherine Scullion, Adhiraj Maitra, Richard Rodriguez and Emma Peacock, Lloyd’s

D7: Should you be Reserving Judgement over your Reserving Judgements?
Applying the standard reserving methods without careful consideration can result in inappropriate judgements and unintended consequences.  In this session, they’ll look at some of the common pitfalls which might befall a reserving actuary, and provide insights and ideas as to how to spot and avoid these.  They will also be presenting new ideas and extensions to the Bornhuetter-Ferguson method, to add to the reserving actuary’s toolkit and to improve the quality of the reserving judgements made.

Speakers: Robert Murray and Charles Stone, Lane Clark & Peacock

D8: A Collaborative Approach to Risk Assessment, Underwriting and Risk Management for Cyber Insurance
A joint presentation by the Deloitte Actuarial and Cyber Risk experts discussing the risks associated with the development and evolution of the cyber insurance market. The presentation will cover recent developments in the cyber space followed by an open-discussion where actuarial, cyber and insurance professionals will be encouraged to discuss and share thoughts on key issues facing the cyber insurance industry particularly around quantification, lack of data, silent coverage, non-geographic accumulation, exposure management, correlation of attacks, network risk and the significance of the human element.

Speakers: Jeremy Haynes, Andrew Johnson, Matt Wilson and Susie Zhang, Deloitte

D9: IMAP and Major Model Change – Are we all Wave 2 Firms Now
This session will be a roundtable discussion focused on internal model approval (IMAP), including re-approval following major model change.

The discussion will be led by the attendees and we will be using voting to stimulate open debate.

Key topics that will be discussed include:

  • The key go/no-go decision – how best to decide whether an internal model is the right choice?
  • How to ensure major model change submissions are efficient?
  • What does Brexit mean for model approval?
  • Managing internal stakeholders
  • How best to engage with the regulators?

Speakers: Andrew WIldon, NHBC and Tom Durkin, LCP

D10: Benefits of an Economic Capital Model for a Standard Formula Firm
This session will describe a case study in which an economic capital model was used for a strategic asset allocation study for a firm using the Solvency II standard formula. The approach enabled the firm a) to adopt consistent definition and measurement of risk between underwriting and investment operations for steering purposes and b) to incorporate solvency ratios as a constraint in the selected investment strategy.

Speakers: Nigel Hooker and Alexander Tazov, Conning and Peter Jackson, FBD Insurance

D11: Masterclass TBC

Social Thu, 19/10/2017 - 17:30 - 19:00 Leisure time
Dinner Thu, 19/10/2017 - 19:00 - 23:55 Conference dinner
Workshop Fri, 20/10/2017 - 09:30 - 10:20 Workshop Session E

E1: Sensing and Responding to Signal vs. Noise
Sensing and responding to change requires technical tools in addition to the individual and group processes presented at last year's GIRO. Each needs the others. They have found applications of quality control statistics which will give actuaries a fighting chance in getting underneath the impact of change on our actuarial projections. This should be useful for actuaries in reserving, pricing, risk management and wider fields. Chris will be showing a case study illustrating our tools, methods and ideas.

Speaker: Chris Smerald, AIG

E2: TBC

E3: Come on Down, Your Price is Right… Or is it?
This highly interactive session on customer pricing in General Insurance will inform and challenge. They will ask the audience to undertake a social experiment on the treatment of customers and we will assume the roles of the insurance industry and the customer to justify different perspectives and to draw comparisons to other industries. They will use real customer feedback to inform our perspectives of the fairness of existing approaches.

This debate comes on the back of recent high profile interventions from the Ombudsman and the FCA and supports the profession’s commitment to put the public interest first.

Speakers: Ben Symington and Simon Warsop, Aviva

E4: The Role of Actuaries in Shaping and Implementing better Financial Protection against Disasters in in Low and Middle Income Countries
Over the last ten years great strides have been made to reduce extreme poverty around the world. However, many people are still vulnerable to falling back into poverty.  In particular, more people than ever are vulnerable to the threat of being thrown back into poverty by an extreme natural event.  

Governments around the world are increasingly looking for ways to increase the financial resilience of their economies, budgets and populations.  In parallel, innovations in data systems and financial instrumentation are providing governments and their development partners with a wide menu of financial solutions to choose from. These trends have made the actuarial skill set increasingly important in the fight against extreme poverty.  

This session will showcase examples from around the world of actuarial work that has helped governments and their partners to make informed investment decisions, and provide a backdrop for a proposed research working party on disaster risk finance.

Speakers: Naomi Cooney, World Bank Group and Daniel Clarke, Government Actuaries Department

E5: Approaches and Considerations in the Trending of Reserving Assumptions
The approaches taken when selecting reserving assumptions are a key determinant in the reserving philosophy of an insurer. One of the key factors in the selection of reserving assumptions is the decision whether to trend assumptions. This decision can be financially material and will influence the extent and pace that an insurer responds to emerging claims trends in its reserving.

