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GIRO Conference 2019

24-26 September 2019

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 2018 was a huge success and we have opened bookings early for what we hope will be another brilliant conference at the EICC in Edinburgh this year. 

The format of the event has changed this year and will be a 2.5-day conference starting on Tuesday 24 September and finishing at the end of the day on Thursday 26 September. 

View our list of exhibitors at GIRO 2019.

After dinner entertainment confirmed!

Vikki Stone will be performing at the Conference Dinner on Wednesday 25 September.

 

The Brian Hey Prize – Submit your research by 31 August 2019

Please consider submitting your research for the Brian Hey Prize.

The prize was established 20 years ago and has served as a reminder, that research excellence is an indispensable ingredient to the success of the GI actuarial community.  Past winning papers were penned on an excitingly wide range of topics by a diverse set of authors, reflecting the multitude of challenges faced by the GI industry.

Yours could join them this year!

Please submit your paper to Niki Park (niki.park@actuaries.org.uk) by 31 August 2019.  They would be considered by the GIRTL Committee under the following five headings, and the winning entry would be announced at the GIRO Conference in September.

  1. Practical application for IFoA general insurance actuaries
  2. Technical content
  3. Innovative content
  4. Readability
  5. Wider appeal for other professionals

As for last year, the committee is not limiting “paper” to traditional prose documents, but would also consider presentation slides.

 

Keynote speakers confirmed

We are pleased to announce that we have the following keynote speakers at this years GIRO conference - 

David Saddington will be opening the conference on Tuesday 24 September

David Saddington is a climate change policymaker & environmentalist. Since experiencing extreme flooding as a teenager he has communicated the importance of climate change action to millions, pioneered innovative policy change and worked with business on bold sustainability strategies.  David’s first intervention was heading up a high profile public awareness campaign featuring BBC, Sky, ITV and working with then UK Prime Minister, Tony Blair, to get climate change on the school curriculum. David has spread climate education to other countries and his work to re-energise communication of climate change to the public has been featured by the United Nations as an example of best practice. After leading education reforms David has pursued his own academic first studying climate science before going on to investigate the economic, security & health risks of climate change.

David has shared the stage with heads of state and CEO’s, talked at venues from the Hong Kong Science Museum to a beach festival in Ibiza and his TEDxTeen talk ‘Why I Don’t Care About Climate Change’ is one of the most-watched climate talks on Youtube. David speaks about the opportunities and challenges from tackling climate change from his international consulting experience implementing carbon policies under the Paris Agreement and on sustainability initiatives with multinational corporations. 

David now works for the UK Government designing a policy to get to net-zero emissions by 2050. David has been named by WWF as an Earth Hour Hero for his now 15 years of continued work as an environmental change maker and he has been granted Fellowship of the Royal Geographical Society & Durham Energy Institute. David is also on the UK Board of Trustees for Nile Rodgers' 'We Are Family Foundation' which supports game-changing young entrepreneurs working to meet the Sustainable Development Goals. 

Naomi Sesay will be presenting on Wednesday 25 September

 

Graduating with a BA (Hons) in European Business Management, Naomi went onto work for MTV News as a Producer/Director and Presenter at the height of MTV Europe’s popularity. During her 15 years in television, Naomi also worked as one of the first Producers of Channel 4’s ‘Big Brother’.

Having spent 15 years in television, Naomi decided to make the switch from a career in broadcast media to becoming a successful property investor, mentor and trainer within the wealth creation arena.

Her journey has culminated in taking to the stage as an inspirational speaker, a thought leader and an entrepreneur who oozes a unique energy from the first moment you meet her.

Owner of the Billionaire Ladies Club, a growing global network of highly aspirational women looking to transform the world through entrepreneurship, Naomi has fascinated audiences with the essence of what really makes digital communications so powerful, why digital innovation is such an important tool of reconnection & identity and what every digital marketer needs to know before structuring a communication program.

It is therefore hardly surprising that so many people, especially women, have approached her for mentoring.

Currently, Naomi is the On Screen Diversity Executive with Channel 4. She has delivered training for an array of organisations including, BAFTA, ITN, ITV, BBC, Turner, Viacom, Primesight, Sky TV, Campaign Magazine and many more. She has also worked with Educational programs, schools, charities, Her Majesty’s Prison Services and corporate entities.

Dr Hannah Fry will be closing the conference on Thursday 26 September

Dr Hannah Fry is an Associate Professor in the Mathematics of Cities at the Centre for Advanced Spatial Analysis at UCL where she studies patterns in human behaviour. Her research applies to a wide range of social problems and questions, from shopping and transport to urban crime, riots and terrorism.

Dr Fry's critically acclaimed BBC documentaries include Horizon: Diagnosis on Demand? The Computer Will See You Now, Britain’s Greatest Invention, City in the Sky (BBC Two), Magic Numbers: Hannah Fry’s Mysterious World of Maths, The Joy of Winning, The Joy of Data, Contagion! The BBC Four Pandemic and Calculating Ada (BBC Four). She also co-presents The Curious Cases of Rutherford and Fry (BBC Radio 4) and The Maths of Life with Lauren Laverne (BBC Radio 6).

