eaa | 4.2 Seminars: Past Seminars | european actuarial academy |

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Risk Aggregation in the Context of Solvency II

-Introduction

all Past Seminars:

-	Solvency II for Starters (Prague)
-	Actuarial Enterprise Risk Management Part I(Budapest)
-	How to Set Up an Effective ORSA Process? - A Case Study for a Company Using the Standard Formula (Frankfurt/Main)
-	Moving Towards Dynamic Pricing in Non-Life Insurance (Prague)
-	Own Risk and Solvency Assessment (in the Context of Solvency II) (Warsaw)
-	Asset and Risk Management(Ljubljana)
-	Key Issues for a Successful Internal Model Application Process (IMAP)(Warsaw)
-	Stochastic Modeling - Theory and Reality from an Actuarial Perspective(Helsinki)
-	Concepts and Innovations in Life Insurance (Vienna)
-	European Developments on Pensions (Utrecht)
-	Concepts and Innovations in Life Insurance - Overview over Unit-Linked Guarantee Products (online)
-	Key Issues for a Successful Internal Model Application Process (IMAP) (online)
-	Actuarial Enterprise Risk Management Part II (Budapest)
-	Own Risk & Solvency Assessment (in the Context of Solvency II) (Prague)
-	Risk Aggregation in the Context of Solvency II (Prague)
-	Inhouse Seminar Product Development and Risk Management (Moscow)
-	Actuarial Enterprise Risk Management Part I (Budapest)
-	Diversification within Solvency II (Berlin)
-	Stochastic Modeling - Theory and Reality from an Actuarial Perspective (Madrid)
-	Risk Aggregation in the Context of Solvency II (online)
-	Own Risk & Solvency Assessment (in the Context of Solvency II) (Vienna)
-	Moving towards Dynamic Pricing in Non-Life Insurance (Brussels 2012)
-	Capturing Risks in Insurance Premiums (Ljubljana 2011)
-	Capital Management and ALM in the New (Solvency II) World (Dublin 2011)
-	Internal Models in Solvency II (Helsinki 2011)
-	EAA Summer Seminar: Longevity Risk (Utrecht 2011)
-	Reinsurance: A Strong Risk / Capital Instrument (Copenhagen 2011)
-	Stochastic Modeling - Theory and Reality from an Actuarial Perspective (Prague 2011)
-	EAA Series on Solvency II: Calculations & Modelling (Cologne 2011)
-	Embedded Value: More than just numbers? (Warsaw 2011)
-	EAA Series on Solvency II: Capital, Reporting and Governance (Cologne 2011)
-	Internal Models in Solvency II (Rome 2011)
-	ALM in the Context of an Efficient Risk Management (Brussels 2010)
-	Stochastic Methods of Claims Reserving (Zagreb A 2010)
-	Stochastic Methods of Claims Reserving (Zagreb B 2010)
-	IFRS-Accounting: Non-life stand-ready obligation (EAA Webinar online)
-	Market Consistent Valuation (Prague 2010)
-	Solvency II, the Basics (EAA Series, Cologne I 2010)
-	Pricing of Products (Budapest 2010)
-	Risk Management Concept & Tools (EAA Course, Frankfurt IV 2010)
-	Risk Mitigation and Risk Optimization (EAA Course, Frankfurt III 2010)
-	Reserving Life / Non-Life (Istanbul 2010)
-	Actuarial Modelling (Vienna 2010)
-	IFRS - Accounting (Tallinn 2010)
-	Risk Classification, Measuring & Modelling (EAA Course, Frankfurt II 2010)
-	ERM Concept and Framework (EAA Course, Frankfurt I 2010)
-	Product Management and Development for Insurance Companies (Hamburg 2010)
-	Operational Risk Management (EAA Webinar, online 2010)
-	Quantitative Risk Management (Prague 2009)
-	Enterprise Risk Management (Lisbon 2009)
-	22nd Colloquium: Groupe Consultatif Actuariel Europ�en (Vienna 2009)
-	Internal Models in Solvency II (Dublin 2009)
-	GC Summerschool Solvency II (Utrecht 2009)
-	Productmanagement and Development (Zagreb 2009)
-	Valuation methods used in Life Insurance (Bratislava 2009)
-	Internal Models in Solvency II (Munich 2009)
-	Enterprise Risk Management (Riga 2009)
-	Reserving in Non-Life Insurance (Brussels 2008)
-	Pricing in General Insurance (Petersburg 2008)
-	Actuarial Modelling (Ljubljana 2008)
-	Solvency II: Regulations and Calculations (Prague 2008)
-	Solvency II: Participation in the Quantitative Impact Studies QIS 4 (Frankfurt 2008)
-	Asset Liability management for Insurance Companies and Pension Funds (Cracow 2008)
-	Quantitative Risk Management: Concepts, Techniques and Tools (Amsterdam 2008)
-	Basics of Investments for Actuaries (Cologne 2008)
-	Insurance Economic Market Behaviour (Sofia I 2007)
-	Health Financing and Health Insurance (Sofia II 2007)
-	Stochastic Concepts in Life and Pensions, the design of internal models & their application in the context of Solvency II (Budapest 2007)
-	Asset-Liability Management & Portfolio Management (Kiev 2007)
-	Basics of Investments for Actuaries (Vienna 2007)
-	Solvency 2 / IFRS reporting (Vilnius 2007)
-	Pricing of Products (Bucharest 2006)
-	Market Consistent Valuation of Life Insurance Liabilities (Cologne 2006)
-	Practical models in Solvency II framework (Tallinn 2006)
-	Economic Capital for Insurance Companies (Bratislava 2006)
-	Fundamental Actuarial Technics (Moscow 2006)
-	International accounting standards (IAS) and Solvency II (Zagreb 2005)
-	Market Consistent Valuation of Life Insurance Liabilities (Basle 2005)
-	Risk Management (Riga 2005)

»EAA Webinar: Risk Aggregation in the Context of Solvency II«

20^th April 2012 | 16-17 o'clock CEST

EAA Webinar "Risk Aggregation in the Context of Solvency II"

Watch the Recording FREE OF CHARGE![wmv, 94 mb]

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Introduction

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 this webinar, we begin by introducing the risk aggregation approach of the Solvency II standard formula and discussing the limitations of this approach.

In theory, a full probability distribution can be calculated via a nested stochastic approach, but this is quite cumbersome due to the run time constraints in practice. Thus, we consider some proxy modelling techniques such as Replicating Portfolio or Least Squares Monte Carlo.

We conclude the webinar by outlining a range of possible applications in the Solvency II beyond the calculation of a 1-year probability distribution forecast.

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