However, the actuarial literature on trending of reserving assumptions is not as prevalent as those available on the trending of pricing assumptions. As such, an examination of the approaches and considerations in the trending of reserving assumptions could be of value to actuaries.

The purposes of this presentation are to:

  • Highlight the importance of trending.
  • Discuss the philosophical approaches towards trending.
  • Explore the practical approaches that can be adopted when trending.
  • Identify the most material assumptions to trend.
  • Consider whether trending of actuarial assumptions has a relationship to the reserving cycle.

Speaker: Nadeem Korim, Hiscox

E6: Supporting Resilience to Climate Risk and other Weather Risks
In this session they will consider how insurance can support society's resilience to climate risks. They will discuss whether existing covers actually hinder resilience, and whether new types of cover might be possible. Are there different ways of structuring insurance that would make more sense for policyholders, for insurers and for society, or is it impossible to balance the interests of all parties? Along the way we'll talk about what forms resilience to climate risk might take, and whether the popular perception that insurers are natural supporters of resilience is true.

Speaker: Louise Pryor

E7: ESGs for Capital and Beyond… Smart Decisions in an Uncertain Environment
The past few years have seen an unprecedented combination of new insurance regulations, challenging investment conditions and unexpected geo-political events. In this session, we will explain how Economic Scenario Generators (ESGs) can help insurers navigate this uncertain environment.

The session will address some of the modelling and  calibration challenges of using ESGs for capital modelling, strategic asset allocation (SAA) and stress testing. We will also address some of the practical considerations of gaining model approval

Speakers: Jesse Power and Greg Isted, Moody's Analytics

E8: What High Performance Computing means for Capital Modelling
It is reasonably commonplace for insurers and other financial institutions to use High Performance Computing (HPC) for stochastic modelling, but the implementation methods and their trade-offs are often less well understood.  This workshop will explain the difference in delivering HPC through monster machines (think of the Cray supercomputer) compared to clusters of grids.  On the face of it two sets of hardware can offer the same headline processing power yet the run time performance and cost will differ materially, depending on the model approach.  This talk will explain what underlies the differences for actuaries to make an informed decision when assessing their hardware and software options, illustrated through a case study for a large capital model. 

Speakers: Sam Worthington and Alun Marriott, RPC

E9: London Market Looks Ahead: Preparing for the Next Big Insurance Event
It has been fifteen years since the last truly market-turning event and much has changed since then.  In November 2016, the London Market conducted a large-loss dry run which tested how the market would react to a series of catastrophic events designed to test participants in different ways.  This presentation will highlight the key findings and recommendations for the industry in order to prepare now for the next market-turning event.  It will also provide important considerations for actuaries from the perspective of an actuary who participated in the exercise.  

Speaker: Erin Bargate

E10: PRA Market Monitoring and GI Stress Testing

2016 Rate Monitoring

  • Why and how the Bank monitors rate changes and rate adequacies across the General Insurance market
  • High level findings at market and business class level

2017 Stress testing

  • Why the Bank carries out stress testing of General insurers
  • The rationale behind the various scenarios
  • Past findings at market level
  • Supervisory impact on firms

Speakers: Krish Kistnassamy, Nicolas Pondard and Jenny Xu, PRA

E11: TBC

Workshop Fri, 20/10/2017 - 10:30 - 11:20 Workshop Session F

F1: IFRS 17 for General Insurers
This session is likely to be a mix of educational and practical implications - focussed on content of the Standard and what it means for GI actuaries.

Speaker: Laura Barella, PriceWaterhouseCoopers

F2: TBC

F3: The Insurer's New Regulation: Risk Management, Perceived Security, and Collective Illusions
This talk explains:

  • Why such illusions arise and often persist,
  • When they are useful or even necessary,
  • What that means for actuaries and all others who are supposed to create transparency and manage risks in the financial sector.

Speaker: Michael Fackler, Independent Actuary

F4: Is Solvency II Opimisation Dangerous?
Diversification of risk is a key principle of General Insurance. History has shown that when investors become fixated on a particular risk metric this creates excess risk in other areas. Insurers have focused a lot of resource on optimising investment strategies for Solvency II. This minimises investment risk from a Solvency II perspective however does this expose insurers to other kinds of risk? Ultimately leading to a concentration of the same types of risks in the market. They will explore how considering Solvency II optimised portfolios through different risk lenses and other insurers requirements can lead to more robust portfolios.

