The objectives of the Extreme Events Working Party include developing robust values for a variety of tables. There is scope for the Working Party to give consideration to the process for justifying the use of an internal model which would take account of the requirements of Solvency II, as well as of BAS, and any other relevant mandatory requirements.
This Cross Practice Working Party is shared by Life and F&I
- “Modelling Extreme Credit Events” SIAS presentation 6th September 2011
- Life Conference 2017
- Sessional Meeting on 26 February 2018
- Presentation to the Casualty Actuarial Society, Chicago, USA: September 2016
- Four previous sessional Research meetings in Edinburgh and London
- Sessional Event: Calibration of VaR models with overlapping data 25th March 2019 and publication in the British Actuarial Journal July 2019
- “Calibration of Transition Risk for Rating Based Assets” Presentation to Society of Actuaries Ireland - May 2021
- Various Life Conferences since 2008
- Various other IFoA Conferences including GIRO
- AFIR Conference in Lyons
- Various Teachers’ and Researchers Conferences
- Various Regional Society Presentations
- Difficult Risks and Capital Models: A discussion paper (Peter Clark Prize for Best Paper 2013/14)
- Difficult Risks and Capital Models: A discussion paper (April 2013 sessional, London)
- Difficult Risks and Capital Models (updated for September 2013 sessional, Edinburgh)
- Modelling Extreme Market Events (November 2008, London and January 2009, Edinburgh)
- Evolution of Economic Scenario Generators, published June 2008
- “Evolution of economic scenario generators: a report by the Extreme Events Working Party members” paper in British Actuarial Journal - February 2019
- 9 November 2017
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