GIRO 2022

Speakers: Emma Stewart, Lloyd’s of London and Owen Morris, Aviva.

The Enterprise Risk Management (ERM) framework has changed the fundamental approach to governance and reporting of risk. This session presents the study results about ERM at Lloyd's of London, in particular relating to the drivers of ERM activity and the relationship between ERM activity and Lloyd's performance. We discuss the current ERM literature, measurement of ERM activity, methodology, the future of ERM and the study results at Lloyd's.

Khon Quang, Munich Re

This presentation will cover three main themes: diversity of experience levels, diversity in male-female representation and diversity in Chief Actuary roles. As I will show, more progress on female representation is needed, especially at leadership levels. On a more optimistic note, some companies have made outstanding progress in attracting and nurturing female talent, and I am very pleased that a number have achieved gender parity within their actuarial team.

Michael Stefan, Hanover Search Group

The Cyber Risk Investigation working party has produced a number of deliverables over the last few years; a specific workstream has also been created to explore how cyber risk is captured within Solvency II internal capital models used by (re)insurance companies. During the presentation, we will discuss:

• methods available to capture cyber risk potential within a capital model.
• how to validate parameterisation selections and cyber risk results within a capital model.
• how an effective enterprise risk framework would manage potential cyber risk.

The scope of this presentation - and the associated paper - includes all three of the main categories of cyber risk that an insurance company is exposed to: affirmative (underwriting) cyber risk, non-affirmative (underwriting) cyber risk and operational cyber risk.

Simon Cartagena and Jasvir Grewal

The Ogden discount rate is crucial for insurers and reinsurers pricing and reserving for injury classes. The Northern Ireland rate of -1.5% was announced earlier this year causing CEOs, CFOs and Chief Actuaries to query whether this signalled a wider shift and what the rate should be now and for year-end. The Working Party will share the results of our comprehensive industry survey and our scenario estimates of what the new rate could be.

Mohammad Khan, Andrew Corner, Francisco Sebastian, Lauren Keenan and Ricky Childs - Members of the Ogden Working Party

Quantifying social inflation is fundamental to our business planning and reserving process, and a key driver of our appetite and broader underwriting strategy.

In this presentation, we will give insight into the Casualty exposure management team’s approach to quantifying adverse social inflation outcomes and what it means to our business, such as if it has been allowed for in our internal capital model.

Imogen Hirsh and Ramiz Mohamed, Hiscox

Amanda Istari, Ryan Li, Nylesh Shah, Stefan Claus, April Wang and Chris Wiltshire, Bank of England

A review of key considerations when reassessing your capital management strategy and adapting to changing market conditions to achieve corporate objectives. The talk will include key industry wide themes such as inflation risk, interest rate movements and ESG. Capital considerations will be largely focused on rating agency capital, including proposed changes to the S&P capital model.

Finally, we will look at potential strategies around improving capital efficiency, and the various mechanisms which can be used to maximise the benefits from changing market conditions.

Stav Tsielepis, IGI and Shireen Gammoh, Gallagher Re

This interactive session will comprise an update on current topics in professionalism and a live-action roleplay presenting professional dilemmas and challenges with opportunities for audience participation

Andrew Newman, Richard Chalk and Richard Winter

Cyber's hard market has catalysed adoption for threat scanning technologies which hold the potential to improve our understanding of risk across the insurance value chain (from underwriting to catastrophe modelling). Using machine learning techniques, Gallagher Re has analysed the ability of this dataset to predict real-world Cyber events and subsequent claims.

The session will focus on:

• Overview of threat scanning technology;
• Its ability to benefit (re)insurers in evaluating Cyber risk; and
• The results of our analysis.

Edward Pocock and Michael Georgiou, Gallagher Re

In this interactive session, members of the AXA XL Science team will explore the challenges in illustrating and communicating the uncertainties associated with climate change projections and their potential impact on natural catastrophe losses. Topics such as:

• Model uncertainty
• Interpreting scientific literature
• Translation into catastrophe modelling will be discussed.
• Visualisation suggestions and various use cases will be touched upon.

