A talk on the Working Paper of the Life Aggregation and Simulation Techniques Working Party.
The members of the Life Aggregation and Simulation Working Party have drafted a paper (available here) on how the methodologies/techniques used for Aggregation in Solvency II internal models are tested, validated and communicated to senior management/Boards of insurance companies and to other stakeholders such as supervisory authorities and auditors. The aim of the paper is to provide some useful reference material to assist life actuaries faced with the challenge of making recommendations and justifying them in this complex technical area to a variety of different audiences. This presentation was given at the Life Convention 2015 and will also be presented at the Momentum Conference in December.
The primary areas of discussion in the paper are the selection and parameterisation of copulas (with particular focus on tail dependence and the calibration of Gaussian and t copulas) and proxy models.
The Working Party are hoping to finalise the paper soon (including the validation of the numerical results shown), and would value any insights you might have. In the presentation, they will outline the key areas of the paper and would like to encourage feedback from the audience.
Please note that the AGM will proceed this meeting, the Agenda and associated documents are available on the BAS Website.
The AGM will preceed this meeting. The agenda and associated documents are available on the BAS website.
Location
Address
Aviva Centre (formerly the Friends Centre), Brierly Furlong, Stoke Gifford, Bristol, BS34 8SW
Parking is available.
Nearest Public Transport
Trains run direct from London Paddington to Bristol Parkway, with a journey time of around 1.5 hours. The station is approximately a 5 minute walk from the office.