PRMIA Zurich is happy to invite its members to:

From Stress Tests to Stressed Insurance Companies and Pensions Funds

Risk Management Challenges in Insurance and Pensions


A PRMIA Zurich Chapter event offered together with the Master of Science in Quantitative Finance, joint degree of UZH and ETH

Time: November 3, 2011, 18.15-20.00
Location: University of Zurich, KOL-G-201 (Aula), Raemistrasse 74, 8001 Zurich
Organizer: Prof. Dr. Erich Walter Farkas (UZH) for PRMIA Zurich Chapter



Program:

18.15 Prof. Dr. Walter Farkas (PRMIA Zurich): Opening

18.20 Dr. Ken Nyholm: “Consistent generation of stress scenarios – normative and practical considerations”

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The talk would focus on how to model and stress test the balance sheet of insurance companies. Normative ideas for how to generate a flexible, yet comprehensive and consistent framework, to facilitate the generation of scenarios for asset and liabilities will be presented. Reflections on how such ideas can be implemented in practise will also be touched upon.

18.55 Dr. Hans Peter Würmli:“Stressed Insurers and Pension Schemes “

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Insurers and pension schemes are in the midst of a storm. It has been created by the low interest rate policies of our central banks and our governments’ attempts to deal with weak banks, public debt and slowing economies in the developed world. Risk management’s responsibility is to understand and its role is to find answers to the problems and challenges. In recent years risk management has made great progress in creating transparency. In particular market-consistent valuations of assets and liabilities are employed to project a “true, fair and realistic” view of the financial state. However, modelling and controlling the future evolution still encounters serious challenges. Whereas many pitfalls to good risk management are identified within firms, control of hurtful human behaviour expected in stressed situations is far less accepted in the political process. As important as quick and fair solutions to the various current financial crises would be for the pension and insurance industry, government and government institutions appear to close their eyes and instead seem to “gamble for resurrection”.

19.30 Discussion

19.40 Cocktail



Speakers:

Ken Nyholm works in the Financial Stability area of the European Insurance and Occupational Pensions Authority (EIOPA). Prior to joining EIOPA, Ken worked in the Risk Management Division of the European Central Bank, primarily on practical implementations of financial and econometric techniques in the fields of fixed income strategic asset allocation and asset and liability management for pensions. Ken holds a Ph.D. in finance and has published several articles in the areas of yield curve modelling and financial market microstructure.

Hans Peter Würmli is Chairman of Geneva Association’s CRO Networks. He took over this task after retiring as Senior Risk Manager from Swiss Re in 2010. During his professional life with Swiss Re he held positions in life reinsurance marketing, life product management and corporate integrated risk management. During his last years with Swiss Re he mostly dealt with the then emerging solvency regulation. He holds a doctorate in Mathematics from ETH and is qualified member of the Swiss Association of Actuaries.