Basic knowledge of the financial risks associated with natural catastrophes is required.

Cat Pigott and Ioana Dima-West, AXA XL

The ASHE (Annual Survey of Hours and Earnings) index is a vital assumption in the modelling of almost all PPO claims. ASHE has become an increasingly important assumption in many areas which members of the PPO Working Party will look to consider within the presentation.

Plus, an update on the quantitative trends of PPOs as at 2021 year-end, including PPO propensity, large claims, and the impact of changes in the Ogden discount rate.

Chris Francis and Justin Thomas

The General Insurance Machine Learning in Reserving Working Party is an international group of actuaries, bringing together experts in this field from around the globe. Our starting premise is that whilst machine learning techniques are widespread in pricing, they are not being adopted ‘on the ground’ in reserving (certainly in the UK).

The idea of the working party is to help move this forward, by identifying what the barriers are, communicating any benefits, and helping develop the research techniques in pragmatic ways.

Gráinne McGuire, April Lu, Nigel Carpenter and Isabelle Williams, Members of the Machine Learning in Reserving Working Party

An overview from Lloyd's on current hot topics relevant to the Lloyd's market.

Louise Bennett, Mairead Skelly, Kishan Patel and Mirjam Spies, Lloyd's

With UK regulators and Lloyd’s pressing the insurance industry to make tangible progress on diversity, equity, and inclusion ("DEI") the importance of data to help guide firms is increasing. This presentation and panel discussion will cover setting DEI targets; DEI data reporting; and DEI data collection.

It will leverage Lloyd's insights into DEI data, insights from industry DEI networks, and academic research relating to DEI data and the insurance industry.

Ben Johnson, Yasmin Carter-Esdale and Maurice Rose

The author has previously spent much time on working parties and members interest groups talking about Data Science and the future role of the Actuary from a theoretical perspective.

This session will be an unvarnished look at the practical challenges encountered in building a market leading Pricing Data Science team within a large established insurer.

Alexander Hanks and Amar Kotecha, QBE

Speakers separately set out:

1. essential measures that would need to be implemented and maintained, and
2. risks and issues faced, and associated implications, before opening up to the audience for their thoughts.

No prerequisite for technical knowledge. Subject matter relevant to all from a personal perspective (as potential home insurance policyholders), and be of particular interest to anyone involved in home insurance.

Richard Stock, Laura Evans, Marcus Schofield, Kemi Bello and Alex Hood, IFoA Flood Working Party

The world is changing in unexpected and dramatic ways. Global supply chains have been disrupted: first through Covid and now energy prices rocketing after the escalation of war in Europe. Climate change is always in the background, sometimes emerging above the waves with record-breaking extreme weather events or eye-catching court rulings, but mostly lurking beneath the surface, an evolving current of change.

To date, pricing and capital actuaries have looked from the crow’s nests of plucky insurance vessels, scanning the horizons to spot and avoid threatening hazards, ensuring a safe return to harbour at the end of each year. Hidden below deck, reserving actuaries have been keeping their ships sound and afloat, discerning patterns in the changing, but rhythmic, waves of claims development, year after year through endless market cycles.

Having refined their reporting engines to improve the speed, accuracy and sophistication of their results, few captains have sought their reserving engineer’s opinion on this new menace, or how they might adapt their engines to the changing world.

How should reserving actuaries respond to this accelerating systemic change, where the data from the past holds less and less relevance, and the best modelling must look directly ahead, into the future? This workshop won’t assume a deep knowledge of climate change issues, but it will assume a deep understanding of reserving.

Alex Marcuson, James Orr and Steve Patfield, Climate Change Reserving Working Party

This session will provide an overview (from a supervisor's perspective) of the objectives and practicalities of top-down and bottom-up industry stress tests, and make some observations based on the speaker's practical experience, most recently through his involvement with the IMF’s latest Financial Sector Assessment Programme (FSAP) covering Ireland.

Peter Towers, Central Bank of Ireland

The session will cover Economic and Social inflation impact on reserving and discuss possible methods to estimate claims inflation. While the main focus of the presentation is on commercial lines reserving, it will briefly touch upon personal lines and other practice areas like Pricing and Investment.

