SFRA Knowledge Transfer Workshop - Dr Mario V. Wüthrich

Actuarial Valuation and Solvency

This workshop was held on 6 April 2011.

Workshop Overview

The workshop focused on delivering valuable training in two core areas: (I) actuarial valuation of insurance liabilities and (II) solvency in insurance.

Part I of the workshop concentrated on actuarial valuation of insurance liability cash-flows. Actuarial valuation is done in three steps:

i) Define and describe the best estimate of insurance liability cash-flows. This is done by introducing the valuation portfolio (replicating portfolio) for the insurance liabilities, and then calculating its value using deflators (appropriate discount factors). We will supplement the valuation portfolio discussion with examples in life and general insurance.

ii) Identify insurance technical risks which lead to the calculation of a risk margin. We discuss the motivation and purpose of this risk margin and we provide different techniques for the calculation of the risk margin. Using a case study, different techniques will be compared.

iii) Aggregate the best estimate of insurance liability cash-flows and the risk margin which gives the technical provisions (market-consistent actuarial value) for insurance liability cash-flows.

Part II of the workshop discussed solvency, introducing the notion of a risk measure and analysing the acceptability of an insurance business plan. As a result, we identify insurance technical risk, financial risk and asset-and-liability management risks. With these terms at hand, we define solvency and identify the risk drivers.

Workshop Programme

  • Introduction to Solvency (Solvency II Directive 2009/138/EU)

  • I. Actuarial Valuation of Insurance Liabilities
    - Insurance liability cash-flow prediction
    - Best estimates (best estimate liabilities)
    - Valuation portfolio (replicating portfolio)
    - Financial valuation (Vasicek model and Black Scholes formula)
    - Claims development result
    - Risk margin, cost-of-capital approach
    - Technical provisions

  • II. Solvency in Insurance
    - Risk measures
    - Definition of solvency and acceptability
    - Insurance technical risk, financial risk and ALM
    - Case studies on influence of risk drivers

About The Workshop Leader

MARIO V. WUTHRICH is co-author of the books "Stochastic Claims Reserving Methods in Insurance" (with Michael Merz, Wiley 2008) and "Market-Consistent Actuarial Valuation" (with Hans Buhlmann and Hansjorg Furrer, Springer 2010, 2nd Edition).

Link to Mario Wuthrich's publications and Mario's homepage.

Mario holds a Ph.D. in mathematics from ETH Zurich and is a fully qualified actuary SAA. From 2000 to 2005, he held an actuarial position at Winterthur Insurance (Switzerland) where he was responsible for claims reserving in general insurance, as well as developing and implementing the Swiss Solvency Test. Since 2005, he has served as senior scientist and lecturer at ETH Zurich. Mario has given several applied courses to the profession.

Some Reasons to Attend

  • Opportunity to learn from a world-leading expert on actuarial sciences, financial mathematics and economics
  • Improve your knowledge of actuarial valuation, solvency and risk management
  • See actual solvency examples and study key risk management drivers
  • Understand the principles involved in developing internal risk management and solvency models

Workshop Prerequisites

The workshop is suitable for participants with a quantitative analysis background, e.g. some knowledge of statistics, econometrics or financial mathematics. A basic knowledge of risk management and solvency issues is an advantage.

Terms and Conditions of Workshop

Review our terms and conditions here.



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