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CERA, Module B: Taxonomy, Modelling & Mitigation of Risks

26. September 2022, 09:00 - 30. September 2022, 15:30

The seminar - this year organized as a web session - focuses on quantitative
analyses of financial and non-financial risks of an insurance company and the effect and possible
applications of risk mitigation techniques. After an introduction to the economic valuation of an
insurance company, including stochastic valuation models and approximation techniques for life
companies, and the building blocks of its economic balance sheet, the risk measure as well as the
relevant regulatory requirements of Solvency II will be discussed. Different concepts of risk
modelling covering from standard formula to fully internal models will be presented.

After a deep-dive into the risk classification, strategic, reputation and operational risks are
dealt with. Afterwards methods for modelling market, credit and underwriting risks will be
presented in detail. The discussion of each risk starts with its definition, how it can be
identified and distinguished from other risks, and its classification according to SII. The
taxonomy is followed by qualitative and quantitative valuation approaches - including scenario
analyses, stress tests, deterministic and stochastic assessments, and quantifications according to
the standard formula and an internal model. Furthermore, crucial aspects of any model such as
assumptions, distributions, calibration and validation are discussed, as well as limitations and
criteria for the adequacy of a model for solving a given problem.

Having introduced and discussed the risk modelling, tools and techniques will be discussed that are
available in the insurance business to mitigate these risks. That includes the discussion around
the implications of reinsurance and securitisation as well as portfolio management. We will also
present what life insurance companies subject to traditional with profit business can do to hedge
their main risks.

Both elements, risk modelling and measurement as well as risk mitigation, are closely related and
interact with each other, what will be reflected in the topics presented and the structure of the

The consolidated view on risks in a company and an outlook on Group models close the course.

The course has been designed for experienced practitioners who use model results in practice and
seek guidance for management decisions. Therefore, the focus is not on technical details but on the
understanding of risk models and their results, and on the derivation of management actions.
Consequently, examples and case studies are a core component of the seminar.

Anmeldeschluss: 2022-09-22


26. September 2022, 09:00
30. September 2022, 15:30

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