CERA Module D: ERM – Economic Capital (3/4 April 2019) (Madrid)

CERA Module D: ERM – Economic Capital

Organised by the EAA – European Actuarial Academy GmbH in cooperation with the Instituto de Actuarios Españoles.

This module deals with the challenges of implementing ERM Processes. It includes requirements on ERM Processes and the discussion of best practices. It will be presented how to define an organisation’s risk strategy, risk appetite, risk tolerances and limits. We discuss how business strategy influences risk strategy and show their necessary interaction. We demonstrate the close relationship between ERM and Value and Risk Based Management and show how financial and other risks influence the selection of strategy. We show how ERM can be appropriately imbedded in an entity’s strategic planning and discuss the Own Risk and Solvency Assessment. We present the application of an internal risk control process. In the context of ERM reports to different stakeholders are required (management, supervisory body, regulators, public disclosure). We give an overview of the different reports and the main contents. Further we show examples of communication processes in the context of ERM. During the seminar we present case studies to discuss the main subjects.

Participants

The seminar is open to anybody who is interested in obtaining comprehensive skills on Enterprise Risk Management. The seminar is suitable for actuaries who deal with the issue of corporate control from a risk management perspective.

During this seminar, you will not need your laptop.

Purpose and Nature

This seminar is one part in a course that consists of four modules. They can be booked as a whole series to fulfil the requirements for receiving the CERA designation, or individually as CPD training. Written exams on the course are offered subsequently.

The Instituto de Actuarios Españoles is Award Signatory of the CERA Global Association so that an actuary who passes this course (the four modules) may receive the CERA credential.

Language

The language of the seminar will be English. The exam will be in German or English (to be chosen on site).

Lecturers

Dr Martin Leitz-Martini
Martin Leitz-Martini is Head of Risk Steering and Reporting at Stuttgarter Lebensversicherung. He holds a diploma in mathematics from University of Leipzig and a PhD from University of Tübingen. In previous positions he was in Allianz Lebensversicherung, Württembergische Versicherung, Nationale Suisse, Switzerland, and Süddeutsche Krankenversicherung. Martin worked in risk management, in actuarial teams as well as in accounting and controlling. He is a member of the German Actuarial Association and holds the CERA title as well.

Benedikt Schierl
Benedikt Schierl is an actuarial Consultant at BELTIOS GmbH. He holds a diploma in mathematics from LMU Munich. Benedikt worked in several Projects on ALM- and Projection-Tools. He is a member of the German Actuarial Association.

Dr Ralph Schuster
Ralph Schuster is Senior Risk Analyst in the Integrated Risk Management at Munich Re. He works in the Group Actuarial Function on topics covering both, life as well as non-life. His previous positions include operative departments, product development as well as controlling. He is a member of the German Actuarial Association and active in the committee for talent development. In addition, he has a lecturing assignment with a university of applied sciences and a coaching and consultancy company. Ralph holds a PhD and master degree from the University of Freiburg.

Dr Thomas Viehmann
Thomas Viehmann is a mathematical modelling consultant and managing director of MathInf GmbH. He has years of experience with stochastic modelling of assets, insurance and risks in the economic capital models.
Beyond insurance, his modelling focus is on AI applications, in particular natural language processing, explainability and uncertainty in the context of neural networks. He also is one of the top independent contributors to the popular PyTorch AI framework. Thomas has a Ph.D. in mathematics from the University of Bonn and is a qualified actuary with the German Actuarial Association.

Dr Markus Wadé
Markus Wadé is a Senior Risk Manager in Munich Re’s Integrated Risk Management division. His field of activity includes the development of accumulation and stress test scenarios for Munich Re’s global business operations, and the refinement of risk identification tools and methods. He is also part of the editorial team for the quarterly internal risk report for the Board of Management and Supervisory Board. Before joining Munich Re, Markus worked in quantitative credit risk management in various financial institutions. He holds a PhD for a thesis about the estimation of country risks for credit portfolio models. Markus studied economics at the University of Regensburg and Wesleyan University (USA).

Programme

Wednesday, 03 April 2019
09:15 – 09:30 – Registration
09:30 – Welcome and Introduction
09:30 – 11:00 – Economic Capital (part 1) Dr. Thomas Viehmann
11:00 – 11:30 – Coffee Break
11:30 – 13:00 – Economic Capital (part 2) Dr Thomas Viehmann
13:00 – 14:00 – Lunch
14:00 – 15:30 – Steering (part 1) Dr Markus Wadé, Dr Ralph Schuster
15:30 – 16:00 – Coffee Break
16:00 – 18:00 – Steering (part 2) Dr Markus Wadé, Dr Ralph Schuster

Thursday, 04 April 2019
09:00 – 10:30 – Case Study (part 1a) Dr Martin Leitz-Martini, Benedikt Schierl
10:30 – 11:00 – Coffee Break
11:00 – 12:30 – Case Study (part 1b) Dr Martin Leitz-Martini, Benedikt Schierl
12:30 – 13:00 – Case Study (part 2a) Dr. Martin Leitz-Martini, