Life Conference 2018

Conference chair:

Michelle Lister, PwC 

There has never been a more confusing time to try to understand how to live a better life: scientists, newspapers, television and social media provide us with an endless barrage of contradictory and confusing information.

Xand will tidy up the mess and examine how it’s possible to get the most out of ourselves, addressing a question that has troubled the great thinkers of the ages through all of time: “what can I get away with?”.

Speaker: Dr Alexander van Tulleken

President, IFoA

We all need to be professional in what we do. This doesn’t simply mean getting the technical aspects right.

Just as important is how we get the message across to our clients, colleagues and stakeholders and how we interact with them.

Are we being professional in doing this?

Are we treating others with due respect?

Where else do we need to consider what message we are giving?

This session will be a mixture of presentation, videos, and challenges with plenty of audience participation 

Speakers: Malcolm Slee. Chair Professional Skills Sub-Committee, Annette Spencer. Director of Public Affairs and Research, IFoA and Nicola Kenyon, Actuary And Professional Skills Volunteer

A01: Latest Developments from the CMI

Update from Continuous Mortality Investigation Ltd (the CMI) on the latest developments from the Annuities, Assurances, Mortality Projections and SAPS Committees aimed at users of CMI outputs. Specialist technical knowledge not required, although a working knowledge of CMI outputs (such as the CMI Mortality Projections Model and “S2”/”08” Series mortality tables) would be useful.

Hamish Wilson, Chair of the Assurances Committee and James Tait, Chair of the Executive Committee

A02: The people behind the numbers  

So much focus is given to the financials of insurance companies.  We make sure the balance sheet does indeed balance, we stress test it and report on its resilience.  But what about the people who prepare these finances?  How well balanced are their lives?  What is their resilience like?  Do you focus on their wellness?  In this presentation, we look at how to maintain happy and healthy finance teams.

John Paul Dobson, PwC and Sam Lever, Phoenix Group

A03: CANCELLED

A04: A Generic Framework for the Economic Valuation of Insurance Liabilities

We will illustrate the framework developed in our paper "A Generic Framework for the Economic Valuation of Insurance Liabilities". To make it accessible and interactive we will employ a similar style to that used for our recent article in the Actuary magazine titled "Margins for error".We will first describe the simplifying assumptions underlying the standard cost-of-capital approach and then generalise these assumptions.We will then show how the resulting risk margin should be calibrated, using examples.Lastly we will compare the proposed generic valuation framework with other approaches, including MCEV and IFRS 17, and provide an interpretation of the cost-of-capital parameter used in Solvency II and comment on the recent debate surrounding this topic.

Paul Huber, Swiss Re and Nick Kinrade, KPMG

A05: Key insights in decumulation strategies 

This is an ARC/IFoA funded project IFoA's forefront research ”Minimising Longevity and Investment Risk while Optimising Future Pension Plans" seeks for new pension products that keep customers' needs first. In the confusing environment of pension freedom, we go through the existing knowledge of decumulation strategies.We present leading ideas and identify promising areas for our future research.

Thomas Bernhardt and Catherine Donnelly, Heriot-Watt University

A06: What is the right way to value no-negative equity guarantees on equity release mortgages?

The presentation will cover the findings from academic research on valuation techniques of no-negative equity guarantees and how they can be applied in the actuarial management of equity release mortgages.  It will cover theoretical approaches to the valuation of the NNEG, but it will also include a proposal on practical ways to apply these methodologies in practice so that they can be adopted as common actuarial practice for the pricing and valuation of NNEG liabilities within life assurers.

Tom Kenny, Just and Charles Golding, Golding Smith & Partners,  (IFoA Equity Release Mortgages Working Party)

A07: JFAR and the Hotspots  

JFAR’s Risk Perspective: 2017 Update was published in February 2018.This interactive session offers actuaries a unique opportunity to engage with JFAR’s representatives and gain insight into JFAR’s thinking in identifying its nine key risk hotspots, debate the regulators’ view of risks to high quality actuarial work and share ideas and influence JFAR’s actions to support actuaries and users in responding to the hotspots. JFAR's hotspots reflect actuaries' diverse roles in the rapidly changing business world; including Political and legislative risk, Climate-related risk, Financial security and Technological change. The JFAR is a collaboration of the FRC, IFoA, FCA, PRA and tPR that aims to identify and analyse public interest risks to which actuarial work is relevant.

Ann Muldoon, FRC, Andrew Ruddle, FCA and Ben Kemp, IFoA

A08: Making the Backbook Fit for the Future: A Case Study of Deferred Annuity Reinsurance

Capital optimization has been the mantra of the post-Solvency II world – but what does it look like in practice? Through a case study of a recent transaction between LV= and RGA, brokered by Aon, we will provide a real-life perspective on cracking one of the toughest nuts: deferred annuities. We will explore various aspects of the deal, such as - the difficulty in managing competing financial metrics, - dealing with policyholder behaviour risk, the competitive landscape and - the key ‘softer’ factors that enable a successful transaction. And all within the complexity of a UK with-profits fund.   The presentation will feature different perspectives from all the major parties involved.