Speakers: Shadrack Kwasa and Daniel Banks, P-Solve Investments

F5: TBC

F6: Risk Margins/Risk Adjustments using the Cost-of-Capital approach: Estimating Future Capital Requirements
This session will discuss: 

  • The Cost-of Capital approach requires an opening estimate of capital required, and future capital requirements as the reserves run-off
  • Under Solvency II, one simplification is to assume the capital requirements reduce in the same proportion as the expected (discounted) best estimate of the reserves, but this simplification needs to be justified and has been challenged by the Bank of England.
  • It is possible the “capital profile” can be adjusted in some ad–hoc way, justifying the adjustment is not necessarily straightforward
  • Merz-Wuthrich derived analytic formulae for the SD of the run-off result over one year and more recently extended their formulae over sequence of 1 year periods to the ultimate position, giving “the full picture”.
  • This workshop will explore how such results can be used to derive an approximate “capital profile” that is useful for cost-of-capital risk margin calculations
  • It will also compare “capital profiles” obtained using SD, variance and Value at Risk risk measures as a basis for setting capital.

Speakers: Matthew Facey and Peter England, Willis Towers Watson

F7: Actuarial Association of Europe (AAE) – What Have we been up to and Why Should you Care?
The AAE is the main avenue through which the IFoA makes our voice heard in Europe. Originally established in 1978, as the Groupe Consultatif Actuariel Européen, its aim is to represent the actuarial associations across Europe in providing advice and opinions to the various organisations of the European Union – the Commission, the Council of Ministers, the European Parliament, EIOPA and their various committees – on actuarial issues in European legislation.

Kartina Tahir Thomson (Non-Life Working Group Chair) and David Hare (Membre Suppleants, General Assembly), both members of the Insurance Committee will highlight some of the work the AAE and other European countries are involved in that impacts on the Non-Life market:

  • European Standard of Actuarial Practice (ESAP) specifically on ESAP3 - ORSA;
  • Role of Actuaries and Actuarial Function;
  • Low interest rate environment;
  • Technology related issues such as Big Data and cyber risk;
  • Risk Management;
  • Response to EIOPA consultations such as Insurance Block Exemption Regulation (IBER), Recovery and Resolution and Standard Formula.  

Speakers: Kartina Thomson, Bank of England and David Hare, Deloitte

F8: GI Claims Modelling with Factor Collapsing and Bayesian Model Averaging
GLMs are the industry pricing standard, but this “single-best-model” approach encounters difficulties with model selection, particularly when variables are borderline significant. GI datasets typically have many categorical variables with many levels, where not all levels are necessarily statistically significant, which can affect model parsimony and interpretability.

They propose a method for determining an optimal manner to collapse factors with many levels into fewer levels, using Bayesian model averaging to blend predictions from all reasonable models, improving claim prediction accuracy and model interpretability.

R code and step-by-step generation of results for a real-world motor insurance dataset are presented in this workshop.

Speakers: Sen Hu, Adrian O'Hagan and Brendan Murphy, University College Dublin

F9: Re-thinking Reinsurance
Philosophy of Reinsurance - what should you be trying to achieve?

Practical examples where practice <> philosophy:

  • Gaps in programmes
  • One man, three governors (satisfying regulator, rating agency, management/board) and the stresses and imperfections that brings
  • Stress between individual underwriter / division / legal entity / group
  • -Cchoice of reinstatements regime
  • Quota share : sub-optimal in most cases: Why?
  • Quota share Profit Commissions: guaranteed profit for reinsurers?

... and more

Speaker: Richard Hartigan, Hiscox

F10: The Actuary of the Future - What will we be like in 2047?
Over recent decades, there have been significant changes to the role of general insurance actuaries.  We have adapted to changing technology, market events, political uncertainty, and the changing expectations on actuaries from the wider business.

During this workshop, they will:

  • Look back at how the actuarial role has evolved over the last 30 years
  • Discuss what the future could look like over the next 30 years
  • Ask what we need to do now, to adapt to our changing role

 Speakers: Ankita Patel, Starr Underwriting Agents and Tom Durkin, LCP

F11: TBC

Refreshments Fri, 20/10/2017 - 11:20 - 12:00 Morning refreshments
Plenary session Fri, 20/10/2017 - 12:00 - 13:15 Plenary 6

Baroness Susan Greenfield

Ms Baroness Greenfield is a British scientist, writer, broadcaster, and member of the House of Lords. Her research has focused on the treatment of Parkinson's disease and Alzheimer's disease, with an interest in the neuroscience of consciousness and the impact of technology on the brain. Baroness Greenfield is a Senior Research Fellow at Lincoln College, Oxford University and in September 2013, she co-founded the biotech company Neuro-bio Ltd, where she is Chief Executive Officer. Since 1976, she has published some 200 papers in peer-reviewed journals, including studies on the basic brain mechanisms involved in addiction and reward, and related neurochemicals. She investigated the brain mechanisms underlying Attention Deficit Hyperactivity Disorder as well as the impact of environmental enrichment. Baroness Greenfield has written a range of books about the brain, regularly gives public lectures, and appears on radio and television.

This plenary is follwed by the Chair's closing remarks.

Dinner Fri, 20/10/2017 - 13:15 Lunch on the run

Packed lunches will be provided for collection upon leaving the conference. 

Papers will be available nearer the time.