Hannah is the author of Hello World, The Indisputable Existence of Santa Claus: The Mathematics of Christmas and The Mathematics of Love: Patterns, Proofs, and the Search for the Ultimate Equation.

 

Registration Tue, 24/09/2019 - 13:30 - 14:30 Registration
Plenary session Tue, 24/09/2019 - 14:30 - 14:40 Chair's opening address
Plenary session Tue, 24/09/2019 - 14:40 - 14:55 Presidential Address
Plenary session Tue, 24/09/2019 - 14:55 - 15:55 Plenary 1: David Saddington
Transfer time Tue, 24/09/2019 - 15:55 - 16:05 Transfer time
Plenary session Tue, 24/09/2019 - 16:05 - 16:50 Plenary 2: Core Topics

Capital Core Topic: Real-world Applications of Risk Strategy and Appetite

A risk strategy and subsequent risk appetite are all well and good, discussed during the quiet summer months and approved in January, usually after the budget season is over and before the year-end financial results.

But in an ever changing world, with dynamic macroeconomic and geo-political risks increasing, how do we make real time agile decisions?

How do we use a static and multi layered approval process to update or change a board approved statement when the world pushes us outside our stated risk appetite?

This workshop will look at real world implications of the most common pitfalls in the risk strategy and risk appetite process for general insurers.

Speakers: Robert Moorehead-Lane and Sophie Weisenberger, Grant Thornton

Pricing Core Topic: Pricing Beyond Data and Fancy Models

We will be exploring the making of the Pricing onion: from its core – modelling and technology to the different layers.. These include increasing data, its use, what it takes for us to becoming an expert, as well as ethics and regulation.

Speakers: Chloe Paillot and Mahima Agarwal, Deloitte

Reserving Core Topic: Insurance Market Review - Moving Towards the Ideal Reserving Process

Speaker: Tom Durkin

Transfer time Tue, 24/09/2019 - 16:50 - 17:00 Transfer time
Plenary session Tue, 24/09/2019 - 17:00 - 17:45 Plenary 3: Core Topics

Capital Core Topic: Real-world Applications of Risk Strategy and Appetite

A risk strategy and subsequent risk appetite are all well and good, discussed during the quiet summer months and approved in January, usually after the budget season is over and before the year-end financial results.

But in an ever changing world, with dynamic macroeconomic and geo-political risks increasing, how do we make real time agile decisions?

How do we use a static and multi layered approval process to update or change a board approved statement when the world pushes us outside our stated risk appetite?

This workshop will look at real world implications of the most common pitfalls in the risk strategy and risk appetite process for general insurers.

Speakers: Robert Moorehead-Lane and Sophie Weisenberger, Grant Thornton

Pricing Core Topic: Pricing Beyond Data and Fancy Models

We will be exploring the making of the Pricing onion: from its core – modelling and technology to the different layers.. These include increasing data, its use, what it takes for us to becoming an expert, as well as ethics and regulation.

Speakers: Chloe Paillot and Mahima Agarwal, Deloitte

Reserving Core Topic: Insurance Market Review - Moving Towards the Ideal Reserving Process

Speaker: Tom Durkin

Refreshments Tue, 24/09/2019 - 17:45 - 23:00 Buffet dinner
Plenary session Wed, 25/09/2019 - 09:00 - 09:45 Plenary 4
Transfer time Wed, 25/09/2019 - 09:45 - 09:55 Transfer time
Workshop Wed, 25/09/2019 - 09:55 - 10:45 Workshop Session A

A1: Third Party Working Party

Tenth iteration of the Institute and Faculty of Actuaries Third Party Working Party (TPWP) for Private Car Comprehensive experience. Scope expanded 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

A2: The Frontiers of Sustainable Investing and Insurance

Description: In this talk we make a whistle-stop tour of what we see as best practice in sustainable investing and the integration of Environment, Social and Governance (ESG) factors into both investments and insurance.

For example, for controversial investments such as tobacco or coal is it better divest or engage? Should we be underwriting insurance for these sectors? Is any of this measurable?

This session will provide senior managers and practitioners alike with a good overview of the theory, practice and advantages of considering the long-term sustainability of our businesses and the planet as being central to profitability.

Speakers: Russell Bowdry, Marte Borhaug and Iain Forrester, Aviva

A3: Internal Model Validation - Keeping It Fresh in 2019

During the session, we will share the latest developments and hot-topics around internal model validation during 2019.

The session will focus on three ways to look at an established validation programme to ensure that it stays effective year-on-year:

  • Strategic view – how does the validation support model use by the business and, in turn, the wider business strategy?
  • Technical view – what are the key remaining modelling challenges, and is the validation robust under regulatory fire?
  • Resource view – how to reduce time spent on low value activities and how to ensure clear independence?