David Lipovics, RGA, Colin Dutkiewicz, Aon and Emily Penn, LV=

A09: IFRS17 discount rates – Global perspectives and practical implementation considerations

This session will cover what the IFRS17 standard requires when setting discount rates (taking actuaries out of their comfort zone – not necessarily based on the assets you actually hold!) considerations for UK annuities, where the impact is potentially very material considerations for with profits and Universal Life business with investment guarantees practical experience of converting the standard into discount rates for use in a global insurance business.

Ian Carey, KPMG, Nirav Morjaria and Anish Malde, HSBC Insurance Global Actuarial Team

A10: Introduction to Life ILS funds

The Life ILS market has grown in recent years in response to increasing demand from insurers and reinsurers seeking alternative capital sources that can support an active, and more efficient, management of liquidity, capital and/or risk exposures. This talk will provide an introduction to Life ILS. We will be covering:

- Typical Life ILS investors and what they look for

- Examples of how reinsurers and insurers use Life ILS to manage risk, liquidity and capital

- Some case studies from Europe

David Horley, Secquaero and Scott Mitchell, Schroders

B01: How do you deal with a problem like Brexit?

In this presentation, we will consider the following:- A short re-cap on the risks Brexit presents to policyholders- A summary of the options which can be applied to simpler business lines such as unit-linked or annuities- An analysis of the challenges and considerations for with-profits policyholders- An overview of the innovative restructuring undertaken to protect with-profits policyholders in Standard Life's £13bn overseas branches

Jonathan McGuffie, PwC and Leigh-Ann Plenderleith, Standard Life

B02: The Importance of Genetics on Mortality And Morbidity Risk - a Study of 500,000 Lives

Significant advances in the understanding of genetics mean scientists are now redefining medical treatment and prevention based on a person’s genetics. These developments will could redefine insurance medicine, underwriting and actuarial functions.  This presentation will introduce the results of a new study predicting mortality and morbidity outcomes in a dataset of 500,000 lives.  Using medical, lifestyle and genetic data the research demonstrates how adding knowledge of a person’s genetics to conventional rating factors significantly alters the prediction of an individual’s risk of dying, developing heart attack, cancer and stroke.  The impact on the life insurance industry will be discussed with particular focus on the potential for anti-selection if insurers cannot access the same genetic information during underwriting.

Peter Banthorpe and Dr Richard Russel, RGA

B03:  CANCELLED

B04:  The Stochastic Full Balance Sheet Model

How likely it your firm may breach SCR this year? What event is most likely to cause this and what can be done about it?These are some of the most important questions to be addressed in the course of good risk management. Solvency II SCR models often fall short as they do not incorporate effects such as changing SCR/Risk Margin or the realistic effects of VA/MA. To be able to accurately answer the initial questions, a Stochastic Full Balance sheet model is required. This is complex and challenging area in which I have developed a number of unique and industry leading techniques. The key focus is to discuss the motivation for the model and demonstrate the key techniques.

William Curry, LV=

B05: The revised Actuaries' Code and regulatory update

Join the IFoA’s Regulation Team to hear all about the recently published changes to the Actuaries’ Code and other IFoA regulatory updates.

The changes to the Code, 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.

We will also provide insight and updates into other IFoA regulatory matters, including the consultation into proposed monitoring of actuarial work.

The session will include some interactive case studies aimed at bringing the new Code to life.

Emma Gilpin and Judith Joy, Institute and Faculty of Actuaries

B06: Climate Change for Life Actuaries

Climate Change has the potential to change significantly the economic and social landscape in which life companies operate, with implications for the work of life actuaries today. This working party was established to produce a practical guide for life actuaries, including the following topics: Identify Climate Change issues of relevance to life actuaries, provide a summary of these issues, with links to more detailed information, identify the main implications of these issues for the work of life actuaries, suggest practical steps that life actuaries can take to reflect Climate Change in their work, illustrate the implications and practical steps using case studies.

David Ford, Zurich Insurance and Kyle Audley, Milliman LLP,  (IFoA Climate Change for Life Actuaries Working Party)

B07: Are actuaries good at setting asset allocations for insurers?

Many actuaries engage in setting asset allocations for insurance assets; but how effective are actuaries and actuarial technics? Through experience, we take a look at what a modern asset allocation process looks like. We compare with how we typically see actuaries approach / how the profession teaches asset allocation,  highlighting what actuaries do well and not so well with examples to answer questions such as:  Are the approach, models and assumptions appropriate? Is there overreliance on these?  An appropriate focus on risk management? Are the right metrics used? Is there sufficient external market linkage? Finally, we look at cutting edge approaches to asset allocation in the wider market; and what challenges they might pose for actuaries incorporating them into processes.

Keith Goodby, Willis Towers Watson and Hetal Patel, Legal & General

B08: There is more to With-Profits Life than Non-Profit Conversion:  Moving Endowments to Prospective

Sun Life Financial of Canada (UK) has significantly simplified its last remaining with-profits fund, the SLOC With-Profits Fund, including changing the endowment bonus declaration to be based on a prospective BRV method rather than the retrospective asset share method. In this case study we will discuss the technical and practical aspects of the simplifications, and how these have benefitted policyholders in terms of stability, fairness and cost reduction.