Arti Verma and Paul Goodenough, AXA XL

Automation is unlocking a huge amount of additional value in capital modelling, enabling applications that were not previously possible.

In this session we will look at:

• how capital modelling processes are changing - which parts are being automated and where human input is vital;
• new capabilities that this brings, including more granular and more frequent output;
• how daily updates can be established, enabling management to be fully informed as events unfold in the next financial crisis.

Chris Bird and Krunal Sheth, Willis Towers Watson

The Casualty Actuarial Society (CAS) released a series of research reports designed to help identify, measure and address potential racial bias in insurance pricing. The papers explore commonly used terms; compare potential statistical methods to measure fairness in the context of insurance rating; explore issues of racial bias in U.S. lending practices for financial services; and examine how rating factors in the U.S. may be impacted by racially biased policies and practices outside of insurance.

Brian Fannin, Casualty Actuarial Society

Actuarial functions need to urgently rethink how they approach data and modelling to cope with ever-increasing regulation, technology, and data challenges.

Actuarial functions can reap large rewards in efficiency, controls, and insights by deploying modern technologies and updating processes to automate a range of manual processes, enabling actuaries to spend their valuable time on actuarial analysis and providing critical business insight.

We will explore where the industry is heading in trying to achieve its ambitions.

Graham Oswald and Clare Campbell, PwC

IFoA President, Matt Saker, invites you to come to the IFoA stand for informal chat about the proposal to adopt Chartered Actuary designations. Qualified members are voting on the issue between 15 November and 13 December.

If, before you cast your vote, you want to understand more about how the proposed designations will work for you, how the new designations would be received within general insurance or how they will address the challenge that the changing marketplace is posing to the actuarial profession, then this is an opportunity to talk to Matt, colleagues from Council and the Executive.

The underlying process for updating the personal injury rate, including reference to the latest update for Northern Ireland. The Government Actuary has responsibilities in relation to setting the rates across the UK jurisdictions and this talk will cover aspects of this work which should be of interest and relevance to a lot of attendees.

Tejas Dholakia and Matt Gurden, GAD

I will briefly explain:

• What bitcoins are and how they work,
• Consider ethics, (the company could go bust if not paid. Paying ransom demands is feeding this criminality)
• Digital opportunities to identify and capture the offenders.
• Negotiations can massively reduce the amount of money being requested and impact to the company insured.Loss of data?
• Can the offender be trusted? Will the offender unencrypt the data, return it or sell it on?

Richard Foster, Brainstorm Security ltd

The Data Visualisation WP used python to scrape actuarial job data from several global locations.

We wish to present the results of our analysis of this data which includes:

• Overall EDA of actuarial job data
• Prevalence of coding languages in descriptions and observed trends
• The emergence of climate-related topics
• Additionally, code from http://gender-decoder.katmatfield.com/ assigned a ' gender score’ to each job ad based on work from a 2011 paper. The correlation of these scores with factors including seniority and location is explored.

Eilish Bouse

September 2021 saw the publication of the joint report by the IFoA, together with Fair By Design (FBD), The hidden risks of being poor: the poverty premium in insurance. In March 2022 Citizens Advice published its report Discriminatory pricing: Exploring the ‘ethnicity penalty’ in the insurance market. The potential implications of these two reports for Consumers, Insurance firms, the Regulator and the Actuarial Profession will be explored in an interactive workshop setting.

James Rakow, Deloitte and Grant Mitchell, Soteria Insurance

The IFoA eXplainable AI (XAI) Working Party would like to show you how AI and machine learning models are not in-fact so called “black boxes” and can be used with confidence in actuarial work. We will dispel the myth that Neural Networks, Random Forests etc. cannot be explained, by demonstrating various XAI techniques including ICE, PDP, M-plots, ALE and SHAP with examples in R, building on our article published in The Actuary.

