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. GIRO 2017 was a huge success and we have opened bookings early for what we hope will be another brilliant conference at the ICC in Birmingham this year.
Association with an IFoA event is an unmistakable marketing opportunity for both sector-specific companies and high-end brands. If you are interested in being a sponsor or an exhibitor, please contact firstname.lastname@example.org
- Registration Tue, 23/10/2018 - 18:00 - 20:00 Registration
- Social Tue, 23/10/2018 - 18:00 - 20:00 Networking reception
- Registration Tue, 23/10/2018 - 08:30 - 09:00 Registration
For those who didn't register the night before or for one day attendees.
- Plenary session Wed, 24/10/2018 - 09:00 - 09:10 Chair's Opening Address
Sameer Keshani, Chair, GIRO 2018 Organising committee
- Plenary session Wed, 24/10/2018 - 09:10 - 09:25 Presidential update, Jules Constantinou
- Plenary session Wed, 24/10/2018 - 09:25 - 10:25 Plenary 1: How to Run a Government in a Time of Uncertainty.
Speaker: Bronwen Maddox
- Plenary session Wed, 24/10/2018 - 10:25 - 10:50 Technology and Insurance
A trained actuary, Tassos started his career at Deloitte and then Ernst and Young in London focusing on Merger and Acquisitions. Afterwards he moved to the Emerging Markets business unit of Royal & Sun Alliance where he held positions of the chief actuary, CFO and ultimately CEO. In 2016, after his exit from RSA he turned his attention to InsurTech and FinTech where he operates as founder, advisor or business angel investor. He is the co-founder of Torafugu Tech (a technology start up which aims to help people with pre-exisiting conditions reduce their life/health insurance premium costs while improving their wellness) and co-founder of Ceti Cover (an insurance as service start up focusing on bridging the benefits gap in the sharing economy). Some of the ventures he is involved with are around cyber risk scoring, on-demand insurance for the sharing economy, utilisation of telematics in claims management, development of an agile insurance platform that supports start ups and AI, machine learning for AML/KYC and transaction monitoring. Tassos is a Fellow of the Institute and Faculty of Actuaries (UK) and holds an EMBA from INSEAD and BSc (Hons) Actuarial Science from London School of Economics and Political Science
Speaker: Tassos Anastasiou
- Transfer time Wed, 24/10/2018 - 10:50 - 11:10 Transfer time with refreshments on the go
- Workshop Wed, 24/10/2018 - 11:10 - 12:00 Workshop Session A
A1: Using Reinsurance to Control P&L Volatility
I start with a rudimentary refresher re: the P&L and Balance Sheet statements of an insurer. A general reinsurance solution is found, then tailored for various real-world issues: dominance of catastrophe risk, dominance of long-tail risk. The positive features of such an approach to the insurer (including in an IFRS17 environment) and to reinsurers (including non-traditional Alternative Capital) are explored.
Speaker: Richard Hartigan
A2: Can an Eye on Investment Markets Smooth your Balance Sheet?
How can insurers of all sizes develop a consistent framework to evaluate both assets and liabilities, smoothing the balance sheet in the process? Our objective is to demonstrate that with some relatively simple metrics many insurance companies can make significant improvements in capital allocation by considering such factors as: Interaction between the underwriting and asset risks; Global macro indicators for economic conditions; Factors affecting the underwriting cycle. By combining these in a consistent framework we would like to lead a discussion on whether insurance companies could improve capital allocation and mitigate downside risks.
Speakers: Punil Chaubal and Daniel Banks, River and Mercantile Solutions
A3: Life after the GDPR - ICO's Actions and PECR
Overview of General Data Protection Regulation (GDPR) implemented 25 May 2018. Understanding of where the Information Commissioners Office (ICO) has focused its efforts in prosecution. Analysis of where organisations could have done better. Three key areas organisations need to focus on: Marketing; Individuals Rights; Cyber Security. Overview of the related Privacy and Electronic Communications Regulation (PECR), due 29 March 2019; Key points of the legislation; What organisations need to start thinking about now; Impact of Brexit
Speakers: Iain Bourne, Grant Thornton UK LLP
A4: Third Party Working Party - Expanded to Include Own Damage Experience
Ninth iteration of the Institute and Faculty of Actuaries Third Party Working Party (TPWP) for Private Car Comprehensive experience. Scope expanded for 2018 to include analysis of own damage experience. Analysis includes trends in frequency, severity and burning cost for third party bodily injury claims (split by claim size); total third party property damage; and total own damage claims compared and contrasted with environmental and legislative changes.
Speakers: Simon Black, Aviva and Robert Treen, Willis Towers Watson
A5: Reserve Uncertainty Framework: Linking Reserve Risk to Reserving
- Measuring Uncertainty Quantitatively (MUQ) working party update on how reserving and capital modelling practitioners can work together
- To enhance reserve-risk assessments
- Maybe even find value by identifying management actions together?
- We previously presented at GIRO our reserving Uncertainty Framework for reserving actuaries and word spread To capital modelling
We are having an interactive session, so join us To complete this journey into reserve Uncertainty together
Speakers: Keith Brown, James Keough and Jeff Courchene, GIROC MUQ Working Party
A6: Meddling with the Modelling – Who knows Best?
As users and spectators of models,we will take the audience on the pricing journey from fixed prices,through rate books and GLMs to machine learning. With a focus on implementation of models and impact to the end customer,we will identify and discuss the benefits and pitfalls of each chapter in pricing sophistication. With increasing scrutiny of GI pricing practice continuing to make this a hot topic,the presenters will role-play real world man vs. machine examples to bring our views and wider perspectives to life. If you're considering motor pricing factors or pricing motor factories then this session will inform and provoke.