Within these views, we will be covering a range of hot topics, including:

  • Validation to support model use
  • Validation of model governance
  • Keys areas of regulatory focus
  • Using alternative methodologies to strengthen validation
  • Making the best use of your team
  • Automation

During the session, we will explore each of these different areas to see how to keep the validation approach fresh and fit for purpose for 2019 and beyond.

Speaker: Catherine Drummond and Sayeed Zaman, LCP

A4: Silent Cyber Assessment Framework

In this session we will outline an approach that the members of the working party have been developing to assess silent/non-affirmative exposure across the market. We provide an overview of a framework that we believe helps actuaries understand and assess the potential exposure across various lines of business as well as understanding what type of scenarios could impact different lines of business/clauses. We will explore a holistic view of the standard market clauses/exclusions used in the insurance market to address cyber. The intention is that this will help actuaries communicate silent exposure to management.

Speakers: TBC

A5: Fraud Detection: How can Machine Learning help?

An insurance company processes millions of claims, knowing that some of these might be fraudulent. Fraudulent claims that get paid out can cause insurance companies unnecessary and sometimes large losses. These also negatively affect actuarial pricing models. One question that if often posed, and one that is of great interest to actuaries and claims departments alike, is - How can we detect that a claim is fraudulent before it is paid out? Machine Learning methods can greatly help automate and streamline the fraud detection process, and can give us insights into data that are not necessarily otherwise obvious. Such methods can help detect anomalies in data and can further help understand the causes and key drivers behind these anomalies. Claims departments and actuaries can use this information in order to build better pricing models and prevent losses due to fraud. In this talk, I will present an example of fraud detection in Motor insurance, although the methods used can be applied to any line of business. This talk explores certain ML-based classification models, how they were used on the data to classify a claim as a fraud or not, and conclusions about the data drawn from these models.

Speaker: Navarun Jain, Lux Acatuaries and Consultants

A6: IFRS17 Working Party

This session will aim to:

  • Provide an update on the requirements for IFRS 17 focussing on the implications of the proposed amendments;
  • Spotlight the complexity regarding Reinsurance, including but not limited to:
    • Risk Adjustment - gross, net, ceded: not quite what they say on the tin?
    • Onerous Contracts - offsetting losses where covered by RI, how will this work?
    • Accounting complexities - profit commissions creating investment components, when are ceding commissions expenses vs revenue and more?
  • What is next? - Recap on timelines, discussion on progress so far.

Speaker: Jamie Grant, Lancashire Group and Alice Boreman, EY

A7: Soft Skills Session: Masterful Communication

Effective communication skills are the number one soft skills sought by the majority of employers.  These skills  can be learnt, but are seldom taught.   With a willingness to practice after the workshop and put the skills you will learn into practice, you will have the ability to be a truly effective communicator.  In this workshop we will look at:

  • The most important first step to becoming a masterful communicator
  • Recognising and acknowledging filters
  • Developing flexibility
  • Face to face communication, top tips on voice and body language
  • 1 – 1 communication and in meetings
  • The difference between delivering good news and bad news effectively
  • Communication by email – top tips

Speaker: Gill Hicks

Refreshments Wed, 25/09/2019 - 10:45 - 11:15 Morning refreshments
Workshop Wed, 25/09/2019 - 11:15 - 12:05 Workshop Session B

B1: Maximising the Value of Text-based Insurance Data

Text-mining is developing into an increasingly useful tool as insurers and other businesses seek to extract value from their non-numeric data. Handling non-numerical data - such as free-form text from claims notifications- is a challenging, but harnessing it can result in added value from information already held by insurers. The presentation will give an overview of various approaches to incorporate unstructured text information to generate insights by integrating it within traditional actuarial applications. The emphasis of the talk will be on the potential uses of text/sentiment mining in non-life insurance pricing, reserving and distribution.

Speakers: Santiago Restrepo, BDO LLP and Rickard Nyman, Periander

B2: IFRS 17 as BAU: A Question of Timing

IFRS 17 will be a very significant change in how actuaries will carry out reserving.  There are implications for many aspects of the role, including:

  • The extent their assumptions will have a direct impact on the company finances
  • The extent their assumptions (and particularly the changes and inconsistencies in assumptions) will be scrutinized by external parties, including investors
  • The speed in which the financial results will need to be published
  • The level of input required to populate the reporting pro-formas and enable senior management to "tell the story"
  • The rigour of the control environment the reporting will sit within
  • How they will interact and operate with the Finance team

I will explore where this process is going to impact actuarial teams, and how they might adapt to cope with the change in environment they are facing.

This will be a major issue for reserving teams and actuaries more widely in the organisation.

Some IFRS 17 knowledge is helpful here, but not essential. 

Speaker: Neil Bruce, Willis Towers Watson

B3: A Stab at Physical Climate Change Risk

Despite the willingness of insurance firms to assess impacts from climate change, there is a practical challenge on how to best undertake this. The PRA has led two initiatives that attempt to partly address this challenge: (a) develop a framework to assess financial impacts from physical climate change risk levering the knowledge of an industry working group and (b) detail a climate change scenario to be used a part of the Insurance Stress Tests. This session will outline the framework and the Climate scenario and illustrate those presenting case studies. 