Karol Gawlowski

Presentation from actuarial transformation consultant, techy pricing actuary, and underwriter come insurtech commercial director covering the future of pricing in the specialty market including the change skill set needed by pricing actuaries, how new technology allows rapid model build (possible live demo) and what this means for the services actuaries can provide to underwriters now! The market is at a key turning point and we think it’s critical pricing actuaries are transforming the way they do things today. We look forward to sharing our different perspectives.

Alice Boreman, Ernst & Young LLP

Tom Chamberlain, hyperexponential

Rob Spaul, AIG

At the Spring Conference, we introduced a framework for explicit modelling claims inflation with a UK Motor case study. We will build on from that presentation and further explore inflation modelling and management techniques for commercial lines:

• Claims inflation modelling for commercial lines of business
• Statistical calendar year trend analysis for commercial lines using triangular data
• Inflation trend monitoring framework that could be implemented across reserving, pricing, capital modelling and other teams

Nasir Shah - Enstar, Martin Cairns - FTI Consulting, April Lu - FTI Consulting

This panel session brings together experienced professionals to discuss good practice around climate risk.

Chair: Louise Pryor

Participants:

Camilla Bennett, CRO, AXA U.K.

James Orr, Senior Manager, Bank of England

Alex Marcuson, MD, Marcuson Consulting

Adrihaj Maitra, Group Head of Sustainability, Canopius

Annual update from this working group which provides a comprehensive overview of claims trends for private car comprehensive insurance cover, including focus on inflation, recovery from the pandemic, and any early insights into whiplash reforms.

Jacqui Draper and Robert Treen, members of the Third Party WP

A presentation from Lloyd’s on Claims Inflation, covering the below topics.

• What can the data tell us about historical claims of inflation?
• How have Lloyd’s considered the current inflationary environment into their reserving?
• Key insights from Lloyd’s Market Reserving & Capital team’s oversight including examples of how inflation has been considered by the market for reserving and capital

Ajay Shah, Priye Kanabar, Adhnan Chaudhry and Sanjiv Sharma, Lloyd's

Dr. Oliver Wing will present an introduction to how catastrophe modellers are responding to climate change, addressing the challenge of integrating global-scale climate and flood models.

Combining the latest scientific research with lessons from commercial projects in the UK, Europe, the US, and beyond, the session will provide an overview for those keen to understand how the actuarial community can learn from and adapt to the latest developments at the intersection of climate and catastrophe risk.

To learn more about Fathom visit www.fathom.global

Dr Oliver Wing, Fathom

IFoA Machine Learning in Reserving WP aims to advance advanced analytics methods within non-life claims reserving. One major stumbling block is the availability of granular data. While the ultimate goal is to apply machine learning on real claims data, simulated data may be beneficial in the intermediate steps.

First, researchers may create specific trends that the algorithms should capture. Second, training the algorithm on a simulated data set may allow one to separate subjective effects.

Jordan Ko and Brian Fannin

The recent rapid rise of inflation has led to a high-degree of uncertainty around its outlook for the next few years.  It is therefore essential for insurers to ensure they appropriately model inflation risk in stochastic projections used for regulatory-driven calculations/reporting and business planning processes.

This session focuses on various important aspects of stochastic inflation modelling including model structure/features, calibration approaches/adjustments, granular index modelling, stress-testing, and methods for validating inflation models in extreme market conditions. 

Natasha Margariti and Greg Isted, Moody's Analytics UK Ltd

How effective are you at getting your message across to peers, board members, and others - especially uncertainty and emerging risks like climate change or potential future crisis?

We'll explore how actuaries can be more involved in discussions when senior management need advice in uncertain situations.

We'll identify the key themes observed in the market and their potential causes.

Finally, we will demonstrate communicating uncertainty to your audience to become a trusted advisor of senior management.

Cherry Chan, Julien Masselot and Harold Clarke

E7: A new method for discrimination free insurance pricing and real-world impacts

In applications of predictive modeling, such as insurance pricing, indirect or proxy discrimination is an issue of major concern. Namely, there exists the possibility that protected policyholder characteristics are implicitly inferred from non-protected ones by predictive models, and are thus having an undesirable (or illegal) impact on prices. A technical solution to this problem relies on building a best-estimate model using all policyholder characteristics (including protected ones) and then averaging out the protected characteristics for calculating individual prices. However, such approaches require full knowledge of policyholders' protected characteristics, which may in itself be problematic.