Speakers: Ben Symington and Simon Warsop, Aviva
A7: Case Reserving in Non-Life using Individual Data and Machine Learning
- Traditional techniques in non-life: reasons and drawbacks
- Beyond tradition: machine learning tools
- A simple model for case reserving
- The dataset
- Attritional claims and large losses
- Closing delay estimation
- Claim amount estimation
- Reserve estimation
- Limitation, extentions and conclusions
- References and Q&A
Speaker: Marco Aleandri, Ageas Group
A8: Update from the Bank of England
- Our work with the “Chief Actuary” community - letters, forum(s) and on-going dialogue;
- Insights we’ve gained from our reserving reviews, internal model output and “Monitoring the Market”;
- Strengthening the Actuarial Function as a key part of the firm’s system of governance;
- Comments and discussion on current areas of regulatory focus.
Speaker: James Orr, Bank of England
A9: Building Decision-Making Capacity in Developing Countries
- Highlight the evolving role of actuaries in helping developing countries build decision-making capacity for financial protection against disasters.
- Provide examples of the work of the UK government (Government Actuary’s Department and Department for International Development) and the World Bank, as well as the Centre for Disaster Protection, on disaster risk finance i.e. building capacity with analytical tools, supporting sovereign risk pools, developing insurance markets.
- Provide specific detail on the role of actuaries in the Centre for Global Disaster Protection
Speaker: Evie Calcutt, Government Actuary's Department
A10: Actuarial Insights into Automated Vehicle Challenges
The Casualty Actuarial Society’s Automated Vehicles Task Force will present new studies that further the understanding of risk surrounding automated vehicle technology, providing actuarial analysis on issues such as: The shift from personal auto to products liability; Potential consumer discounts on insurance premiums; Prospective risk minimization strategies for insurers. Attendees will gain insight into the actuarial and risk management implications of automated vehicle technology, and also learn approaches to better quantify the impact that automated vehicles will have on insurance.
Speaker: Jonathan Charak, Zurich North America
A11: US Hurricane Clustering: A New Reality?
The 2017 North Atlantic hurricane season was one of the most active on record. We saw multiple hurricanes coming close together causing significant damage and human loss. Was 2017 an exceptional year or indicative of what we expect to see in the near future? This workshop:
- Describes the different types of hurricanes and their climatology;
- Analyses the observed trends and discusses relevant academic literature;
- Fits a statistical model to the frequencies of major hurricanes.
- Discusses the results and projects probabilities of multiple hurricanes and the likelihood of occurring close to each other;
- Examines the impact on re/insurers and society
Speaker: Dimitris Papachristou, Bank of England - PRA
- Refreshments Wed, 24/10/2018 - 12:00 - 13:25 Lunch/ Working Party Launch Lunch
Come and join the Working Parties to find out about current research and how you can get involved.
This will be taking place on the balcony in hall 3.
- Plenary session Wed, 24/10/2018 - 13:25 - 14:10 Plenary 3: Core Topics
Capital: Capital Allocation – Should we Open Pandora’s Jar?
Andrew will cover some of the different approaches to capital allocation across the market including the choice of metrics and what works when and how the use of capital is evolving in the insurance economy. Martin will talk about his experience in putting capital allocation into practice , why it is important, where it is used and overcoming some of the challenges in embedding it within an organisation.
Speakers: Andrew McGuinness, Willis Towers Watson and Martin Muir, Aviva
Pricing: A Message from your 2025 Self
We will discuss the current challenges facing the General Insurance industry and how we believe it may change by the year 2025, in particular on the underwriting and pricing front. We will discuss, from both the Commercial and Personal Lines angles, how the role of pricing actuaries has changed over the past 10 years and how the role may continue to evolve to best exploit the opportunities that will arise from industry disruption.
Speakers: Chloe Paillot, Deloitte and Edward Tredger, Axis
Chair: Michael Tripp
- Looking backward:
- Problems the reserving community has faced. Were these a failure of actuarial methodology, or a failure of imagination?
- Focusing on current trends in methodology/process: are changes being considered now increasing or decreasing the risk?
- Fast close techniques can help speed up delivery of reserving results, but how far can this concept be taken? What are the risks from a mechanised approach, and how can we mitigate them?
- Discussion of pros and cons of decoupling reserving and reporting and what that means to the speed and accuracy of reserving as well as stakeholder management.
- Looking forward:
- Reflections on a future state of affairs. What mistakes would be avoided/could still be made?
- Future alternatives – where actuaries aren’t in control and others (e.g. data scientists) lead on insight and innovation. What mistakes might be made?
Speakers: Kirstin Barker, PwC and Neil Bruce, Willis Towers Watson
- Looking backward:
- Transfer time Wed, 24/10/2018 - 14:10 - 14:20 Transfer time
- Plenary session Wed, 24/10/2018 - 14:20 - 15:05 Plenary 3: Core Topics
Sessions on Pricing, Capital and Reserving repeated as above.
- Refreshments Wed, 24/10/2018 - 15:05 - 15:55 Afternoon refreshments
- Workshop Wed, 24/10/2018 - 15:55 - 16:45 Workshop Session B
B1: Internal Model Validation Practices
The session aims to share observations on validation of internal model firms and encourage attendees to discuss their own experiences, observation and views. A question often asked is what does good validation look like? However, the answer is it depends… on many things, many of which are expert judgements. Rather than attempt to answer that question, this session will cover what we observe firms doing in practice. Topics we will touch upon will include: Validation frameworks; Validation governance; Validation tools; Validation reporting and Common issues
Speaker: Amanda Istari and Graham Finlay, Bank of England
B2: Risk and Capital - Views from the Market
This workshop will present highlights from a series of over 20 opinion polls run by Chief Risk Officers and Heads of Capital throughout 2018. We will bring out the key themes, challenges and hot topics - and complement these by sharing practical case studies of the approaches that insurers are currently using. The workshop will cover a range of areas within risk and capital modelling - including setting risk appetites, technical modelling and effective Board communication. The format will be an initial presentation followed by open discussion and debate.