Speakers: Giorgis Hadzilacos and Amanda Istari, PRA, Jane Toothill, JBA

B4: Exploring Third-Party Capital: Rationale and Market Opportunities

The Insurance Linked Securities (“ILS”) market is experiencing rapid expansion; total alternative reinsurance capital has doubled in the last 5 years, and is now estimated at over $100bn.

As investors become more comfortable with insurance risk as an asset class, the structures of ILS issuances are evolving beyond catastrophe bonds into structures such as collateralized reinsurance vehicles and sidecars.

The emergence of third-party capital entering the reinsurance market has put a ceiling on reinsurance rates and led to a flattening of the reinsurance cycle.

This session will discuss these topics and more in the area of third-party capital.

Speaker: Andrew Smyth, Deloitte

B5: Practical Pricing in Specialty Insurance

Pricing in specialty insurance presents different challenges to pricing in the personal/commercial sectors:

  • There is generally less data, despite risks often being larger
  • The approaches used may vary per risk, in method and complexity
  • The objective of any given pricing exercise is based on the needs of multiple stakeholders, whose goals and requirements also vary significantly
    • By company
    • Across and even within product lines

This presentation aims to:

  • Reflect on how these differences present different challenges/priorities
  • Discuss how market practitioners, management and relevant supervisory bodies can engage to support pragmatic and effective improvements to pricing in our domain.

Speaker: Amrit Santhirasenan, Hyperexponential Ltd

B6: How Long is Forever? Using Annual Capital Re-Allocation to Calculate a Rate of Return on Capital

A prospective return on capital (ROC) for a line of business can be a valuable tool in the planning process. It provides a comparison of the risk assumed from writing a volume of premium in a given line of business with the expected profit. This presentation discusses how the ROC should be defined so that risk and reward are aligned over the lifetime of the claims. Also discussed are a calculation methodology and tools for validating the results.     

Speaker: Eric Pizarro, Allied World Assurance

B7: Hurricanes Working Party: Climate Change, Clustering and Market Response

During our talk we plan to give a short update on the progress of the working party: "A study of major hurricanes and the subsequent market response". 

We will:

  • Introduce the basics of and factors contributing to hurricane formation and strength
  • Discuss the impact of climate change on the formation and severity of the hurricanes;
  • Present our initial findings on the evidence of hurricane clustering; and
  • Give a high-level summary of the market response following key hurricane events, including a look at the reinsurance rates and the availability of the alternative sources of capital.

Speakers: Krzysztof Kormanski, Deloitte and Adhiraj Maitra, Willis Towers Watson

Transfer time Wed, 25/09/2019 - 12:05 - 12:15 Transfer time
Workshop Wed, 25/09/2019 - 12:15 - 13:05 Workshop Session C

C1: IFRS17 Discounting: Lessons Learnt and Methodological Considerations

IFRS17 bears far-reaching implications on the mechanics of insurers’ key functions and reporting metrics. In the general insurance industry, one of the main changes relates to discounting, whose non-prescriptive derivation poses practical challenges to firms. In this presentation, we share:

  • The lessons learnt to date;
  • The approaches (top-down/bottom-up) and issues to derive the IFRS17 discount rate.

Finally, changes in the interest rates may cause more volatile income statements. This volatility can be mitigated by implementing the so-called OCI-option, whose effectiveness should be assessed operationally and holistically by considering the asset side (IFRS9).

Speakers: Manuela Schaller, Direct Line Group and Matteo Ricciarelli, PwC

C2: Flying Blind: Exposure Management in the Market

Managing exposures and aggregates is a fundamental component of a firm’s operation and weaknesses in exposure management can lead to poor risk management or pricing amongst others. Following the 2018 Dear CEO letter by PRA where it highlighted that identified poor exposure management across firms, further investigatory work was undertaken by the PRA in 2019. This session will present outcomes of this investigation presenting the different strengths and weaknesses observed across the encountered exposure management practices. Examples of firms being more mature or behind behind the market average will be presented to illustrate exposure management practices.

Speakers: Amanda Istari, Giorgis Hadzilacos and Jenny Xu, Bank of England

C3: Allowing for Qualitative Risk: Reserving and Capital Collide

An efficient reserving process would allow for our changing world, risks and opportunities before the data enters reserving triangles. The GIROC Measuring Uncertainty Qualitatively (MUQ) Working Party are building on their Reserve Uncertainty Framework and exploring practical ways to incorporate known insurance risks into reserves and risk models to generate capital requirements. We look forward to passing on our findings to help you allow for qualitative risk.

Please bring your laptop/Ipad to this session. An excel document will be sent prior, to download in preperation for this interactive session.