Erika Parker, Sun Life Financial of Canada, Shailee Jethwa and John Jenkins,  KPMG LLP

B09: Mighty Mouse: an open-source hero

The PRA’s consultation paper on Matching Adjustment under stress (CP24/17) imposes significant demands on annuity providers. In particular, the “5-step method” requires dynamic portfolio rebalancing, whilst allowing for changes in liabilities, constraints on matching quality, and an allowance for portfolio concentration. An impossible task...Or is it? Enter Mighty Mouse. We sketch a potential route to stochastic implementation, drawing on the speed and flexibility of open-source software such as R. But the story needn’t end there - open source plus open imagination equals great opportunities, and we touch on this too. Come join us with an open mind.

Daniel Messenger and Nikesh Sharma, Lloyds Banking Group

B10: The challenges of implementing IFRS 17

With the IFRS 17 standard coming into effect on January 1, 2021, a number of companies are already well into the implementation phases of IFRS 17 projects. This talk will look at some of the biggest areas of challenges in implementation projects, including technological and modelling issues. We will also discuss the interplay between financial reporting and actuarial choices and their implications for the design and successful implementation of an IFRS 17 system. From there we will present some key principles that we believe are critical to a successful implementation. Finally, we will look at some of the business challenges of IFRS 17.

Philip Simpson and Amritpal Khangura, Milliman

C01: Science Fiction - coming to an insurer near you

We've all heard about advances in robotics and Artificial Intelligence. But what does this mean in the short-term and how is it changing the way insurers run their back-office? In this cross-disciplinary presentation, we combine actuaries with robotics specialists to look at what cutting-edge insurers are doing to deploy robots and automate functions across their reporting and back-office processes, and how this may influence the future of the industry and profession. We look at different types of automation (robotic, intelligent, algorithmic), how operating models need to be refined to optimise automation and empower people, how areas conducive to automation can be identified and pilot trials launched, issues of governance and case studies on what the leading innovators have done.

David Zhang, Steve Mills, PwC and Abi Holloway, The Phoenix Group

C02:  IFRS 17 - Only 2 years to go, where are we and what are the key issues for the UK market?

IFRS 17 - Only 2 years to go, where are we & what are the key issues? By the 2018 conference, it will be only 2 years before the 2021 effective date of the IASB's insurance contracts standard (IFRS 17). The UK Actuarial Profession’s cross-practice Financial Reporting Group (FRG) will consider where the UK insurance market is in the process of implementation, including status of the European endorsement process and the findings from the 2018 European-wide testing, perspectives from a leading members of the IASB's Transition Resource Group (TRG) Key areas of remaining technical & interpretation uncertainty, expected financial & operational challenges in the coming 2 years 　

Anthony Coughlan, PwC, Richard Olswang, Prudential and Kamran Foroughi, Willis Towers Watson, (IFoA Financial Reporting Group) and Gail Tucker, a member of the IASB’s TRG

C03:  Brexit - setting up an Irish subsidiary

Brexit has brought with it unprecedented changes to how UK insurers which write European business will operate in the EU post-Brexit.  In this case study, we look at the various issues considered by Royal London in setting an Irish subsidiary to continue writing its Irish business post-Brexit as well as dealing with blocks of legacy business written in Ireland and Germany.  Issues include Solvency II, capital requirements, collateral, tax and the treatment of the existing Irish business. A particular aspect of this case is the reassurance back to the UK of two with-profits blocks, and we will cover both the rationale and the practical issues arising.

John Lim, KPMG and David Bird, Royal London Group

C04: Suicide - can insurers become Samaritans?

There is strong evidence that having a term policy influences the incidence and timing of suicide among policyholders. Network Rail and the Samaritans, have launched a programme aiming to reduce suicide. Should we consider something similar? We will discuss the population statistics and insurer experience in the UK and abroad. We’ll consider current T&C’s, typical patterns of policyholder behaviour, and what the industry might do to help prevent suicide. One of the speakers will share his experience of becoming a Samaritans listening volunteer.

Chris Knight, L&G Retirement Retail and Sarah Walker, Grant Thornton

C05: Is the medical history more important that the medical future in predicting mortality?

In traditional underwriting practices, the insurer collects information about the policyholder's health at the point of sale. The insurer then waits for claims trigger, and might incur claim checks expenses. Higher the claim check costs are associated with lower underwriting standards. This session will discuss the idea of continuous underwriting (i.e. monitoring the health of the policyholder continuously between the point of sale and the claims trigger). The author will provide literature evidence, and statistical analysis of mortality prediction models comparing the traditional practice and the suggested continuous underwriting using the English Longitudinal Study of Ageing.

Mohamed Elsheemy, NHS England

C06: Glitches in the ReMatrix - Misconceptions, Inefficiencies and Mistakes in L&H Reinsurance

The Life Reinsurance Working Party has been examining the effectiveness of reinsurance arrangements. Given how powerful a tool reinsurance is for profitability, risk & capital management, we have set about identifying misconceptions, inefficiencies and mistakes that are surprisingly common, and which prevent reinsurance programs from truly being optimal. The diversified membership of the WP drew upon their own experiences as well as seeking input from external experts to capture a wide source of viewpoints on the good, the bad and the ugly of life reinsurance. In this session we present the highlights of the project and look forward to further debate on the topic.

Craig Gillespie, Leadenhall Capital Partners LLP and Greg Solomon, Willis Towers Watson,  (IFoA Life and Health Reinsurance Working Party)

C07:  Funding Long-Term Care – Anticipating Needs and Improving Access to Insurance Products in the UK

With a rapidly ageing population, rising prevalence of diseases associated with reduced ability to perform activities of daily living, public funding constraints and supply-side care cost inflation, we consider future demand for and costs of long-term care in the UK.