Speakers: Tom Durkin and Richard Weaving, LCP
B3: Using EI to Better Manage Actuarial Teams
This talk was first presented at last year's Life Conference and assumes a base awareness of the fundamentals of "Emotional Intelligence". We'll cover aspects of the topic of EI in more detail, focussing on understanding and managing other people more effectively. It's aimed at people who lead actuarial and finance teams.
We'll cover the following
- Millennials in the workplace, and managing different generations
- A model for political awareness (foxes, donkeys and owls)
- The walking dead and the well poisoners
- Plus lots more!
It is a thought provoking and practical talk that will challenge you to approach your team management differently.
Speakers: Peter Heffernan and Michelle Lister, PwC
B4: IFRS 17 : Are Reserving Processes and Systems Heading for the Rocks?
Under IFRS17 reserving processes must change gear and address the tug-of-war between financial reporting and reserving/modelling systems - whilst leveraging solvency 2 processes for IFRS17.
- Responsibility for different aspects of IFRS is very unclear – how should actuaries be best playing their role?
- IFRS17 introduces risk into reserving/financial statement processes – how should system development minimise this?
- Shifting from Solvency2 embedded profit to USGAAP style profit recognition creates uncertainty in financial statements. How can actuaries provide thought leadership?
- Are reserving processes heading for IFRS 17 rocks? This presentation looks at reserving processes under IFRS17, and leverages survey results to navigate these waters.
Speakers: William Diffey, Apollos Dan and Laura Hobern, Towards the Optimal Reserving Process Working Party
B5: Update from the UK Asbestos Working Party
Area: Reserving. Providing an insight into the drivers and assumptions underpinning the new insurance market estimate for UK asbestos claims. This workshop aims to highlight (a) the key changes since the last insurance market estimate (produced in 2009), (b) the detail within the 2018 update paper produced by the working party and (c) the areas where reserving actuaries will need to apply their own judgement.
Speaker: Robert Brooks, Mark Hart and Rhiannon Seah, Members of the UK Asbestos Working Party
B6: Best Practice in Model Risk Management
Are you bored now that Solvency II has gone live!? Never fear, there are hours of model fun just around the corner! Model risk management aims at ensuring that companies put appropriate controls in place for all material models supporting their business and decision-making processes. It considers model risk as a specific risk type that should be managed like any other . This means that a thorough framework is needed to identify, assess, mitigate and monitor model risk across the firm. We will discuss: The challenges facing firms; Streamlining processes; Improving controls around models; Developing model risk frameworks; Success stories.
Speakers: Bharat Raj and Robert Moorehead-Lane, Grant Thornton
B7: Joint Claim Modeling with Multivariate Poisson and Multivariate Gamma Distributions
- GI claims from multiple risk categories can be correlated, such as one car incident leading to claims in third party property damage and accidental damage.
- Many insurers model each category independently and the sum of the risks is taken as the total risk.
- We investigate multivariate frequency and severity models using mixture of experts with multivariate Poisson and multivariate Gamma distributions, where dependence is modeled directly with GLMs. Hence predictions are improved.
- More focus is given to the multivariate Gamma which has not been widely investigated in the literature.
- R code and results for a real-world insurance dataset are presented.
Speaker: Sen Hu, University College Dublin
B8: Individual Claims Reserving: Opportunity as a Challenge
- Although several practical and theoretical limitations have been highlighted, common reserving practice has been largely based on techniques using aggregated triangles of loss information.
- Individual claims development models represent a promising alternative, leveraging information embedded in individual claims data and taking advantage of advanced modeling techniques available for larger datasets.
- This session will review individual claims reserving models from their mathematical foundations to their practical use.
- Particular focus will be dedicated to the innovation opportunity raised by these alternative methods.
- Applications on real portfolio datasets of different lines of business will be provided, as well as comparisons with triangle-based methods.
Speakers: Alexandre Boumezoued and Jeff Courchene, Milliman
B9: Algorithmic Fairness: Contemporary Ideas in the Insurance Context
- In this talk we aim to discuss contemporary ideas of quantitative algorithmic fairness as explored by the computer science academic community, to improve member awareness of this recent research
- We look to identify relationships between these ideas and more traditional actuarial concepts, notably from insurance pricing
- We look to explore ways in which the centuries-old insurance debates on the topic of fairness might be brought back into the modern discourse.
Speakers: Chris Dolman, IAG
B10: Stochastic Modelling for Investments: Case Studies From Across Europe
- Historically, the use of Economic Scenario Generators (ESGs) by GI firms has been driven by capital modelling applications.
- This has evolved in recent years as ESG usage is increasingly being driven and owned by the investment function.
- This session will cover the drivers and challenges underpinning this trend via a series of case studies, covering:
- Consistency of modelling key risk drivers across the capital and investment functions, and across multiple timesteps;
- The move towards non-traditional investments driven by persistent low yields across Europe; and
- Taking ownership of investment modelling in-house, from assumption setting to portfolio projection.
Speakers: Ruth Moore and Pawel Lojko, Moody's Analytics
B11: Actuarial Perspectives in the Era of Social Consciousness
In the U.S., gun liability bills have been introduced in a number of states. This session will look at the public policy and economic issues involved in gun liability insurance as well as discuss the role that Lloyd’s has played in the private gun liability marketplace. The second part of the discussion will focus on the rise of big data and its implications for the industry and consumers. The issue will be analyzed in the context of game theory, and a method to measure the overall economic value of pricing factors will be discussed.
Speakers: Joshua Wykle, Vermont Mutual Insurance Group and Peter Kochenburger, University of Connecticut, School of Law
- Workshop Wed, 24/10/2018 - 16:55 - 17:45 Workshop Session C
C1: Operational Risk Modelling - Market Survey
As insurers operating models and control environments change, impacted by new technologies and the changing shape of the workforce, operational risk modelling has become an increasing focus for firms over the last 18 months. This talk will highlight the results of a market survey (Life and Non-Life) on operational risk modelling covering four key areas of focus: Framework (e.g. controls, op risk function etc.) , Scenario Analysis (e.g. definition, calibration process etc.), Capital Model (e.g. frequency and severity, aggregation etc.), Validation (e.g. sensitivities, validation testing etc.).
Speakers: Eamon McGinnity and Peter Dyson, KPMG
C2: Model Risk Management-Is there more to (non)Life than Validating a IM?
The talk will cover the following key areas: An outline of Model Risk Management (MRM) i.e. explaining that this covers the entire model landscape of an insurer, including both regulatory and non-regulatory models that influence decision making; The benefits of MRM to the Insurance industry; Practical examples of good and bad MRM; The current state of MRM in the Insurance industry as derived from research and discussions with European regulators; An actionable approach to developing a MRM framework and ongoing MRM cycle; Time for questions at the end of the talk.
Speaker: Alistair Esson, Risk Dynamics, part of McKinsey & Company and Roger Dix, Wesleyan
C3: How Societies Manage Risks
We describe how societies manage risks: from catastrophe prevention and insurance solutions through to injustices of a minor and inconspicuous nature.
This involves a number of trade-offs:
- Innovation vs risk avoidance,
- Risk vs uncertainty,
- Equity vs practicable claims settlement,
- Liability vs collective risk sharing.
Two highly instructive examples are discussed: nuclear liability and the measures taken in the wake of the 9/11 terrorist attack.
Speaker: Michael Fackler, Independent Actuary
C4: Actuarial Considerations in Asian Market
The Asian insurance market is an emerging market in general and the operational environment for an insurer in this region is changing rapidly compared with mature markets. When an actuary works in Asia, many special considerations must be taken into account in actuarial works including:
- Changes of regulations such as solvency requirements in Asia;
- Reform of motor insurance in China and Malaysia;
- Newly-formed China marine exposure curves;
- Considerations of reinsurance pricing;
- Application and validation of catastrophe models.
Speakers: Xiao Xuan Li, China Re P&C, Sie Liang Lau, SCOR Global Life P&C
C5: IFoA PPO Working Party Update - Mortality
Estimating the future mortality experience of PPO recipients is one of the key issues to be addressed in establishing a general insurer's exposure to PPO liabilities. This session will give an overview of the latest work undertaken by the PPO Working Party in this area, covering:
- The impact of varying the modelling approach and assumptions
- Sources of mortality data and relevant studies
- Future research and development plans
Speakers: Peter Towers, Peter Saunders and Georgios Bakoloukas, PPO Working Party
C6: Maximal Information Management: Slaying the Financial Data Dragon
- Our industry has major issues with financial data
- We see escalating reporting requirements, outdated and piecemeal systems, poor linkage between components, failure to use modern technology, labour intensiveness, susceptibility to error, increased stress
- We will discuss the ways new architecture might be designed
- Cloud based, very granular, single source for all financial reporting, automated link to key financial functions, enabling of detailed forecasting and performance analysis
- We will explore the proposition that a fundamental change is needed, and, if so, how to overcome the barriers to its accomplishment
Speaker: William Souster, Sharp Edge Actuarial Limited
C7: Fairness in Pricing of Personal Lines Products
This workshop will explore: What lessons could be learnt from other sectors where there is regulatory interest in pricing, e.g. Energy? How might firms go about defining fairness and value for money? Once defined, how might firms test pricing in practice and what actions could be taken? Whether controls are fit for purpose in an advanced analytics and machine learning environment? We hope that delegates will challenge their current way of thinking and also learn some tips to take away with them.
Speakers: James Hillon and Jacqueline Draper, KPMG
C8: Actuarial Function Insights
Are you currently, or aspiring to be, a Chief Actuary or a person performing a key role in your firm’s actuarial function? At this interactive workshop, David Simmons and Geraldine Finucane from the PRA’s actuarial function specialism will share what they have observed and lead a discussion on:
- SMF20 applications and succession planning
- Actuarial function reports – observations and comparisons
- How your actuarial function can assist the understanding and decision making of your firm’s board.
Speakers: Geraldine Finucane and David Simmons, Bank of England
C9: Part VII transfers: The Key Challenges Arising from Brexit
Brexit is driving an increase in the number of Part VII transfers as businesses try to ensure they can continue to operate following the UK’s departure from the EU. This session will focus on some of the key challenges firms are facing as they go through the Part VII process, from both an independent expert and legal perspective. Some of the things we will discuss are: deciding on the scope of business to transfer; loss of FSCS protections; and the impact of reinsuring the business back to the UK.
Speakers: Jinit Shah, Grant Thornton and Geraldine Quirk, Bryan Cave Leighton Paisner
C10: 2018 Global Reinsurance Outlook: A Rating Agency Perspective
An update on the reinsurance outlook for 2019.
Topics covered include:
- An update on the major issues affecting reinsurers;
- Discussion of the driving forces currently shaping the global reinsurance landscape, including M&A;
- Risks and challenges faced by the sector
- Update on alternative reinsurance capital
Speakers: Graham Coutts and Ekaterina Ishchenko, Fitch Ratings
C11: Evolving Risks and the Future of Insurance
As the world changes at a faster pace than ever experienced, traditional risk areas are evolving and developing at a considerable rate. The IFoA's policy team has identified Evolving risks and the future of insurance as a key policy priority which asks what the effect of this change will be on risk management approaches and insurance products. This session will give an overview of the ongoing work of the Policy team looking at potential policy responses to societal, technological, economic, environmental and political transformation.
Speakers: Catherine Burtle and Steven Graham, IFoA
- Other Wed, 24/10/2018 - 17:45 - 19:30 Leisure time
- Dinner Wed, 24/10/2018 - 19:30 - 23:30 Dinner
- Registration Thu, 25/10/2018 - 08:30 - 09:00 Registration
For those attending for the day only
- Plenary session Thu, 25/10/2018 - 09:00 - 10:00 Plenary 4: Leading in a Digital World
Exponential technologies are disrupting the way we work, collaborate, innovate and interact on a global level. A transforming market landscape requires a new type of leadership and skills development beyond the traditional educational system. In her lecture, Claudia provides insights into opportunities to make a difference in the digital world and she also highlights how our organizations need to transform to meet the global change. Claudia also highlights some of the latest developments in AI, blockchain and exponential technologies.
Speaker: Claudia Olsson
- Plenary session Thu, 25/10/2018 - 10:00 - 10:30 Plenary 5: The Big Data Dilemma – Data Ethics and Diversity
Speaker: Chika Aghadiuno
- Plenary session Thu, 25/10/2018 - 10:35 - 10:45 Hot Topic Pitches
- Refreshments Thu, 25/10/2018 - 10:45 - 11:15 Morning refreshments
- Workshop Thu, 25/10/2018 - 11:15 - 12:00 Hot Topics first session
- Transfer time Thu, 25/10/2018 - 12:00 - 12:10 Transfer time
- Workshop Thu, 25/10/2018 - 12:10 - 12:55 Hot Topics second session
- Refreshments Thu, 25/10/2018 - 12:55 - 14:00 Lunch
- Plenary session Thu, 25/10/2018 - 14:00 - 15:00 Plenary 6: Managing Uncertainty with Professionalism
Uncertainty brings with it opportunity, as well as risk, and the need to make decisions. This is true in all walks of life - personal, professional and public. Is it possible for us (and those around us) to make "better" decisions in the face of uncertainty? How can we increase our awareness of uncertainty in the context of ethical decision making? In this plenary, which will contribute to CPD, we will introduce some of key principles to managing uncertainty that we've developed as a working party that are intended to be accessible to all decision makers, across actuarial and other professions. We will also share thoughts on some case studies, and some of the opportunities and threats to "better" and more ethical decision making.
Speakers: Melinda Strudwick, PwC and Martin White
- Transfer time Thu, 25/10/2018 - 15:00 - 15:10 Transfer time
- Other Thu, 25/10/2018 - 15:10 - 16:00 Round table discussions
- Refreshments Thu, 25/10/2018 - 16:00 - 16:30 Afternoon refreshments
- Workshop Thu, 25/10/2018 - 16:40 - 17:30 Workshop Session D
D1: JFAR and the Hotspots
JFAR and the Hotspots
The FRC, IFoA, FCA, PRA and tPR collaborate through the JFAR to identify and analyse public interest risks. The JFAR’s Risk Perspective: 2017 Update identified nine risk hotspots that reflect actuaries’ diverse roles in the rapidly changing business world.
This interactive session offers a unique opportunity to:
- Gain insight into the work of the JFAR and the individual regulators;
- Understand the JFAR’s thinking in identifying its hotspots; including Political and legislative risk, Climate-related risk, Technological change and Terrorism and Cybercrime; and
- Share ideas and influence JFAR’s actions to support actuaries and users in responding to the hotspots.
Speakers: Hazel Beveridge, Financial Reporting Council, Ann Muldoon, FRC, Des Hudson, Chair of the IFoA Regulation Board and James Orr. Bank of England
D2: How to get more Value from Stress and Scenario Testing
- All insurers are required to conduct Stress and Scenario Testing, but very few are able to get real value from the process.
- This non-technical talk will discuss: three different levers of value with regards to stress testing (Protection, Growth, Efficiency), typical pain points faced by insurers; and the potential actions insurers could take to increase the value gained from Stress and Scenario Testing programmes.
- The talk will include a case study, based on practical experience, on how one could approach the automation of a stress testing process and an interactive poll of audience members.
Speakers: Viktor Cibula and Matt Benson, KPMG
D3: A Practical Guide to Climate Change for GI Practitioners
Climate change issues are an important part of the economic and social landscape in which general insurers operate. They are less visible, less tractable and, arguably, less well understood, than issues that actuaries typically consider when making financial sense of an uncertain future.Following on from the risk alert issued by the IFoA, this interactive discussion will explore examples of where climate change issues are relevant to general insurance and bridge the gap between the work of climatologists and general insurance actuaries.
Speakers: Mark Rothwell, Members of A Practical Guide to Climate Change for General Insurance Practitioners Working PartyDirect Line Group
D4: Emerging Risks and Opportunities from Autonomous Vehicles
The session will provide an update on the Autonomous Vehicle Working Party covering four areas:
- Risk and opportunities within the insurance industry and the actuarial profession.
- Insurance operations covering underwriting & reinsurance, risk management, exposure management; it; risk management; and actuarial.
- Insurance liabilities looking more specifically at the cause of claims and who’s to blame?
- Data science covering the escalation of big data, machine learning, and predictive analytics as well as issues on data ownership, data storage and cyber security.
Speakers: Veekash Badal, Milliman and Andy Goldby, The Floow
D5: Probability and Regression with Python and R
Clunky algebra and reams of tabulated values obscure the fact that the most widely used probability distributions are often motivated by the outcomes of simple games or the combination of those outcomes. With a few lines of code, simple games can be simulated and visualized. From these simple rules a rich array of distributions can be generated. No prior programming experience is required. The code and the dummy data used will become available in the working party's GitHub account for members to use afterwards or follow the code along with their laptops at the time of the workshop. This work is output from the Programming for Actuarial Work Working Party.
Speaker: Steven Rimmer, The Programming for Actuarial Work Working Party
D6: A Holistic Process for Producing Good Actuarial Reports
We are writing our final paper around a heuristic process for report writing. This is not limited to writing tips. It considers before and after work in five stages:
- Requirements and Analysis Preparation
- Data and Analysis
- Report Planning
This presentation will explain a process and associated practical tips for writing satisfying reports.
Speakers: Chris Smerald, AIG and Matt Byrne, NFU Mutual
D7: Having Confidence in the Models Across your Business
- Are your business planning, pricing and reserving models as well understood and challenged as your capital models?
- Do they all use consistent assumptions and deal with data in the same way?
- How do you ensure that the model outputs that influence key business decisions are sufficiently robust?
- How confident are you that the best decisions are made as a result?
We will use case studies to show you how to minimise model risk and give your Board the confidence to rely on your models. We also want to hear your experiences, eg extending good points from IM validation.
Speakers: Matthew Pearlman, LCP and Michael Hosking, Faraday
D8: IFRS 17 and Reinsurance - What's the big deal?
Under IFRS 17, we won’t necessarily be able to leverage our current approximate methods for valuing reinsurance. In this talk we will cover
- The IFRS 17 rules for valuing reinsurance and how they differ from GAAP
- The potential impact for IFRS direct writers on financial statements, operationally on data, systems and processes, and considerations for the purchase of reinsurance
- Opportunities/threats for reinsurers, both IFRS and GAAP
- Why it is important for many insurers, reinsurers and possibly brokers to think about this now
- Next steps
Speakers: Susan Dreksler and Graham Oswald, PwC
D9: IFRS 17 - The Key Questions (and answers) for General Insurers
This session will discuss the key questions facing general insurers in the implementation of IFRS 17.
The presenters (one actuary and one accountant) will draw on their practical experience to identify the most important issues that insurers are debating, and to provide an overview of each issue and the solutions that are being adopted.
Areas to be discussed will include:
- When to use BBA and when to use PAA
- Level of aggregation
- Treatment of outwards reinsurance
- Calculation of the risk adjustment
- Determination of the discount rate
- Leveraging the work done for Solvency II
- How to adapt data and IT systems.
Speakers: Simon Sheaf and Vasilka Bangeova, Grant Thornton
D10: Periodical Payment Orders – A Life and Pensions Perspective
- Non-life insurers typically have a very low appetite for managing PPO liabilities, which bring exposure to longevity risk and the need for an asset strategy that is appropriate for the very long term, index-linked nature of the liabilities
- Similar issues will soon arise for firms operating in Ireland as PPO legislation is brought into effect
- In this session, the challenges will be explored from the viewpoint of a life and pensions practitioner/life actuary who has been involved in the development of a market solution specifically designed to help non-life companies manage their PPO exposure more effectively.
Speakers: Peter Towers and Philip Stafford, Celestial Financial Services
D11: Actuaries in General Insurance in the UK: The History and the Future
This talk will review the history of actuaries working in general insurance in the UK, focusing in particular on recent history and taking stock of where we are now. It will make use of a wide variety of data sources, including but not limited to: IFoA statistics on membership numbers, the syllabus through the ages, and data from recruitment agencies. We have also conducted primary research by interviewing a cross section of members of the industry and are excited to share the results and themes that have emerged.
We hope this work will inform a lively discussion around what the future will look like for actuaries working in general insurance.
Speakers: Yuming Mei, Mazars, Yuhan Gao, PwC and Akshara Venkatesh, Deloitte
- Other Thu, 25/10/2018 - 17:30 - 19:00 Leisure time
- Workshop Thu, 25/10/2018 - 17:45 - 18:45 Additional optional session: Actuarial Monitoring – The GI perspective
Panel discussion: Speakers TBC
This session will focus on the IFOA’s proposal to monitor the quality of work of its members. There will be an opportunity to put forward your thoughts on the approach being tabled and to explore whether there are more viable alternatives. Although everyone is welcome, you should be familiar with the underlying issues and be willing to proactively participate in the discussion.
- Dinner Thu, 25/10/2018 - 19:00 - 23:55 Conference Dinner
- Workshop Fri, 26/10/2018 - 09:30 - 10:20 Workshop Session E
E1: Loss Ratio Uncertainty: Excel Workshop
Each delegate receives their own unique set of historic loss ratio data, to which they will fit a gamma distribution, both by matching moments and maximum likelihood. Simple goodness of fit tests are applied, and capital requirements calculated at various confidence levels.
Delegates then look at their results:
- In isolation;
- In comparison to their peers;
- Relative to subsequent loss ratios, revealed one year at a time;
- In the context of the process that generated the data.
Speaker: Andrew Smith, University College Dublin
E2: All you ever wanted to know about Auditing but were Afraid to Ask
- Many delegates have been audited or have been involved in conducting audits.
- Why do auditors ask the questions that they do?
A chance to discuss the topic and ask………
- What rights do auditors have?
- What information needs to be disclosed, and how frequently ?
- Which functions are affected by audit? Is it more than just Reserving?
….and put yourself on the other side of the fence.
Speaker: David Brown, KPMG
E3: Flood: How will we Achieve Affordable Risk-Reflective Pricing?
This year, Flood Re has published its second transition plan to outline current thinking about the ultimate goal of transitioning by 2039 to an insurance market with risk-reflective pricing, where affordable household flood insurance is widely available without the need for any subsidy. The Flood Working Party has undertaken research on whether flood stakeholders believe the aims of Flood Re are achievable given current conditions, and what would need to change in order for these aims to be realised. This talk will explore the possible outcomes, focusing on flood frequency/severity, flood exposure and flood defences.
Speakers: Philippa King, Ageas Insurance Limited and David Johnson, British Gas Insurance Ltd
E4: Solvency II Practical Review Working Party Update
The Working Party was set up at the start of 2017 to identify the key practical issues with the application of Solvency II, which can help guide the PRA with the modifications on Solvency II post Brexit. The presentation is a continuation of the first part of the research, now focusing on further key topics, such as reporting what was left for future work. It will cover possible recommendations around Capital (Standard Formula), Technical Provisions and Reporting. They will also present results of a Market Survey carried out to get more details around the issues identified through the first survey.
Speaker: Amrita Pattni, Guy Carpenter and Company, Susan Yang, Tesco Underwriting and Shreyas Shah, KPMG
E5: Traditional Actuarial Claims Reserving with R and Python using a Data Science Workflow
- The Programming for Actuarial Work Working Party was established to explore and support the adoption of best practice programming concepts and techniques in daily actuarial work.
- Starting with claims data across hundreds of worksheets, we will perform traditional claim reserving using programming, data wrangling, visualisation and dynamic reporting techniques typically used in Data Science.
- We will use the 'tidyverse' philosophy of data and R programming and a first principles approach for projecting run-off triangles.
- Other reserving R packages and implementation with Python will also be discussed.
- No prior programming experience is required.
- Code and data will be shared.
Speaker: Georgios Bakoloukas, Swiss Re, Chair Programming for Actuarial Work Working Party
E6: Machine Learning and Fairness for Commercial Insurance
With the growing speed and scale of data generation, insurers are increasingly deploying advanced data analytics and machine learning techniques to assess and price risks. The application of these techniques promises to transform the accuracy and profitability of commercial underwriting. But can machine learning deliver fair and accurate underwriting results? In this talk, we present methods for evaluating the fairness of decisions made by automated algorithms, and how implementing these methods can lead to more accurate risk pricing and fairer prices for customers.
Speakers: Nick Groves-Kirkby, Oliver Laslett and Paul Bassan, Cytora
E7: GIROC: Reserved for You
- This is an interactive session
- The General Insurance Reserving Oversight Committee (GIROC) exists to support reserving actuaries
- We encourage improved communication of results, support education and scan the horizon for new issues
- Current working parties include IFRS 17 and TORP
- We are ready to listen and debate to gather ideas for future research and working parties based on your needs and ideas
- We will also give you a quick update of what we are doing now
Speakers: Keith Brown, Deputy Chair, GIROC MUQ Working Party, Matthew Pearlman, LCP and Alex Marcuson, Marcuson Consulting
E8: The Revised Actuaries' Code
Join the IFoA’s Regulation Team to hear all about the recently published changes to the Actuaries’ Code.
The changes, which are due to come into force in mid-2019, follow a period of detailed research and analysis by the Actuaries’ Code Review Working Party, as well as the recent public consultation which took place between October 2017 and January 2018.
At this session you will have an opportunity to ask questions about the changes being made as well as plans for the roll-out of the new Code. You’ll also hear more about the accompanying Guidance being introduced to accompany the new Code.
The session is also likely to include some interactive case studies aimed at bringing the new Code to life.
Speakers: Leisha Watson, IFoA and Andew Newman, Charles Taylor & Co Limited
E9: Cyber Risk Working Party Update
- The IFoA Cyber Risk Working Party has written a paper intended to help risk actuaries to determine operational risk capital for exposure to cyber events.
- This session will detail operational risk scenarios that could impact insurance companies, what the costs could be and what factors could help mitigate the risk.
- Feedback is also sought on potential future research topics for the working party.
Speakers: Rory Egan, Visesh Gosrani, and Simon Cartagena, Cyber Risk Working Party
E10: Shame! Half the Room Hadn't Heard of our Climate Change Risk Alert
- Financial regulators and governments are paying increasing attention to climate risk.
- In this session we will review recent developments, in the UK and beyond.
- We will then consider how leading investors are tackling climate risk, and note that regulation will help the laggards!
Speaker: Mike Clark, Ario Advisory
E11: Should General Insurers Increase Investment Risk or Take Any At All?
In recent years, low yields and the inflow of alternative capital have impacted general insurers’ profitability. This has led some to increase investment risk exposure.
Conor and Ash will debate the question — should general insurers increase investment risk or take any at all?
- Theoretically what impact, if any, on a general insurer’s valuation should increasing investment risk have?
- What factors might be missing from the basic model that can better explain how insurers invest in practice?
- What do specific industry examples tell us?
- Implications for insurers’ strategic asset allocations, and the wider investment process
Speakers: Conor Sweeney and Ashwin Belur, Willis Towers Watson
- Transfer time Fri, 26/10/2018 - 10:20 - 10:30 Transfer time
- Workshop Fri, 26/10/2018 - 10:30 - 11:20 Workshop Session F
F1: IMAP -- Lessons Learnt and Best Practice
In this interactive presentation, we will offer insights into the practical issues around IMAP by:
- Sharing lessons learnt from our experience
- Discussing common market approach and best practice
- Examining common mistakes seen across the market
This session will be useful for firms:
- Planning for or implementing IMAP, with practical guidance on how to do this
- Facing new IMAP challenges in light of Brexit, with a case study on a UK IMAP firm and the implications of creating new UK and European entities.
- Have received model approval, with discussions of best practice and how to embed effectively into BAU environment (e.g. in-house validation)
Speakers: Jennifer Khaleghy, JK Actuarial Solution Ltd, Ashish Kwatra, Actuarial and Quantitative Services Limited and Laurence Dunkling, AIG
F2: Update for the 'Uncertainty of the 99.5 Working Party'
Update on the progress of the 'Uncertainty of the 99.5th percentile' working party
Speakers: Edward Toman, Travelers
F3: Climate Change: A Survival Guide
A Working Party submission from the Climate Change Working Party.
- Practical, introductory session for all actuaries.
- Come away with a toolkit to help you with the fundamentals of climate change – what does the science say, how is it relevant to your role and how do you talk about it to others.
- Aims to be fast-paced and interactive.
Talk will cover:
- Overview of the science and where to go for more information.
- Impact on insurance industry and capital markets, including latest initiatives to tackle climate change.
- Communicating climate change – how to engage your audience and deal with uncertainty.
Speakers: Carol Storey, Climate Change Working Party and Jeremy Spira, Vitality
F4: IFOA PPO WP Quantitative Survey Update
How have large claim settlements developed in the current Ogden environment. We will provide the results of our 2017 year end survey on PPO and large claim experience.
Speaker: Patrick Tingay and Natasha Regun, PPO Working Party
F5: 3D Diagnostics Towards Better Reserving
The Better Sensing and Responding to Change Working Party builds on statistical process control methods and three dimensional triangle factorization to:
- Show how to understand better the calendar, accident and development dimension: shocks, shifts and trends in your loss development data.
- Adjust and adapt for challenging data and
- Give you a greater appreciation of testing hidden assumptions around exposure and correlations.
Speaker: Chris Smerald, AIG
F6: Cluster Analysis in Loss Development
The session will discuss useful ways to visualize multidimensional clusters and share practical successes and challenges in applying clustering on loss development triangles. Topics include “hard” clustering such as k-means and “soft” or “fuzzy” clustering with similarities to traditional credibility theory. Cluster analysis is a collection of statistical tools designed to group similar data objects. We will look at these tools applied to grouping of similar loss development patterns. Often, we work with data aggregated into development triangles based on financial reporting categories, territories or other imposed criteria. Cluster analysis can help investigate more optimal ways of grouping loss data.
Speaker: Dave Clark, Munich Re America
F7: Machine Learning in Insurance Pricing
This presentation will discuss three approaches to pricing insurance – Poisson-Gamma GLM’s for claim frequency and claim severity, Tweedie’s Compound Poisson GLM and Artificial Neural Networks. A brief mathematical and theoretical background of each model will be discussed, along with an explanation of the underlying processes and relevant hyperparameters. 5 approaches will be presented to assess and compare each model – test data MSE, residual plot analysis, AIC, 5-fold cross-validation and risk premium ratio analysis. We will also look at how different rating factors affect the model fit by looking at variable sensitivity w.r.t. MSE and AIC, as well as an overview of the exploratory data analysis processes involved.
Speaker: Navarun Jain
F8: Self-Assembling Loss Reserving Models using Regularised Regression Machine Learning
This presentation investigates the use of data science and machine learning techniques in the area of general insurance claim modelling. Specifically we look at whether regularised regression modelling (the lasso) can be used to construct automatically a stochastic model that captures complex claims experience (including superimposed inflation, legislative changes, changing development patterns, etc.), yet still delivers an interpretable model. Engineering a suitable set of features/basis functions for inclusion in such a model is key to its success and we will discuss some of the important factors in building the set of basis functions. This form of modelling is illustrated by application to both synthetic data sets, with known features, and a real data set with which the authors are familiar. The outcome is the automated modelling of highly complex data sets.
Speakers: Greg Taylor, University of New South Wales and Gráinne McGuire, Taylor Fry
F9: Pillar 3: One Year On, How Have Things Changed?
Pillar 3: One Year On, How Have Things Changed?
Description: This session will cover the key findings from LCP's (second) annual survey on Solvency II reporting across the UK and Ireland. The session will focus on:
- Whether insurers have addressed reporting recommendations made last year following the PRA's and EIOPA's feedback
- Approaches to get the most out of SFCRs
- Changes in capital strength since last year and other key themes that have emerged
- Emerging risks faced by insurers
Speakers: Catherine Drummond and Sayeed Zaman, LCP
F10: Parallel Computing for Actuaries - From Excel to GPU Clusters
Even a laptop will have multiple processor cores these days. But are you using them? In this workshop we will:
- Explain how parallel processing works and how it can be applied to various actuarial applications from Monte Carlo to Pricing
- Demonstrate parallel processing on a wide range of platforms, from vanilla excel to what is possible with dedicated programming of a 200+ core GPU cluster
- Review platforms for parallel processing in actuarial work including R and Python
- Discuss areas of future development.
Speakers: Jan Iwanik, Iwanik Limited and Matthew Evans, EMC Actuarial & Analytics
F11: Machine Learning for Actuaries
Increasingly actuaries are having to consider how to integrate machine learning techniques into their day-to-day work, but this can present challenges because:
- There is uncertainty around which problems are best tackled by machine learning;
- There can be difficulties obtaining and working with large datasets;
- There can be challenges to validating and communicating results from models due to their ‘black box’ nature;
- Challenges learning the technical skills required.
This talk aims to address elements of these issues by providing an introduction to machine learning as well providing worked examples to illustrate the application of machine learning in an actuarial context.
Speakers: Steven Perkins, PwC and Hazel Davis, AXA Insurance
- Refreshments Fri, 26/10/2018 - 11:20 - 12:00 Refreshments
- Plenary session Fri, 26/10/2018 - 12:00 - 13:00 Plenary 7: A Perfect Balance between Courage and Fear: holding a child's life in your hands, and living with risk
This session will include:
- a brief review of the role of a paediatric cardiac surgeon
- a description of the balance between treating an individual patient based (usually) on inadequate data and a group of patients with similar diagnoses and even less data
- learning from other industries, notably F1 and some high reliability industries to improve the safety/risk balance
- forming, breaking, leading teams to get the best results
- using data to influence behaviour and help choice
- potential impact of AI in the medical world.
Speaker: Martin Elliott MD FRCS, Professor of Paediatric Cardiothoracic Surgery at UCL, Emeritus Professor of Physic and Fellow at Gresham College.
- Plenary session Fri, 26/10/2018 - 13:00 - 13:15 Chair's Closing remarks
- Other Fri, 26/10/2018 - 13:15 Conference close and lunch on the run