A Model Risk research project was established by the Institute and Faculty of Actuaries Risk Management Research and Thought Leadership Committee in October 2013. This project was initiated by setting up a member-led research working party (the “Model Risk Working Party”). The working party focused on key foundational areas on the subject including model risk definition, identification, management, culture, governance and measurement. This culminated in a working party Report published in the British Actuarial Journal, and a series of presentations to key industry fora including an IFoA Sessional Meeting in London in March 2015.
Due to the positive reception of the findings of the working party by the profession (the Report earned the Peter Clark prize for Best Paper in September 2015), support was given to setting up a second phase of the working party. New and existing members were invited to volunteer their interest to participate in this second phase.
Key objectives of Phase 2:
- Develop benchmark approaches for internal and external communications around model risk, to improve industry awareness and understanding of model risks
- Build on work from Phase 1 to define a framework for measurement of model risk
- Leverage good practice from other industries to enhance model risk management within the actuarial profession
- Model risk: illuminating the black box, British Actuarial Journal (BAJ), August 2017, Cambridge University Press
- Sessional paper Illuminating the Black Box, 29 June 2017 in Edinburgh
- Risk, Investment,Pensions Conference 2017, 5-7 June
- One day Seminar, Risks in Life: Understand, control and master them, 2 February 2017
- Example Model Risk Board MI pack
- Example Model Risk Disclosure templates for company Report and Accounts and ORSA
- Model risk quantification framework
- Lessons learned from other industries
- Practical case studies to bring all these concept to life
- Momentum conference, 1 December 2016
- The Effective Communication and Disclosure of Model Risk - Presentation at the Pensions, Risk and Investment Conference with AFIR/ERM 2016, June 2016
- British Actuarial Journal article - Daring to open up the black box, December 2015
- British Actuarial Journal article - Daring to open up the black box - London discussion, December 2015
- Sessional paper: Daring to open the black box - Winner of the Peter Clark Prize for Best Paper - London March 2015
- Actuary article ‘Cultural aspects of model risk’ December 2014
- Presentation to the IAA Enterprise and Financial Risks Committee, 11 Sept 2014
- Presentation to the Swiss Actuarial Association, 5 Sept 2014
- Slides for presentations given during 2014
Non Working Party related outputs:
- 9 November 2017
You might also like
If you want more information about this research working party please contact the Communities Team.
Filter or search events
This session will focus on the transformation roadmap of the healthcare sector in KSA and the role of actuarial capabilities in enhancing its evolution to the desired end stage as per the objectives of the Vision 2030. The discussion will focus how the system has evolved so far and shed light on the expected future changes. Through examining the transformation, we will highlight how the sector is and can use actuarial expertise to not only assist with this transformation but also use basic actuarial principles to identify the key risks and their respective mitigation strategies.
The purpose of this research paper is to explore enterprise risk management lessons which can be learnt from the Covid-19 pandemic in preparation for potential future pandemics as well as other “gray rhino” or “black swan” events. This paper is not intended to be an all-encompassing solution to the issues presented by Covid-19; rather, the content has been provided to help drive discussions regarding how risk management processes may need to evolve in line with the dynamic nature of the underlying risks that they sometimes need to capture.
This webinar will discuss good exam technique, including various approaches candidates can take in managing their time completing their exams in the online format.
This session is for new candidates and existing candidates where we will be discussing the practical steps you need to take leading up your exam and on the day. We will be discussing how to testing the online exam platform, downloading and uploading your paper and key information from the Exam Handbook.
The exam webinar is for candidates, new to IFoA exams and returning candidates, sitting in the September 2022 exam session.
This webinar will cover:
• Some background on the risks of misselling in an ESG context, including the DWS case
• Achieving positive impact is a strong antidote to the risks of greenwashing or ESG misselling, however this risks having a tension with fiduciary responsibilities
• This tension can be resolved with a concept called Universal Ownership
• Under Universal ownership, investors have an appetite to make a loss in order to achieve positive impact, and yet still have no compromise on their fiduciary responsibilities
In the UK, the idea of collective defined contribution (CDC) pension schemes is gaining more attention with the launch of the Royal Mail CDC scheme, the first of its kind in the UK. Our recent research on CDC plans investigates the sources of the putative benefits of CDC schemes: the smoothing of pensions for members. Using an attribution analysis to burrow into the scheme design, the reason for the smoothing of members' pensions is explained and understood.
The IFoA's Infrastructure Working Party, led by Chris Lewin, will present its new introductory guide to infrastructure investment, which will be published on the IFoA web-site prior to the webinar. Those readers whose institutions have already taken the plunge into infrastructure will know that it is a highly complex and diverse field of activity. This guide does not explore all the matters which investors take into account, but it does discuss many of the more important points, including the risks and past returns, benchmarking, and ESG and SDG considerations. Attendees will be invi
Social care reform has long been on the to-do list for successive governments over the last two decades. In February, the government’s proposed reforms to adult social care [including cap on care costs] was published. Against this backdrop of funding promise and rising National Insurance taxation, in this session we will debate the resilience of these new proposals, the impact of future demand for care services and what role for the insurance industry and the important role it has played in long-term care funding in other countries where public-private partnership works.
Health contributes to happiness at the personal, family, community and societal level. Health, importantly underpins all our economic security. This talk will explore the drivers of our health, the measurement of health and the steps we can take to improve health – most of which lie outside the NHS.
We are delighted to announce the return of GIRO as an in-person conference, giving you an opportunity to connect with actuaries in your practice area. Join leading experts to discuss key issues, emerging ideas, and new research across the General Insurance sector.
Life Conference returns as an in-person conference in 2022, giving you an opportunity to connect with your peers and fellow actuaries in your sector, in person. You will also hear leading experts discuss key issues, emerging ideas, and new research across the Life insurance sector.
Mortality and morbidity risk varies by variables such as age, sex and smoking. In traditional actuarial experience analysis, these variables, and certain combinations thereof can be explored. However, with the wealth of data now available it is becoming increasingly challenging to identify the key drivers of experience and account for the interaction between different variables. A univariate approach often compares apples and pears, for example males are more likely to smoke and have larger policies than females. Likewise, variable interactions are missed unless specifically included.