In this session we consider growth in the demand for protection products, as well as opportunities for insurers to develop novel products to meet such needs. We consider the challenges facing insurers in developing this market and consider lessons that can be learnt from successes abroad and from past mistakes.

Finally, we consider how insurers and other stakeholders can contribute to the development of the UK LTC insurance market, focusing on five “-ations”: clarification, education, standardization, taxation and innovation.

Richard Marshall, Willis Towers Watson, Tom Kenny, Just and TBC

C08: Could technology replace the With-Profits Actuary?

Through better use of technology, Royal London has been able to automate some of its With-Profits Management processes.

This has significantly reduced the effort needed to manage the fund, simultaneously ensuring processes are more robust and better controlled.

This has resulted in reduced operational costs, allowing actuaries to focus on the real issues in managing a With-Profits fund.

We will talk about what Royal London has done, the benefits of this and the benefits this can bring to With-Profits management generally.

Christopher O'Brien, Royal London Group, Chris Berry and Martin Stephens, KPMG

C09:  More ideas on how to use EI to get the best from your teams 

This talk is a follow on from last year's Life conference EI talk on millennials, ikigai, and well-poisoners. This year, we're covering some further practical ideas on how you and your teams can use core EI skills such as self-awareness, and the awareness of others, to increase your effectiveness at work. The talk is aimed at people who lead actuarial and finance teams, and will cover areas including;- groupthink- reality tunnels- dealing with uncertainty- destination addiction. Again, we're confident this will be a thought-provoking and practical session.

Peter Heffernan and Michelle Lister, PwC

C10:  An opportunity to make a difference: a deep-dive into offshore wind

An introduction to renewable financing: the opportunity, the risks and the rewards

Navigating the investment obstacles for insurers in renewable energy opportunities such as offshore wind: how can insurers invest in the future of our society, whilst catering to their own interests?

An extended case study exploring how an example offshore wind farm extension has been financed and why it made sense as an investment for the insurance investor

What next for the renewable energy financing? Insights into future opportunities for the market

Gareth Mee, EY, Tim Humphrey, Macquarie and Sam Tufts, EY

D01: CANCELLED 

D02: The design of pension contracts: on the perspective of customers  

This paper introduces a new pension contract which provides a smoothed return for the customer. The new contract protects customers from adverse asset price movements while keeping the potential of positive returns. It has a transparent structure and clear distribution rule, which can be easily understood by the customer. We compare the new contract to another contract with a similar product structure. The results show that the new contract is a more attractive contract for a CPT-maximising customer.  Moreover, this paper presents the static optimal portfolio for an individual customer. The results conform to the traditional pension advice that young people should invest more money in risky assets while older people should put more money in less risky assets.

Zhaoxun Mei, Heriot-Watt University (and TBC)

D03: On the (Risk) Margin

The Risk Margin has proved to be one of the most controversial aspects of Solvency II: it is accused of destabilising balance sheets and causing insurers to fundamentally change product and reinsurance strategies. So what is the purpose of the Risk Margin? Does it do more harm than good? Is it flawed in concept, is it mis-calibrated or does it actually enhance policyholder protection? And how would actuaries redesign the Risk Margin if we started from a blank piece of paper?

The Risk Margin Working Party’s membership covers insurers, banks and consultants from the UK and overseas.

We will present our research findings on these topics, and discuss the latest developments in the UK and internationally in this topical area.

Paul Fulcher, Milliman and Andy Scott, Hymans (IFoA Risk Margin Working Party)

D04: Beyond £ Credit & Equity Release Mortgages – Investment ideas for Matching Adjustment portfolios

The net supply of Sterling investment grade public credit remains low, and issuer/sector diversity is insufficient for the needs of Matching Adjustment (MA) portfolios. In this presentation we consider two potential diversification strategies for MA portfolios:

Global credit hedged back to Sterling: We present an analytical framework for the optimisation of MA portfolios across Sterling and non-Sterling credit, taking into account yield differentials, hedging considerations and specific sectors and maturities.

Illiquid credit for front-end liabilities: There has been growing use of assets such as Equity Release Mortgages and social housing to match long-dated liabilities, but there has been less focus on the front-end. We will present a range of high-quality illiquid credit opportunities for insurers for matching front-end liabilities.

Ross Evans, Hymans Robertson,Sean James, Hymans Robertson and Etienne Comon, Goldman Sachs Asset Management

D05: Transformation in the Life sector and the need for the commercial actuary

While the impending adoption of IFRS17 has wide-ranging valuation and reporting implications, it is also a catalyst for life insurers to challenge their existing business model and transform to become fit for the future.

In this talk, we will look at the current trend for transformation within the life insurance market - through cost reduction, outsourcing, deals and otherwise - and consider how the actuary can expand their role to help the business better understand the strategic and commercial implications of their operational decisions.

Colin is a Director within PwC’s Life Actuarial practice and JP is Commercial Director across M&G Prudential. They have worked closely for the past 18 months on M&G Prudential’s transformation programme

Colin Cummings, PwC and JP Miller, M&G Prudential

D06: The Big Data Dilemma – Data Ethics and Diversity

The aim of the session is to:-

Provide an overview of key digital & data milestones in the insurance sector

Explore past and potential mis-steps in the insurance and wider world, in the context of data analytics

Consider options for safeguarding against future issues

Diversity in the workplace

Codes of conduct (organisational, professional)

Regulation/legislation

Chika Aghadiuno, Aviva

D07: How will the IFRS 17 discount rate impact the balance sheet and profitability for insurers?