Speakers: Keith Brown, Geo, Hemant Rupani, Tata AIG General Insurance Company and Meena Nandakumar

C4: Development of Pricing and Portfolio Analytics in Commercial Lines

In recent years, an increasing number of Commercial Lines insurers have begun to adopt concepts and advances previously popularised in Personal Lines and have achieving significant benefits from better control of their data and greater insights across the underwriting process.

In some cases this has been a relatively straightforward process, but often difficulties are encountered when adapting these techniques to the types of data and processes commonly used in Commercial Lines.

In this talk Dave Ovenden will outline these recent advances, with a number of case studies illustrating some of the challenges that may be encountered, how these can be overcome and the benefits that can accrue from these approaches.

Speaker: Dave Ovenden, Willis Towers Watson

C5: First steps in Machine Learning for Individual Claims Reserving

This presentation will be based on a real-life case study. It will cover the initial steps taken towards developing a machine learning model for individual claims reserving by a non-life insurer. The talk will cover:

  • A brief overview of machine learning
  • The techniques available for individual non-life claims reserving
  • The motivation and benefit for starting the project
  • The data set and data mining techniques
  • The modelling approach
  • Results, analysis and plans for extension and validation
  • Stakeholder management and communication.

Speakers: Adrian Gilders and Bob Gore, Grant Thornton, Jon Read, NFU Mutual 

C6: Brexit from the Perspective of a EU27 based Insurance Group

The presenters will share some issues faced by a worldwide European based insurance group as a result of Brexit.  Specific topics include

  • Overall impact-analysis for Allianz
  • Issues faced by our European licensed entities where UK business is strategically important,
  • Unique situations with incidental business written through UK passports,
  • Risk capital implications of a soft and hard Brexit,
  • Regulatory issues around the availability of financial services from UK-based providers post Brexit
  • Discussion of regulatory feedback from British and European regulators. 

The presentation will not be technical and we expect time for discussion and sharing of experiences with the audience.

Speakers: William Von Seggern and Christian Kortebein 

C7: Professional Skills Session: Ethics

The actuaries code requires that "Members should speak up if they believe, or have reasonable cause to believe, that a course of action is unethical or is unlawful."

While it may be relatively straight forward to determine whether an action is unlawful, it is more complex to decide if a course of action is unethical.

In this session we will be introducing some of the different approaches to ethics, which will be further explored through discussion and General Insurance based case studies, and also consider Ethics as a form of Risk Management.

Speakers: Dr Timothy Johnson, Heriot Watt University and Richard Winter, Bank of England

Refreshments Wed, 25/09/2019 - 13:05 - 14:15 Lunch
Plenary session Wed, 25/09/2019 - 14:15 - 15:15 Plenary 5: Naomi Sesay
Transfer time Wed, 25/09/2019 - 15:15 - 15:25 Transfer time
Workshop Wed, 25/09/2019 - 15:25 - 16:15 Workshop Session D

D1: Update from UK Asbestos Working Party

An update from the Working Party.

Speaker: Robert Brooks, PwC

D2: Challenges in Disaster Risk Finance: Data, Modelling and Uncertainties

A general introduction and update of the disaster risk finance space, including the following:

  • The use of parametric insurance products in the developing world
  • An introduction to sovereign cat risk pools
  • The use of forecast based finance by governments and NGOs
  • The challenges of risk modelling in DRF

Speaker: Rachel Haldane, Start Network

D3: Assessing Model Drift

The PRA assesses the internal model drift for insurers; the risk that capital requirements calculated using an internal model may gradually weaken over time such that they no longer remain reflective of the risks to which firms are exposed. Internal Model drift on the banking side has been suggested as one of the reasons for the 2008 financial crisis. 

This workshop will highlight the PRA approach to monitoring model drift. We will discuss the different approaches for identifying unjustified weakened capital requirements as well as the advantages and limitations of the approaches.  We will demonstrate how regulatory reporting information, including Internal Model Output, is used to analyse the changes of SCR into different components. The changes in these components are assessed as to whether they contribute to model drift.

We will discuss possible model drift trends observed across the General Insurance market as well as the different approaches taken by firms to monitor the potential for model drift.

Speakers: Amanda Istari and Ryan Li, Bank of England

D4: Solvency II Risk Margins and SCR from First Principles

Solvency II prescribes a definition of the risk margin as a component of technical provisions. The definition requires calculation of future SCRs, which themselves require calculation of future values of the risk margin. To avoid this cyclic relationship, the industry has adopted simplifying assumptions.
We will present methods for determining risk margins, reserves and SCR consistently over the lifetime of the liabilities allowing us to test common simplifying assumptions. We will illustrate how the model can also be used for capital planning, and in evaluating reinsurance contracts.

Speakers: Wee Shen Teo and James Norman, RPC

D5: Wanted: Super-good Surgeon. Must Not Kill Patients

Insurers often have multiple loss ratios for a given Class of Business (CoB): one for business planning, one for 'aspirational' (stretch) purposes for the underwriter, one for capital, one for pricing, and one (often more than one) for reserving. The paper explores the challenges (and folly) of such an approach, highlighting the importance in the Control Cycle of only using one true best estimate for all purposes.