Here, we address this issue by using a multi-task neural network architecture for claim predictions, which can be trained using only partial information on protected characteristics, and it produces prices that are free from proxy discrimination. To test this model, we use two datasets: a synthetic health insurance portfolio, as well as an extensive non-life motor pricing dataset, containing two protected covariates.

We demonstrate the use of the proposed model and we find that its predictive accuracy is similar to a conventional feedforward neural network (on full information). However, this multi-task network has clearly superior performance in the case of partially missing policyholder information.

Ronald Richman, Old Mutual Insure

Kindly sponsored by

Dress code: Smart casual.

Dinner is followed by a live performance by The Bootleg Beatles

James Robinson, Cactus

Although we are all one profession, it seems that the roles of pricing, reserving and capital (and others) are still very siloed, even though we work from the same data and are often trying to determine very similar outcomes. This session will explore how we are similar, as well as different, and ask the audience to help come to a common understanding of where the different disciplines (including non-actuarial) can create additional value for their organisations by working more closely together.

The aim is to encourage the disciplines to consider their counterparts more in considering problems that they face, to generate more holistic approaches to solving problems and explore what might be stopping this from happening already.

Neil Bruce and Maggie Belcher, WTW

Developing Your Reserving Team (DYRT) present and debate two actuarial reserving surveys;

(1) from 2020 (DYRT)

(2) from 2022 (Deloitte)

Topics include; team priorities/scope/skills, changes from 2020 to 2022

Paul Goodenough, AXA XL and Phil Dixon, Deloitte

With the effective date weeks away we will reflect on:

• challenges still being addressed and to look for in the first year
• market scan of announcements made on the financial impact
• involving the IFRS 17 process post-go-live.

Alice Boreman, Jamie Grant and Fergal Dolan, IFRS17 for GI Working Party

Expert judgment underpins all aspects of actuarial work, whether based on machine learning models, traditional techniques, or qualitative analysis.

In this interactive session, Ed and Zoe will explore how behavioural biases and our own natural attitudes and emotional response to risk can affect our expert judgement, both individually and in groups.

They will explore a range of case studies, including the current industry response to estimating inflation and share practical insights on managing these risks. 

Ed Harrison and Zoe Burdo, LCP

In an ideal world, companies should be able to remove their CO2 emissions within the desired time frame benefiting from advancements in technologies and the ease of transitioning to new business models. However, most firms will have to find a compromise to cutting the remaining emissions by looking to purchase offsets.

During our talk, we will look into how you can define an optimum strategy and validation framework to ensure the appropriateness of the offsets to support your employer in delivering against its Net Zero strategy.

Raluca Stefan and Vaibhav Agarwal, Grant Thornton

How should firms be managing their cyber insurance risk? A whistle-stop tour into the thoughts and findings from work done by the presenters to understand the range of practices and risks posed to firms writing cyber insurance.

Jenny Xu and Ruth Ward, Bank of England

Model drift and misspecification are critical actuarial risks, yet the prevalence of expert judgements, make them extremely hard to detect. We need processes that semi-automatically test that actuarial judgements and assumptions make sense. These tests should consider actuarial input data, actuarial outputs, and selected metrics about the company and the broader operating environment.

Essentially this is a call to make the actuarial method more scientific even when expert opinion applies. The Sensing and Responding to Change Working Party will provide their current thinking for how to practically do this. The ideas for this come from statistical process control, systems thinking, prospect theory, and model philosophy.

Chris Smerald, Ian Thomas and Moshe Steinberg

Congratulations to our Award Winners

• 2022 IFoA Lifetime Achievement Award - Susan Dreksler
• 2022 IFoA Outstanding Achievement Award - Ron Richman
• Brian Hey Prize 2022 - UK Asbestos Working Party update 2020

Ruby Wax, OBE