The new IFRS17 accounting standard will introduce fundamental changes to the way that insurers account for their business.

We will examine:
•Overview of different approaches to set the discount rate under IFRS 17 (“top down” and “bottom up”).
•Challenges when estimating the illiquidity premium under IFRS17 under a “bottom up” approach.
•How the estimation of the illiquidity premium affects profitability and potentially investment decisions for different products.
•Differences between the IFRS17 and Solvency II balance sheet views.
•How to approach balance sheet and P&L resilience under the new regime?

Matteo Ricciarelli, PwC and Dylan Grainger, Prudential

D08: Managing the current and future risks of two with-profits funds, a case study

One of the with-profit funds had historically been distributing the Estate, with significant distributions upon closure. Events since 2016 had required a management action to clawback a portion of previous distributions. This fund faces a particular challenge from WP annuities, with a relatively high equity backing ratio and no “terminal” bonus component. The solvency monitoring applicable for managing the fund was enhanced, which enabled Estate distributions to recommence.

This talk will explore:

how the risks within the funds were modelled and projected,

how management actions should be considered in with-profit planning exercises,

to what extent should surplus from management actions be distributed in the short and long term,

practical insights from the work.

Finbar Gavin-Gates, ReAssure UK and Thomas Murphy, KPMG

D09: Illiquid credit: quantifying the RoE (Return on Effort)

Long-dated assets belong on an annuity writer’s balance sheet, not a bank’s, right? So a bank and an insurer should just get together, compare regulatory regimes and exchange assets for a price that works for both parties - everyone goes home happy...

In this talk, we focus on some of the sticking points and examples of difficulties that can be encountered in practice, including matching adjustment eligibility, issues presented by book value accounting, transferability restrictions and incentivisation of individual portfolio managers.

We discuss how Phoenix and other insurers have found solutions to these issues by exploring methods of restructuring assets and alternative approaches to sourcing, originating and providing funding.

Robin Thompson, Natwest Markets, Michael Veldman, NatWest Markets and Daniel Blamont, Phoenix

D10: Incredible Curious Global Adventure - the Insurer of the Future

The rapid convergence of the skilled human with the intelligent machine is changing business models and transforming the playing field at breathtaking speed. It is a world going hyper-digital with many and varied consequences for the insurance space. This presentation is the culmination of global research conducted in 2017. The findings show how the financial world not only views the future but is adapting to survive and succeed in this exponential space. The presentation will include professionally produced video clips of leading experts from around the world expressing their views.  The presentation will challenge you to think how future-fit you and your organisation are. 

Jules Constantinou, Gen Re

Join us for an expert panel discussion led by Jules Constantinou, IFoA President, on the pressures facing social care. With the Green Paper still yet to be published, debate continues on how to create a sustainable funding system for adult social care that fosters good quality care and the ability to live independently for longer. We will consider the current state of care and the challenges facing the market before discussing the funding models that could be deployed to meet current and future needs. It is likely that a range of financial products will be needed (immediate needs annuities, equity release, pre-funded long-term care insurance) and it may be that different solutions are needed for different cohorts.

Speakers: Jules Constantinou, IFoA President, Jane Vass, Age UK, Dominic Carter, Alzheimer's Society, George McNamara, Independent Age and Chris Knight, L&G Retirement Retail

17.15 - 18.05: Optional workshops:

Optional workshop 1:  Curriculum 2019 - speak your students language!

Actuaries need new skills and hence likewise the education of trainee actuaries must evolve also. Curriculum 2019 is nearly here and the structure of the exams and some assessment methods will change next year. Come along and learn what your existing students are already talking about. 

Return to the office armed with enough knowledge to show you understand the new structure and are ready and able to assist their journey through to first job through to qualification. No post session exam! 

Speakers: Dawn Whittaker, freelance Actuary and Colin Thores, Institute and Faculty of Actuaries

Optional workshop 2: What do we really know about money?

Speakers: Jonathan Billing,  IFoA Financial Literacy Working Party

Big Data and Machine Learning is already well established in Big Techs and also to some extend in banks and non-life and health insurance. But how about life insurance? With a short introduction and a plenary discussion representatives from life and health reinsurance and management consultancy want to shed light on what can be learnt from other industries, how can we implement effective solutions in life, what are regulatory limitations and how can we handle those.

Speakers: Dr. Frank Schiller, Andreas Bayerstadler, Munich Re and Gerold Grasshoff, BCG

E01: What next for the Concordat and Moratorium on Genetics and Insurance?

The Concordat has now been in place since 2001. It means customers are not required to disclose genetic tests to insurers. Since 2001 we have seen major advances in accessibility to genetic testing. In this session, we will:

·         Survey the current genetic testing landscape;

·         Explore how useful genetic tests are in predicting future illness;

·         Consider the global experience; and

·         Ask what it will take to tip the balance and end the current settlement?

