Polimi 20121122 r&a
0 likes469 views
This document discusses the role of actuaries and statistical modeling. It explains that actuaries at R&A use both deterministic and stochastic models to analyze insurance portfolios, assess risks, set prices and capital requirements. Deterministic models use single estimates while stochastic models capture uncertainty through probability distributions. The document also summarizes the upcoming Solvency 2 regulation in Europe and the gender directive banning gender-based insurance pricing. It provides references for further reading on these actuarial topics.
More Related Content
Similar to Polimi 20121122 r&a (20)
More from R&A - Risk & Analysis (13)
Polimi 20121122 r&a
- 1. Statistics: Understanding & managing the world we live in Actuarial Sciences Alumni Politecnico di Milano Parigi 22/11/2012
- 2. Statistics: Understanding & managing the world we live in : Actuarial sciences What an actuary do in R&A? Deterministic Versus Stochastic Solvency 2, whats this? 21/12/2012 Gender directive : the end of gender-based pricing References Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 3. Statistics: Understanding & managing the world we live in : Actuarial sciences What we do ? Implementation, audit & reviews of models Insurance portfolio analysis & product engineering Process engineering Enterprise Risk Management expertise Asset-Liability Management Pension & Benefits advisory services CRM Data Mining R&D Training Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 4. Statistics: Understanding & managing the world we live in : Actuarial sciences What an actuary do in R&A? Deterministic Versus Stochastic Solvency 2, whats this? 21/12/2012 Gender directive : the end of gender-based pricing References Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 5. Statistics: Understanding & managing the world we live in : Actuarial sciences Deterministic Versus Stochastic Deterministic model : use single best-estimate parameters to produce a single best-estimate of the probable outcome A deterministic calculation assumes that there is only one way for the future Pros : it is simple Cons : Is it always enough & realistic? Example : will a 70 years old woman life expectancy be the same in 2050 compare to 2012? What will be the yield curve in 5 years? Will it be different compare to the current zero coupon yield curve? Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 6. Statistics: Understanding & managing the world we live in : Actuarial sciences Deterministic Versus Stochastic Stochastics models : deliver full probability distributions of potential outcomes that include A scenario of the death rate surface random variable in one or more of the parameters Source : http://freakonometrics.blog.free.fr A stochastic calculation is the study of a time dependent random variable Advantage : an exhaustive risk-based approach is possible Example : how much capital an insurance company should hold if we want to prevent its failure over the year in 99,5% of the cases ? Limits : what happened if the model is wrong? A model will always be a simplification of a more complex reality? The statistician must never be totally confident in the model and at the end, the man make the decision Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 7. Statistics: Understanding & managing the world we live in : Actuarial sciences What an actuary do in R&A? Deterministic Versus Stochastic Solvency 2, whats this? 21/12/2012 Gender directive : the end of gender-based pricing References Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 8. Statistics: Understanding & managing the world we live in : Actuarial sciences Solvency 2 : whats this? What about the European directive What should the stakeholders expect of 2009/138/CE? Solvency 2? 3 pillars of quantitative and qualitative rules A standardization of rules accross EU A risk-based capital framework and holistic More transparency and a guarantee of a approach : the P&L is a assumed to be a better gouvernance multivariate random variable Early warning in case of trouble The Solvency 2 project is in line with Basel 2, it will S2 be effective during or after the end is not applied yet of the crisis Insurance companies invest a lot of money to systemic risk impulsed by S2? implement Solvency 2, it is a very big project an increase of procyclicality for insurance for the insurance industry market? Despite the Basel 2 system, the banking an increase of insurance premium on a industry is closed to a catastrophic collapse, short-middle term even if S2 would impact what about Solvency 2? would be positive on the long term view Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 9. Statistics: Understanding & managing the world we live in : Actuarial sciences Risk-based capital : a risk measure Marginal distribution of each random variable Correlation & dependence To choose the random variable To set the parameters What are the correlations between variables? To choose the percentile In the standard formula of S2, we To choose the measure: use the VaR 99,5% over a year, VaR? TVaR? and we assume a multivariate normal distrubution with linear correlations For example the required capital should be at least equal to the 99,5% worst variation of the net asset value over a given period (1 year for S2) Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 10. Statistics: Understanding & managing the world we live in : Actuarial sciences What an actuary do in R&A? Deterministic Versus Stochastic Solvency 2, whats this? 21/12/2012 Gender directive : the end of gender-based pricing References Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 11. Statistics: Understanding & managing the world we live in : Actuarial sciences Gender Directive What about the European directive What should the consumers expect of the 2004/113/CE? Gender Directive? The end of gender-based pricing Motor insurance premium would increase Whatever the change in the pricing strategy of Death insurance premium would increase insurers, IT systems will be impacted by the Annuity premium would decrease different treatment of new business Increase of adverse selection, moral hazard & Motor insurance premium would decrease insurance exclusion Death insurance premium would decrease Risk of change of the market equilibrium, potential impact on the socio-economic Annuity premium would increase consumer behaviour Gender-based risk management & marketing is Redistribution effects still possible One-off compliance & marketing costs Will unisex insurance pricing be combined with Gender mix risk premium less discrimination on other fields? Not sure Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 12. Statistics: Understanding & managing the world we live in : Actuarial sciences What an actuary do in R&A? Deterministic Versus Stochastic Solvency 2, whats this? 21/12/2012 Gender directive : the end of gender-based pricing References Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director
- 13. Statistics: Understanding & managing the world we live in : Actuarial sciences References Actuary : R&A: http://www.italian-actuaries.org www.riskandanalysis.com http://www.institutdesactuaires.com Lionel.texier@riskandanalysis.com http://www.actuaries.org/ Cocktail ActuariaCnam 12.12.12: European Insurance supervisor : http://cocktail-actuariacnam.evenium.net https://eiopa.europa.eu/ Blogs : Gender Directive : www.techsandtools.com http://genderdirective.actuariacnam.net http://freakonometrics.blog.free.fr Official text www.actuariacnam.net Solvency 2: Books : www.lalibrairieducnam.fr http://forumactuariat2011.actuariacnam.net (please visit the EMS/Assurance/actuariat category ) Polimi Parigi 22/11/2012 - R&A Lionel Texier - Associate director