An analogy is drawn with respect to the 'aspirational' (stretch) loss ratio for the underwriter, comparing it to a surgeon. A surgeon's primary responsibility is to NOT kill the patient ... no further incentive need be provided. A (good) surgeon has relatively limited scope to improve her mortality rate: motivating her to do so via a stretch target is meaningless. And so it is with a (good) underwriter, with respect to their loss ratio. Respectively, that is the whole raison d'etre of these two professions. With respect to the underwriter: setting a true best estimate loss ratio (rather than an 'aspirational' (stretch) loss ratio) is demonstrated to be a much-better approach, not just for the individual underwriter but for sound management of the insurance company within a Control Cycle framework.

Speaker: Richard Hartigan

D6: Claims Inflation: Linking Triangles, Future Run-off and other Assumptions

There are two main areas to be covered:

1) Background, context and concepts

  • Scope of the discussion; pure claims inflation which excludes consideration (in part) of frequency.  Mainly reserving focused, but has pricing and capital implications.
  • Discussion around the inflation protected component (i.e. loss cost not sensitive to inflation), and also gearing effects of inflation (e.g. excess layers)
  • Discussion of how inflation impacts loss ratios and the diagonal / horizontal / vertical of the triangle in different ways
  • Some historical context of the ongoing low / deflationary environment, and impacts of rapidly increasing inflation.
  • Some example inflation indices, and how to create them from publicly available data.

2) A technical focus on calculating / estimating inflation as part of a reserving analysis and keeping assumptions consistent

To estimate ultimate losses for each cohort (e.g. underwriting year) of a claims triangle in a reserving analysis:

  • There is an embedded inflation component in the loss development history
  • An assumption on inflation underlying future loss development
  • An assumption on inflation underlying estimated expected loss ratios

We will discuss how to bring consistency to these three items.  We will discuss how these analysis can be extended, e.g. to capital modelling context.

Speaker: Paul Goodenough, XL Catlin

D7: PPO Working Party Qualitative and Quantitative Surveys 2019

The PPO Working Party presents the results from its Quantitative Survey. Numerical data is collected from various Insurers and analysis of PPO Propensity, trends in the underlying PPO data and summary statistics are created.

The highlights from our analysis will be presented.

The format of the presentation will be akin to previous GIRO presentations, but the underlying data will be the most recent.

Speakers: Patrick Tingay, Willis Towers Watson and Peter Saunders, Chubb

Refreshments Wed, 25/09/2019 - 16:15 - 16:50 Afternoon refreshments
Workshop Wed, 25/09/2019 - 16:50 - 17:40 Workshop Session E

E1: Practical Techniques for Dealing with Long Tail Reserving Challenges

This presentation will review common complications that are seen when performing long tail reserving. The presentation will detail techniques for estimating reserves in spite of these complications. A scenario approach will be used for discussing most of these complications and some of the scenarios that will be covered include:

  •          Divergences in paid and incurred claim projections
  •          Frequent historical changes in claims legislation
  •          Step changes in case estimation approaches
  •          Changes in business mix

This presentation will also discuss the scenario of data with claim settlements occurring at varying discount rates (e.g. Ogden rate) which will soon become a reserving complication.

Speaker: Nadeem Korim

E2: Lloyd's Update

Annual update from Lloyd's.

Speakers: Catherine Scullion and Emma Potter, Lloyd's

E3: Capital Coverage Ratios of Insurers and their Determinants

The Capital Coverage Ratio is an important measure of an insurance firm’s risk appetite and capital management. It is also used by analysts and rating agents in their assessment of insurance companies.

SII has created a new set of data. We discuss features of the balance sheet of different types of insurers and analyse the capital coverage ratios of Insurance Firms since the implementation of SII.

We fit a statistical model to the data to find the determinants of the capital coverage ratios. The analysis involves modern statistical techniques, such as model based recursive partition trees, to help us discover structures in the large data set we use.  There are significant differences between Firms.

We interpret the results and discuss what they mean in the business context using our knowledge of the market, reviews of a sample of SFCR and ORSA and interviews with experts.

We discuss the implications for the UK insurance industry.

Speakers: Caroline Yeomans, Dimitris Papachristou and Nylesh Shah, Bank of England

E4: Regulatory Update: Actuarial Monitoring Scheme and The Actuaries Code

This is a valuable opportunity for Members to gain insights into significant regulatory developments involving the IFoA. The presenters will provide a breakdown of the new Actuaries’ Code, with a focus on the new Guides on Speaking Up and Conflicts of interest.

The session will include an update on the introduction of Thematic Reviews of actuarial work as part of the implementation of the Actuarial Monitoring Scheme. We will provide insight into the background to the decision following our 2018 consultation, how the programme will work for those Members and organisations involved in reviews and will provide some examples of likely outputs.