Nick Chadwick, Hymans Robertson, Richard Cohen, Bupa and Aisling O’Loughlin, Barnett Waddingham  (IFoA Genetics Working Party)

E02: IFRS 17: 5 topics no-one knows the answer to

Following the issue of the final IFRS 17 Insurance Contracts accounting standard in May 2017, there has been much debate in the insurance industry on how to interpret and apply the requirements of the standard. In this talk will give an update on the latest TRG and IASB discussions and areas of current industry debate and uncertainty. This will include discussion on the following topics: 1. CSM amortisation 2. VFA eligibility 3. Dual CSMs 4. Fulfilment expenses and 5 Lifetime mortgages.

Lucinda Parlett and David Hollliday, KPMG

E03: Mortality and Deprivation  

We consider the impact of socio-economic characteristics on human mortality. Using the index of multiple deprivation (IMD), we study IMD-decile-specific mortality rates to investigate the impact of deprivation on mortality and to develop a stochastic model that would allow for detailed mortality projections. As expected, we find that mortality rates are higher in the most deprived areas of England, but we also find that improvement rates are lower there too.  This suggests widening socio-economic differentials and a continuation of mortality improvements in the least deprived areas.

The underlying work is part of the research programme "Modelling, Measurement and Management of Longevity and Morbidity Risk" funded by the Actuarial Research Centre of the Institute and Faculty of Actuaries.

Torsten Kleinow and Jie Wen, Heriot-Watt University

E04: Shedding light on Proxy Models: Experience from Insurance and Other Industries

Gabi Baumgartner (Head of Deloitte’s Capital Markets Group) will summarise the results from the recent proxy modelling survey covering methods for calibration and validation, allowing you to benchmark your approach against other life insurers. Andrew Smith (Assistant Professor at University College Dublin) will also give a broader view of applications from an academic perspective, explaining areas of divergence between techniques popular in insurance compared to mainstream functional data analysis.  The talk concludes with lessons learned and possible improvements.

Gabi Baumgartner, Deloitte and Andrew Smith, University College Dublin

E05: CANCELLED

E06: Caught in the storms – life company taxation update

Matthew Little, Actrima, Lindsay J'afari-Pak, PwC and Paul Turnbull, P Turnbull Consulting, (IFoA Life Taxation Working Party)

E07: Reimagining the 1918 pandemic

The great 1918 influenza pandemic (“Spanish Flu”) killed 20-50 million people, more people than the First World War. A well-known feature of this event is that the highest mortality rate was amongst young adults. The role of the immune system in this has long been suspected but incompletely understood.

100 years on, new genomic research into “antigenic seniority” helps explain this feature, and the lower than expected mortality among older individuals.  This new understanding is important for life insurers when modeling influenza mortality.

This presentation will explore how an individual’s vulnerability depends crucially on their exposure to influenza during their lifetime, especially childhood.  I will consider the present-day implications for the current population under local healthcare conditions.

Ashley Campbell, RMS

E08: Automating 'Retirement'

The presentation will give insights into the development of an holistic automated advice system for at and in retirement. Possibly the most complex of all financial advice. We will explore the challenges customers face when navigating the post pension freedom environment and how technology can deliver an engaging, interactive and understandable way to help them build a solution which is right for them. Applying actuarial skills has been very important but incorporating the vagaries of real lives and the limited financial knowledge of end customers has also been essential. 

John Atherton and Andy Dunbar, Standard Life

E09: Index Based Longevity Hedging - The Dutch experience to date and challenges for the future

The presenters will outline

the structure of the deals to date in the Dutch market

the challenges in determining the Solvency 2 capital treatment and the work done in this area by the Longevity Risk Transfer Working Party of the Dutch Insurance Association

the future regulatory challenges, including gaining acceptance of an appropriate method for quantification of Basis Risk under internal models or as an extension to the standard formula

a proposal for a method for quantification of Basis Risk based on the recent paper “Basis Risk in Index Based Longevity Hedges: A Guide For Longevity Hedgers“ by Cairns and Boukfaoui.

Alan Rae, Friends First and Andrew Cairns, Heriot Watt University

E10: The Pensions Superfund: the beginning of the end for bulks?

The UK bulk annuity market has been growing steadily for the last decade, but perhaps not quickly enough. With two-thirds of the 5,600 remaining DB schemes in the UK facing a funding shortfall, the Government is looking to the market to provide a consolidation solution. Could the Pensions Superfund achieve its aim of holding £500bn of pension scheme assets? And if so, how disruptive would this be to the bulk annuity players?

Lizzie Waghorn and James Logie, Deloitte

F01: Operationalising IFRS 17 - Asian Perspective

Asia has been about growth. Yet, the Asian insurance markets are currently facing unprecedented challenges with large scale regulatory and accounting changes. IFRS 17 in particular is presenting significant operational challenges regarding data, system and processes. It is sometimes not fully appreciated by insurers that the interpretation of the Standards would not only have financial impact to the companies but also operational impact. In this session, the speaker will present on how Asian insurers overcome these challenges, yet sustaining the growth story.

Simon Dai, Deloitte Advisory (Hong Kong) Limited

F02: Operational Risk Modelling in Insurance

The broad nature of operational risk, as well as the lack of data available means that operational risk modelling has become an area of specific challenge for many firms.

