Momentum Conference 2016

A1: Integrated Risk Management - what's it all about?

In this interactive session we will explore the key principles of IRM including:

• tPR’s IRM framework
• The challenges of IRM – particularly stresses to affordability when funding or investment risks arise
• A case study considering the interaction of covenant, funding and investments risks
• The key questions to ask the covenant and investment advisers.

Speakers: Adrian Bourne and Helena Mules, Willis Towers Watson
Practice area: Pensions/Risk Management

A2: The road ahead – The British Motor Insurance Market

The ABI commented on the price sensitivity of the British insurance market in February 2016. This presentation strikes the debate around challenges that lie ahead for motor insurers. Points of discussion include:

• Adverse trends in claims and PPOs;
• Driverless cars and technological advances in motoring;
• Strategic change in business models; and
• Potential impacts of adverse regulatory changes.

Speaker: Punil Chaubal, AVIVA
Practice area: General Insurance

A3: Mortality in the 21st century: a toolkit for robust modelling

Modelling mortality has come a long way since Gompertz introduced his famous exponential law in 1825. Not only do we have bigger, higher resolution datasets – but the commercial demand for sophistication has increased, with a surge in longevity risk transfer deals for pension plans and growing complexity in the retail market from enhanced annuity sales. Frailty, anti-selection and co-graduation… How do we rise to the challenge of modelling these amidst a blizzard of multiple covariates, without over-fitting to data noise or simply overloading our calculation machinery? This workshop presents a toolkit of actuarial theory and software programming approaches to assist.

Speakers: Andy Harding and Matthew Fletcher, Aon Hewitt
Practice area: Life

A4:Financial challenges for members and the evolution of workplace savings
DC pension saving now dominates workplace savings with over 90% of auto-enrolees included in DC structures but is it going to provide the right level of income to allow people to retire when they want to rather than working into their 70s. This session looks at the financial worries and retirement aspirations of different generations and how ‘plan design’ is influencing those.

How does DC need to evolve to continue to be the future core pension savings option to help individuals to retire on a reasonable income, especially given the competing savings options and tax allowances developing in the UK market

Speaker: John Cockerton and Ann Flynn, Willis Towers Watson
Practice area: Pensions

A5: Effective Calculation, Communication and Disclosure of Model Risk

Following on from the prize-winning paper 'Daring to Open the Black Box (2015)' the working party, with a partial change of membership, has continued its research. The latest work explores key lessons learned from real-life experiences from other industries as well as the underpinnings of model risk and its application to the traditional areas familiar to actuaries.  This session will summarise the work to date and the new material ranging from model risk theory through to communication to non-experts, using a wide variety examples for illustration.

Speaker: Rob Green, Green 13 Solutions
Practice area: Multi Discipline

How to get things done in a busy world The Achievers Mindset: how to make progress in an ever changing world. The achievers mindset: making things happen. What makes the right mindset for business in 2016 and beyond?

Speaker: Alan Donegan, Pop-Up Business School

Programming skills can help not just in actuarial modelling tasks, but in a range of areas that all us actuaries find ourselves spending time on. This session will explore practical examples of how the use of programming techniques could enhance your effectiveness in areas such as task planning, data visualisation, preparing documentation and dealing with your email inbox!

Speaker: Shaun Lazzari, Deloitte

Masterclass 1C: Finding your voice: how to speak out even when it is difficult

Finding your voice in meetings: how to get your message across, influence and run effective meetings Finding your voice online: communicating effectively in a digital world

Speaker: Simon Payne, Pop-Up Business School

Masterclass 1D: French, coding & actuarial jargon: Communicating in foreign languages

As the world shrinks and the machines take over, being able to communicate with unfamiliar beings is becoming more and more important. This accentuates the need to be able to converse with those whose first language is not the same as yours: from accountants to macros, and even the French. I will discuss some problems I have faced, including a year spent working in France, and ways I have learnt to overcome them. (The problems, not the French).

