|14th / 15th June 2012 | Prague / Czech Republic|
Under the Solvency II framework, the insurers should calculate the 99.5th percentile of the distribution of their PVFP (Present Value of Future Profits) after 1 projection year. In an Internal Model, the insurers are also required to calculate the full probability distribution forecast.
In any case, practical management decisions should not depend on just one point of the distribution. To the contrary, the management decisions should take all the relevant chances and risks into account. This signifies that a reliable and robust calculation of the probability distribution forecast is very valuable for value- and risk-based management.
In the seminar, a range of risk aggregation methods such as Replicating Portfolios, Risk Geographies, Curve Fitting and Least Squares Monte Carlo will be introduced and discussed. These concepts will be treated in a practical way including case studies and discussions of the strengths and weaknesses of the methods considered.