Speakers: Judith Joy, IFoA

E5: The Balance of Flexibility and Consistency: A Case Study of the Successful Development of a Worldwide Pricing System for Partner Re

This session covers:

  • Pricing tools status quo: spreadsheets vs systems
  • Aiming high: what should you expect from a best-in-class pricing system?
  • Getting there: the risks, the challenges and how to mitigate them
  • The future: what should you expect from your pricing system in 5 years’ time? 

Speakers: Sam Worthington, RPC Consulting and Isabelle Courtin, Partner Re

E6: A Regression-based Approach to Modeling/Forecasting Solvency Capital

With how beneficial can be for an insurer to ascertain the solvency capital required for the coming year, we investigate how forecasting the capital can be treated and solved as a multi-component regression problem to project asset and liability cashflows. Our talk will be divided as follows:

  • Introduction: A brief run through existing work done on solvency capital forecasting.
  • Models: We discuss the theory behind the models used for each component (e.g. Tweedie GLM, Neural Networks, LSTM models) and how they can be applied to claims triangles for reserves forecasting, as well as capital projection.
  • A brief case study is presented on how the methods discussed can be used for asset and liability prediction over one year.
  • Predicting the next steps: We explore how these models can have a prescriptive side, i.e. how their outputs might be used to help insurers plan better for the near future.

Speakers: Navarun Jain, Lux Actuaris and Consulting and Karthik Tumuluru, MetLife

E7: Measuring the Value of Risk Cost Models

A large variety of new modelling techniques are being applied to premium rating necessitating development of metrics that allow us to evaluate predictive power of candidate models without reliance on internal structure.

Diagnostics used today include calibration plots, quantile charts, double lift / loss ratio plots, Lorenz curves and the Gini index, yet the relationship between these tools and the potential economic value of models in use is not necessarily well understood.

We establish a precise connection between traditional diagnostics and the economic value then take advantage of the resulting intuition to motivate a new family of model-agnostic evaluation metrics.

Speakers: Dimitri Semenovich, IAG

Workshop Wed, 25/09/2019 - 17:50 - 18:50 Optional Session: New Research for the GI Actuarial Community

Your help is needed to steer research!

As general insurance actuaries, we rely on fresh thinking to take on ever evolving challenges. The practitioner community has mentioned several themes regularly in various forms. How should we continue (or start) tackling them together in the next few years?

In this session we will specifically discuss five developing research projects:

  1. Dependencies for Capital Models
  2. Claims Inflation
  3. Learning from Other Professions
  4. Super Trends
  5. Public Data for Actuaries

This will be an interactive session where you will be refining ideas to develop a way forward, to start later in the year.

This session is facilitated by the profession's GI Research and Thought Leadership Committee. We look forward to meeting you, and also welcome your engagement beforehand and afterwards. You can contact us through the committee email address: girtl@actuaries.org.uk

Speakers: GIRTL Committee, chaired by Joseph Lo

Networking Wed, 25/09/2019 - 18:50 - 19:30 Leisure Time
Social Wed, 25/09/2019 - 19:30 - 23:55 Drinks reception and Conference dinner

After dinner entertainment bought to you by Vikki Stone. 

Vikki Stone is an award-winning musical comedian best known for her original comedy songs, as well as a presenter, actress, composer and voiceover artist. Most recently, Vikki hosted her second series of the official BBC Proms Podcast and presented their Facebook Live content with guests including Sir Tom Jones, Steps, Al Murray and Sophie Ellis Bextor. She also had a regular live slot on Mary Anne-Hobbs BBC 6 Music weekend breakfast show during The proms

Workshop Thu, 26/09/2019 - 09:00 - 09:50 Workshop Session F

F1: The Cost of Capital Allocation, some Core Principles

This talk (which was also presented at TIGI earlier this year) joins accounting and capital concepts to develop a different viewpoint on some classic questions. In particular thinking about the cost of capital rather than capital, and using appropriate accounting techniques, leads to clearer thinking about capital matters.

Speakers: Richard Holloway and Neil Gedalla, LCP 

F2: PRA Update

An update from James Orr on the activities of the PRA, areas of current focus and key findings. Topics may include:

  • Do we talk enough to our Claims Functions? Why this is becoming an area of increased focus for the PRA, what we have been doing and our future plans.
  • Our activities with the Actuarial Function, including talking points from our two “Chief Actuaries Forums” earlier this year, as well as themes arising from James Orr’s meetings with Chief Actuaries and why we are currently focusing on structure and engagement with other functions.
  • Our work on other key areas which may include cat risk, climate change, exposure management and capital.

Speaker: James Orr, Bank of England

F3: What is the Next Asbestos in your Casualty Portfolio

Where will “the next asbestos” come from? How significant is liability accumulation for your firm? How robust is their method of assessment? Arium, Praedicat and WTW, specialists in assessing liability accumulation risk, will try to answer those questions challenged by the PRA. The session will compare latest exposure-based tools to assess liability accumulation risk for insurance portfolios as well as briefly discuss how the different liability accumulation risk practices look like in the market. The discussion will consider the nature of the potential prudential risks as well as discuss the related insurance gap issue.