Speaker: Tim Henshaw

Masterclass 1 E: Getting Started with Negotiation

This session will consider:

• What negotiation is
• When it is useful
• How to prepare for a negotiation
• The key things to consider during a negotiation

Speaker: Joanna Gaudoin, Inside Out Image

B1: Using big data to analyse the effect of vehicle emissions on health

It’s estimated that in the UK, two air pollutants alone contribute to the early deaths of between 40,000 and 50,000 people. Harmful particulates emitted from vehicles produce very localised pollution, meaning that individuals living on adjacent streets can be exposed to vastly differing levels.

In this session we will investigate the possibility of using big data sets relating to location, traffic and public health to predict the effects of pollution on an individual’s health. We will also consider the challenges and wider impacts this could have on policyholders and insurers.

Speaker: Matt Henshaw: Deloitte
Practice area: Health and Care/ Life

B2: Getting Better Judgements 

Building on research carried out under the auspices of GIRO as part of the ‘Getting better judgement’ Working Party, we will discuss how we can minimise the risk of making poor judgements using real-world case studies and theoretical research. This presentation will have a GI bias but will be of interest to everyone who needs to make judgements in their work.

Speaker: Nicholas Bonello, Tokio Marine Kiln
Practice area: General Insurance

B3: The IFRS 4 Phase II Journey

This session targets both life and non-life actuaries and will emphasise the practical implications of IFRS 4.

The IASB is expected to publish the IFRS 4 Phase II standard by the end of 2016 with a go-live date three years from publication.

In response, 2016 has seen insurers taking more active steps to prepare for the coming changes.

This talk will introduce the practical aspects of the major changes and challenges that IFRS 4 will bring

Impacts will be discussed from both a business (data, systems and processes) and a financial (profit signature, Income statement and Balance Sheet) perspective.

Speakers: Sxymon Marszalek,  Abuzarr Kotadia and Amerjit Grewal, Deloitte
Practice area: Life/General Insurance

B4: Targeting Long-Term Discount Rates

On 23 March 2016, at Staple Inn, Jon Spain presented his personal view of how UK DB pension schemes have been seriously adversely affected by the “mark to market” approach adopted over the last 15 years. That session did not necessarily reflect the views of the IFoA or of his employer.

Single numbers are not appropriate results for representing many future uncertainties - especially when we don't even say what the single number is. Partly drawing from that session, using Monte Carlo projections for relatively simple contracts, the focus is upon why discount rates are much harder than commonly believed to estimate reliably. If, as Jon believes to be the case, we can’t even price simple contracts correctly using “mark to market”, why should we claim that such an approach can be appropriate for far more complex arrangements such as DB pension schemes?

Speaker: Jon Spain, GAD
Practice area: Pensions

B5: How to unlock economic value through an innovative finance function

Deployment of assets in line with strategy:

• Supply issues and competitive pressures on insurers investing in alternative / illiquid assets and potential impact on pricing / profits

Setting a capital efficient hedging strategy

• Post Solvency II – which balance sheet and risks should we be hedging?
• Challenges presented by non-hedgeable market risks

Asset hypothecation: extracting maximum value and identifying opportunities

• Identifying investment opportunities through incorporating dynamic market / capital information into hypothecation
• Improving decision-making tools and management of the business through dynamic ALM

Pricing new business competitively

• Conclusion: How dynamic ALM can increase competitiveness and profitability

Speakers: Sam Tufts, Ryan Allison and Louise Miles, EY
Practice area: Finance and Investment

C1: Medical inflation in the U.K

• Medical inflation exceeding CPI is a worldwide phenomenon. In the U.K, CPI has ranged from 0%-2% over the last two years compared to 5%-10% p.a. for medical inflation.
• This paper explores the key medical-inflation drivers from a PMI perspective. Supply/demand factors are investigated to understand how the cost and utilisation of these services has changed over time.

Speaker(s): Tanya Hayward, Milliman and Laura Mottram, VitalityHealth
Practice area:  Health and Care

C2: Climate change - a classic risk management problem

Following the publication of the Actuarial Resource and Environment Boards paper on Climate Change management and COP21, this talk expands on the message in the paper that Climate

Change is a risk management problem - working from the principle that humanity's appetite for significant disruption to life as we know it on Earth is limited to explore and develop the associated risk tools for managing this risk - a taxonomy, key risk indicators, exploration of ruin scenarios and available management actions to remain within risk appetite.

