Challenges in Quantitative Risk Management for Insurance
Nov 29, 2007
ICMS, 14 India Street, Edinburgh
A one-day workshop jointly organised by the Maxwell Institute and the Knowledge Transfer Network for Industrial Mathematics
Organisers
The Knowledge Transfer Network for Industrial Mathematics, managed by the Smith Institute for Industrial Mathematics and Systems Engineering, is funded by the TSB specifically to foster the exploitation of mathematical research in key sectors of UK-based industry. The Maxwell Institute is an internationally pre-eminent centre for research and for postgraduate training in the mathematical sciences. The Maxwell Institute brings together within a single body the mathematical research activities of the University of Edinburgh and Heriot-Watt University. The Actuarial Mathematics and Statistics department at Heriot-Watt was the first department of its kind in the UK and is now one of the world's leading centres for teaching and research in these areas.
The Challenges
There is a growing interest in quantitative risk models and quantitative risk management techniques in the insurance industry. This is partly prompted by Solvency II, an initiative of the European Commission and the Committee of European Insurance and Occupational Pensions, which aims to establish an improved solvency system that protects the interests of policyholders by reducing the likelihood of prudential failure. The changing regulatory environment, the increasing adoption of concepts like market-consistent valuation, and the untapped potential of techniques like securitisation represent challenges and opportunities for sophisticated financial service providers.
Purpose
The purpose of this workshop is to shape the UK research and innovation agendas to meet the evolving business requirement. Topics will include: Market-consistent valuation of insurance contracts; Mortality risk and longevity; Non-life risks, natural catastrophes, the changing environment; Integrated risk management models for insurance companies; Asset-liability modelling and solvency; Alternative risk transfer and securitization.
The workshop will foster closer links between senior practitioners from the Financial Sector and senior academics from UK Universities. The workshop will be used to inform Government bodies (notably the Technology Strategy Board and the Research Councils) so that resources can be best targeted.
The Technology Strategy Board (TSB) is an executive non-departmental public body, established by the Government and reporting to the new Department for Innovation, Universities and Skills. Its task, operating across all important sectors of the UK economy, is to stimulate innovation in those areas which offer the greatest scope for boosting UK growth and productivity.
Arrangements
Venue
The Workshop will be held at the head-quarters of ICMS at 14 India Street. This house is the birthplace of James Clerk Maxwell and is situated in the historic New Town of Edinburgh, very near the centre. The seminar room is fully equipped with large whiteboards, overhead and data projectors. Other facilities include PCs, wireless network and rooms suitable for small discussion meetings.
The ICMS travel pages show the location of India St and have links to pages with advice on how to get to Edinburgh and travel around once here.
Programme
| 10:00 - 10.15 | Registration and coffee |
| 10.15 - 10.30 | Alexander McNeil (Heriot-Watt University) and Robert Leese (Knowledge Transfer Network for Industrial Mathematics) Introductory Remarks |
| 10.30 - 11.00 | Bruce Porteous (Standard Life) Quantitative Challenges of Solvency II download presentation |
| 11.00 - 11.30 | Antoon Pelsser (University of Amsterdam) website Market-Consistent Valuation of Insurance Contracts download presentation |
| 11.30 - 12.00 | Alexander McNeil (Heriot-Watt University) website Correlation and Diversification in Integrated Risk Models download presentation |
| 12.00 - 13.30 | Lunch |
| 13.30 - 14.00 | Shree Khare (Risk Management Solutions) Natural Catastrophe Risk and the Changing Environment download presentation |
| 14.00 - 15.00 | Guy Coughlan (JPMorgan) download presentation and Andrew Cairns (Heriot-Watt University) download presentation Mortality Risk, Longevity and Securitisation website |
| 15.00 - 16.00 | Panel Discussion chaired by Angus Macdonald (Heriot-Watt University), Neil Meldrum (Scottish Widows), Antoon Pelsser (University of Amsterdam), Alan Rubenstein (Lehman Brothers) and David Simmons (Benfield) |
Participants
| Name | Institution |
|---|---|
| Austin, Roger | Austin Professional Resourcing |
| Bedford, Tim | University of Strathclyde |
| Bowes, Katharine | EPSRC |
| Bowie, David | Hymans Robertson |
| Cairns, Andrew | Heriot-Watt University |
| Coughlan, Guy | JPMorgan |
| Dick, Carole | Deloitte |
| Dunbar, Nick | Incisive Media |
| Fischer, Tom | University of Wuerzburg |
| Hancorn, Chris | PricewaterhouseCoopers LLP |
| Hazelwood, Vera | Smith Institute |
| Kelliher, Patrick | Scottish Widows |
| Khare, Shree | RMS |
| Kleinow, Torsten | Heriot-Watt University |
| Kretzschmar, Gavin | Barrie & Hibbert |
| Leese, Robert | Smith Institute |
| Lisboa, Paulo | Liverpool John Moores University |
| MacDonald, Angus | Heriot-Watt University |
| McNeil, Alexander | Heriot-Watt University |
| Meldrum, Neil | Scottish Widows |
| Merhi, Amal | LSE |
| Mitchell, Richard | Insightful UK |
| Müller, Alfred | Heriot-Watt University |
| Pelsser, Antoon | University of Amsterdam |
| Porteous, Bruce | Standard Life |
| Richards, Stephen | Stephen Richards Consulting |
| Ritchie, Stewart | Faculty/Institute of Act. |
| Rubenstein, Alan | Lehman Brothers |
| Shaw, Richard | Guy Carpenter & Company Limited |
| Simmons, David | Benfield Group |
| Stevenson, David | Standard Life |
| Taylor, Robin | HBOS plc |
| Tong, Robert | Numerical Algorithms Group Ltd |
| Wilson, Colin | Barrie & Hibbert |