Speakers: Girogis Hadzilacos, PRA, Melissa Boudreau, Praedicat, Robin Wilkinson, Arium and Adhiraj Maitra, Willis Towers Watson

F4: Solvency II standard formula is changing - Some 20:20 vision on 2020

Since the publishing of the original Solvency II Delegated Acts in 2015, EIOPA has quietly been making subtle changes to correct mistakes, address concerns and add new rules. The biggest changes though are expected to come into force in 2020. Focussing on the standard formula, this talk will take you through what’s already been changed and what the future changes may mean for your capital and technical provision calculations.  

Speakers: Richard Williams and Steven Fisher, PwC 

F5: Are Transformations Driving Reserving Processes Towards a Cliff Edge?

With a torrent of transformations triggered by M&A; BREXIT; IFRS17; functional integration; IT/Data automations and robotics driving change, this Workshop explores how Reserving data, calculation and reserving processes sit on the cusp of radical change.  Using case studies and member surveys this Workshop will explore the impact of transformations on the reserving process and explore its place in providing insight to pricing and underwriting.  It will show how transformations are now changing the old ways of reserving forever,  and address how the Reserving function can be an effective business partner in a World driven by continuous transformation.

Speakers: William Diffey, Arun Vijay and Amerjit Grewal, Members of the Towards the Optimal Reserving Process Working Party

F6: How to Manage your Spreadsheet Risk across Multiple Business Units  

Spreadsheets and databases are versatile tools that can be deployed very quickly to solve business problems.  Organisations sometimes develop spreadsheets across their business without enough consideration for building in appropriate controls, and adhering to best practices.  This often leads to over-reliance on EUCAs and increased risk from incorrect processing.  Many organisations are potentially underestimating their reliance on spreadsheets, yet some of their most complex, high-profile decisions are based on analysis from these applications.  It is also crucial to understand and refine spreadsheet risks before other technological mechanisms such as robotics, or automation are implemented. 

We have implemented a sustainable framework in order to effectively and efficiently manage the EUCA risk. The session will cover: 

  • How we developed EUCA Standards and what they cover.
  • How we effectively discovered the EUCA population, and other possible approaches we considered.
  • How we determined an appropriate set of controls to mitigate key risk areas.
  • The implementation of controls and the validation of it.
  • Sustainability, and how to make this 'stick'.
  • How this sets you up to think about robotics and automation.

Our session will be of use to anyone who has to manage this risk (which might be most of us!). 

Speakers: Nadeem Chaudhry, PwC and Kostas Kizilis, Legal & General

F7: Unbiased Estimation of Economic Value of Pricing Strategies

The key assumption made in most real-world pricing systems is that the demand and cost functions are known exactly for each customer. While this makes the "optimal pricing" problem tractable, it also introduces substantial statistical difficulties. We demonstrate that under realistic assumptions on model uncertainty, the economic value estimates for "optimal" pricing strategies obtained via traditional methods can be overstated to a remarkable degree. Our analysis suggests inflation factors on the order of 30% to 500%.

We propose a new method for unbiased estimation of value of arbitrary pricing strategies, inspired by recent progress in the reinforcement learning.

Speakers: Dimitri Semenovich and James Patterson, IAG

Transfer time Thu, 26/09/2019 - 09:50 - 10:00 Transfer time
Plenary session Thu, 26/09/2019 - 10:00 - 10:15 Hot Topic pitches
Refreshments Thu, 26/09/2019 - 10:15 - 10:45 Morning refreshments
Networking Thu, 26/09/2019 - 10:45 - 11:30 Hot Topics 1
Transfer time Thu, 26/09/2019 - 11:30 - 11:40 Transfer time
Workshop Thu, 26/09/2019 - 11:40 - 12:25 Hot Topics 2
Transfer time Thu, 26/09/2019 - 12:25 - 12:35 Transfer time
Plenary session Thu, 26/09/2019 - 12:35 - 13:35 Plenary 6: Dr Hannah Fry
Plenary session Thu, 26/09/2019 - 13:35 - 13:40 Closing remarks
Refreshments Thu, 26/09/2019 - 13:40 - 14:00 Lunch on the run
Plenary session Thu, 26/09/2019 - 14:00 - 15:00 Optional Professional Skill: Getting it Right

This session will give you the opportunity to discuss some of the issues and problems in maintaining professional standards in today’s commercial world. As well as using case studies and videos to prompt discussion, we will be using a “live action” interactive scenario. This will be similar to a session seen at TIGI earlier this year, but we expect it to play out differently.

This session is designed to meet the IFoA’s Stage 3 Professional Skills Training requirements for experienced members.

Speakers: Sonal Shah, IFoA, Richard Winter and Richard Chalk, Bank of England and Andrew Newman, Charles Taylor

Papers will be available to download nearer to the time.