Speaker(s): Sandy Trust, Grant Thornton and Nico Aspinall, Wills Towers Watson
Practice area: Multi discipline  

C3: Matching Adjustment – What is it, Why is it such a Big Deal and How are Firms Fairing With It? – A Presentation by the IFoA Matching Adjustment Working Party

The Life Board has established the Matching Adjustment working party to look at ongoing management of this new measure under Solvency II.  Here, representatives from the working party will discuss the fundamental benefits of the MA, alongside the requirements and practical implications for firms using it.  This will be a highly topical session for life actuaries, particularly those involved in annuity business.

Speaker(s): Michael Henderson, Barnett Waddingham and Keith Neil, Lloyds Banking Group
Practice area: Life

C4: Non traditional assets working party - the use of growth assets

The most recent research of the working party focuses on the use of "growth" assets such as managed volatility, CPPI and risk premia factor approaches pre and post retirement. We explore the case for the defence and the case for the prosecution in implementing these strategies, particularly in light of the need to develop "new" pensions products. For each strategy, we explore how it works, whether it works and how to implement it practically.

Speaker(s): Gareth Mee, EY and Russell Ward, Milliman
Practice area: Pensions, Life and Finance and Investment

C5: Fundamentally re-thinking ALM post Solvency II

Insurers have got lost in the detail of Solvency II. We take a step-back and rethink ALM in the new world where insurers are the natural providers of long-term finance:

• How to think of liabilities as a way to fund asset portfolios, rather than assets as a way to match liabilities
• Diversification benefits between insurance and investment risk
• Structural advantages, and disadvantages, that insurers have over other investors e.g. hedge funds, banks
• Inevitably, the impact of regulation including Solvency II
• Asset-management mandates for the new world - separating liability management from return generation

Speaker(s): Todd, Cutting AVIVA and Hans-Christof Gasser, Nomura International 
Practice area: Finance and Investment

LT1: Where Are We Going With Wearable Technology?

“Wearable tech” is software and services that primarily (but not exclusively) use sensors to monitor activity with the smartphone as a hub.

The number of apps makes it difficult to choose which can help insurers. Counting steps is a useful, not fundamental, biometric measure. The thin evidence base makes it risky to rely on apps clinical accuracy.

This presentation asks where we are headed with wearable tech – not only as individuals but as an industry. There are two sides to this story – how the technology applies to healthcare and our own desire to know about and manage our own health.

Speaker: Ross Campbell, Gen Re

LT2: How Cognitive Bias Leads to Sub-optimal Decision Making

Decision making should be logical and rational.  However the emotional, often subconscious, side of the brain will not only impact upon but over-rule logic.  Jason will explain, with real-life examples, how this leads to irrational and sub-optimal decision making.

Speaker: Jason Hurley, Guy Carpenter

LT3: Is a robot going to take my job?

“Robots threaten 15m UK jobs” according to Britain’s chief economist in a Guardian article. Will armies of robots replace our current workforce? Robotic Process Automation software or ‘robotics’ for short is a controversial hot topic – but is reality as scary as the press makes out, particularly for financial services firms? This session explores:

• What robotics is, its capabilities and limitations and the differences against traditional automation software
• What it actually looks like and how it works
• Where robotics is being used right now, and how its use could be expanded
• Potential impact on the actuary – embrace or avoid?

Speaker: James Claxton, EY

D1: Update from the Long Term Care Working Party (TBC)

The aim of the working party is to look at the sustainability of government models for funding care. This would include looking at what has worked well/not so well in systems in other countries but framing in terms of what is going on in the UK as much as possible, including the devolved systems.

Speaker: Hamish Wilson, Hymans Robertson
Practice area: Health and Care

D2: Adapt to simpler models and thrive in data

Stakeholders are placing an ever-increasing reliance on actuaries and seeking a greater level of detailed analysis.  It is all too easy to oblige.  This talk suggests what actuaries should - and more importantly shouldn't - be doing to help decision-makers navigate their way through the challenging economic environment we are in.  The answer does not lie in building more sophisticated models, it lies in simple analysis of the data underpinning them.