The quantification of operational risk capital is highly subjective and it is therefore important to ensure a structured modelling process such that the expert judgement process is well defined and documented. In this presentation we will cover 9 key areas of the process and its market practice:

1.       Operational Risk Framework

2.       Methodology

3.       Operational Risk Event Scenarios

4.       Parameterisation

5.       Capital Modelling

6.       Aggregations and Dependencies between Operational Risk Scenarios

7.       Validation and Sensitivity Tests

8.       Diversification between Operational Risks and other Risks

9.       Allocation of capital to entities

Nicole Pang and Eamon McGinnity, KPMG LLP

F03: Current M&A Trends in Life Insurance

Current trends of M&As within the life insurance industry

A look at trends in the UK and more widely across Europe, considering the market drivers of recent M&As.

​How can we value consistently?​

Key considerations of MCEV, Own funds, discounted cashflow methods and other approaches to valuations to ensure consistency across transactions in multiple territories.

​Future considerations and potential challenges

Funding transactions, an expected change in the landscape of the life insurance industry and the potential impact of IFRS 17 on the M&A market.

​Case studies

A closer look at a number of recent transactions (anonymous); drivers, challenges and outcomes.

Steve Harrison and David Chong, PwC 

F04: Proxy Modelling using Machine Learning – A Case Study at Royal London

Use of proxy modelling is prevalent in the Insurance sector. At Royal London, we are developing our own all-risk proxy model using LSMC for IMAP. We have recently set-up a research project to explore solving the same problem using a number of emerging, state-of-the-art machine learning techniques.

Specific techniques being investigated include Random Forests, Neural Networks and Lasso Regression, combined with techniques to reduce complexity and spurious accuracy of the proxy function.

We expect to use these more advanced techniques as part of our on-going capital modelling research and also to explore whether they can be applied more widely.

Finally, we provide recommendations for practitioners working in this area of proxy modelling, based on lessons learnt from our case study.

Gaurang Mehta, Eva Actuarial and Accounting Consultants Limited and Nick Jackson, Royal London Group

F05: Cause of Death Mortality: International Trends by Socio-Economic Group  

We will discuss how socio-economic background influences rates of death from specific causes and how this has changed over time.

- What type of socio-economic variable do we use to subdivide the population?

- Which causes of death have the greatest levels of inequality between socio-economic groups?

- How have levels of inequality changed over time?

We consider data from Denmark, the USA and England. We then discuss which cause of death rates are influenced by socio-economic status in each country and by how much. Finally, how do the three countries compare?

Andrew Cairns, Heriot Watt University

F06: Is it the end of the small mutual insurer?

From a combined thorough understanding of the mutual sector, OAC and British Friendly will provide a potted history of the insurance industry, starting with founding mutuals, and an analysis of the unique characteristics of what it means to be a mutual insurer in today’s industry, both from an operational and governance perspective. There will be a comparison of the differences between acting for members as opposed to shareholders. It will explore whether the future is bright for the sector and whether mutuals could hold the key to a more competitive insurance industry. Attendees will get a better understanding of mutuality (from unique insight and industry analysis) and practical aspects which could be applied to or considered for their own operations.

Christopher Critchlow, OAC and Iain Clark, British Friendly

F07: Unlocking customer value: reflections of the WPA and Independent Actuary on a GAR compromise scheme

In 2018, Royal London is looking to complete a "Scheme of Arrangement", offering customers the opportunity to unlock the value of their Guaranteed Annuity Rates and take advantage of Pension Freedoms. The presentation will cover the rationale for the scheme, how it will support the management of the fund going forward and the reflections of the Independent Actuary and WPA on the key issues encountered and judgements made.

Paul Coulthard, Deloitte, Andrew Valentine and Brian Murray, Royal London

F08: Data Visualisation as a Powerful Means of Communication – Examples from the IFoA Working Party

This talk is presented by members of the IFoA’s Data Visualisation working party.  Data Visualisation helps to communicate information clearly and effectively through graphical means.  This talk will showcase some visualisations that the working party has found useful for common actuarial situations.  The working party’s approach has been to outline problems (eg, viewing an analysis of change) and give suggested solutions (eg, use a waterfall chart because…).  Commentary and critique of each problem-solution is given along with the how-to practical implementation.  All the examples presented in the talk are viewable on a publicly available blog that the working party are maintaining.

Rob Black, Standard Life and Julian Ellacott, Just, (IFoA Data Visualisation Working Party)

F09: Opening the black box of modelling

Model risk management is becoming an increasing area of focus for many firms within our industry. Models are everywhere within our businesses and due to the sophisticated nature of the risks we need to understand often specialist modelling packages are used. However, these modelling solutions can lead to knowledge residing with a few individuals in the business (key person risk) with others treating the models as “black boxes”. In contrast, Microsoft Excel is a widely used and well understood modelling package but often falls short in other areas businesses require such as model governance.

In this session we will look at a case study of a new modelling solution, Milliman Mind, that solves the above issues by enhancing the governance and performance around models built in Microsoft Excel. This enables models to be checked, modified and run by more people across the business and management to gain more confidence in the model output. The case study is based on a recent implementation of the modelling solution with a client.