Speaker: Nick Betteridge, Sompo Canopius
Practice area: Multi Discipline

D3: The impact of macroeconomic and regulatory volatility on investments

The macro-economic environment — the backdrop to insurance companies’ investment strategies

• Discussion on the current economic climate and potential implications for insurers
• How do insurers maximise investment return in a Solvency II constrained world?
• How the new regime impacts profitability and investments
• Measuring return on capital under Solvency II and how other metrics / constraints may drive investment decisions.
• Unlocking the value of illiquid assets
• The current investment universe for insurers and relative attraction of various asset classes
• Identifying opportunities based on innovative ALM techniques
• Overview of the key front- and back-office challenges

Speakers: Miria Whittle and Gareth Sutcliffe, EY
Practice area: Life

D4: Calibrating Scenario Generators for Pensions ALM (TBC)

Monte Carlo simulation is widely used within Pensions ALM; however, techniques in calibrating the underlying ESGs are diverse. We will discuss:

• What process can we follow to calibrate a simple interest rate model, and what are the different options and tradeoffs regarding calibrating volatility and mean reversion parameters?
• How can we calibrate risk premia when incorporating risk assets in our framework?
• How does the intended use of our model influence our assumption setting methodologies?
• How can we be transparent around the limitations of our calibration methodology to both fellow practitioners and Trustees?

Speaker(s): Phil Hardingham, Deloitte
Practice area: Pensions/Finance and Investment

D5: Risky Business: Unravelling the Mystery of the Risk Function 

What is the role of Risk? Is Risk another obstacle that “the business” has to overcome in making business decisions? What value does the Risk Function add? How can “the business” & Risk work together in harmony?

Identifying, measuring, managing, monitoring and reporting of risks is key to the successful running of a business. Whose responsibility is it? Recently the “3 lines of defence” approach has been taking precedent: 1st Line (“The business”), 2nd Line (Risk), 3rd Line (Internal Audit).

This talk will look to explain Risk’s role and its relevance to the successful running of a business.

Speaker(s): Heather Sears, Aviva
Practice area: Risk Management

E1: Buy one get one free - Customer loyalty programmes in healthcare

Can actuaries effectively replicate the success of frequent flyer programmes in the airline and retail industries for healthcare? This interactive session will cover the following:

How data analytics can support loyalty programmes
Can loyalty programmes improve health outcomes
What is the emerging evidence from the US saying about engaging customers
Is this ethical?

Speakers: Didier Serre, Milliman
Practice area: Health and Care

E2: Innovating insurance with machine learning and big data (TBC)

Focus: “Machine learning”
Accurately pricing policies is fundamental to the insurance business and better models can drive improvements across the board from underwriting to customer segmentation.

We discuss how the use of multiple big data sources and the latest machine learning technology can benefit risk modelling along with suggestions for implementation and case studies from the general insurance industry.

Speaker(s): Alex Shires and Hideyoshi Maeda, Deloitte
Practice area: General Insurance

E3: The crazy world of M&A

There has been a flurry of M&A activity in recent times, with 2016 in particular experiencing a high number of big-money transactions across the entire insurance industry. Several companies have turned to M&A to meet their strategic goals, in some circumstances more than willing to break the bank in order to get deals over the line. This session focuses on the the M&A lifecycle, key catalysts for M&A activity, the big deals of 2016 and what we could expect to see in 2017.

Speaker: Aly Jamal
Practice area: Multi Discipline

E4: CMI update (TBC)

This talk with cover the latest thinking from the CMI of interest to pension actuaries on both base mortality and future improvements covering:

• An overview of recent findings from the SAPS investigation and plans for future work
• The challenges of “High Age” mortality and recent national mortality experience
• Current thinking on potential future changes to the CMI Model

Speaker: Deborah Cooper, Chair, CMI SPAS Committee
Practice area: Pensions

E5: Modelling Repayments from Student Loans (TBC)

In the 2015 Budget, George Osborne outlined the government’s intention to sell the repayment proceeds from student loans. A key requirement in the sale process of this novel and unique asset class is having an appropriate model in place to allow government and potential investors to project and understand potential repayments.

This presentation will outline how the Government Actuary’s Department was involved in the model development process and give an example of how actuarial skills can be applied to unique, interesting and challenging problems to understand complex financial products.

Speaker: Andrew Jinks, GAD
Practice area: Finance and Investment