Stuart Reynolds, Milliman and Adrian Ricketts, AUL

F10: Advanced ‘big data’ analytics for mortality

Advanced analytics and ‘big data’ are one of the latest sources of competitive advantage.  In this session, the speakers outline a broad range of advanced analytical techniques (e.g. neural networks, GLMs, GBMs) and the appropriate criteria for choosing between them (e.g. predictiveness v interpretability).  They then present the results of two case studies using Gradient Boosted Machine methods in conjunction with a range of third party data on large multi-portfolio datasets (one assurance based, relating to large pool of US assured lives data, one pension based, relating to a very large pool of UK DB pension schemes).    

Matthew Edwards and Rachael McNaughton, Willis Towers Watson

G01: Reinsurance under IFRS 17

Reinsurance is an area of IFRS 17 where the requirements are unclear and market practise is still emerging. For reinsurance ceded there are potentially big mismatches between the reinsurance and the underlying business. For reinsurance accepted there is less uncertainty but still technical issues remain. This talk discusses some of the key technical and modelling challenges of Reinsurance under IFRS 17 and how they can be managed.

Michael Reid, Aviva and James Latto, KPMG

G02: Dynamic Volatility Adjustment – the next step for managing your capital needs?

Unlike in many European countries, the PRA has previously disallowed UK firms from applying a Dynamic Volatility Adjustment ("DVA"), a potential tool for firms to help manage their capital requirements. However, recent guidance from EIOPA has prompted the PRA to release a supervisory statement (SS9/18) that sets out the PRA's expectation of Internal Model firms looking to apply to use the DVA. This talk aims to:
-Describe the evolving regulatory landscape relating to the DVA;
-Introduce the basic concept of the DVA, including potential benefits;
-Provide a market perspective of what European companies have done; and
-Discuss challenges for firms to consider when developing a DVA solution.

Brandon Choong and Gabi Baumgartner, Deloitte

G03: Life insurance consolidation: past, present and future

The UK life insurance industry has a long, well-known history of consolidation, but what about in Europe?

- What have been the drivers behind M&A in the UK?
- What are the emerging trends in Europe?
- What will happen next?

James Logie and Richard Baddon, Deloitte

G04: Navigating Board and Committee meetings for Actuaries 

Business decisions are often made by Boards and Committees that are many steps removed from the analysis underlying recommendations made by Actuaries.

Making these recommendation and delivering messages at Board and Committee meetings is not always an easy task. How do get everything across in your tiny time slot? Who is already on your side, and who do you need to target? How do you deliver a difficult message that doesn’t want to be heard?

We can’t answer these questions for you. What we will do is share:

-insights from Barnett Waddingham’s industry survey on this topic; and

-guidance and tips from a panel of experienced practitioners.

Scott Eason, John Hoskin, Iain Maclugash, Barnett Waddingham

G05: The trials and tribulations of Matching Adjustment – Update from the IFoA MA working party

In this session the IFoA’s Matching Adjustment (MA) working party takes a look at some of the key challenges firms are encountering on a day-to-day basis when running their MA portfolios.  These range from adding new types of liabilities to existing MA portfolios (for example from pension scheme de-risking), through to dealing with distressed debt (e.g. in the case of private credit loans).  

We will use real life case studies to bring the session to life, and we will put forward our thoughts on additional guidance that would be useful for firms, as well as potential and practical ways for firms to deal with some of these challenges.

Stephan Erasmus and Andrew Kenyon, IFoA Matching Adjustment Working Party

G06: Medical Miracles and the impact on Critical Illness trends

New techniques such as liquid biopsies, immunotherapy, genetic testing and gene treatments are revolutionising the detection and treatments of cancer.

In this session we take a look at recent critical illness trends in the UK and around the globe and discuss how these medical miracles might impact trends in the future.

Will the major improvement in cancer survival be outweighed by greater anti-selection or earlier detection? Where does the obesity time-bomb fit into all this?

Finally, we ask the ultimate question on whether the CI product needs its own miracle to survive?

Hamish Wilson and Bill Monday, Pacific Life Re

G07: Emerging risk: actuaries, artificial intelligence and the Board

How do you create an emerging risk process which consistently delivers compelling insights, on the right topics, in a way which drives actions and which the Board name as their favourite agenda item? This session will show you examples of how to create dynamic and novel content using your company's experts, complemented with artificial intelligence, and how to communicate it effectively to a range of executive and non-executive audiences to prompt action.

Neil Cantle, Milliman and Chika Aghadiuno, Aviva

G08: The end of internal optimisation?

With the implementation of Solvency 2, a number of (re)insurers have looked to optimise various metrics such as capital, volatility and earnings. Most of these have been mostly achieved through internal actions such as using the tools defined by Solvency 2 (e.g. MA) or strategic structures (e.g. use of internal reinsurance). Recent trends have shown an increase in M&A and increase in external reinsurance which beg the question on whether optimisation is becoming externalisation. We will also look at strategies from different players in the market.

Mark Godson and David Burton, EY

G09: CANCELLED

G10: Improving Process Efficiency - ReAssure UK case study

A case study on greater use of technology and automation to improve actuarial process efficiency, covering:

- scope of the issues that ReAssure was looking to address through this project

- internal/external stakeholder management and key aspects of programme management

- outcomes/benefits achieved

- approaches to testing strategy

- transitioning from a project to BAU

Richard Waller, Willis Towers Watson and Stuart Wilkinson, ReAssure UK

Faisal will talk about the current political climate vis a vis Brexit and share with you some hidden secrets about how we have got to where we have got to in the Brexit negotiations.

Faisal Islam, Sky News Political Editor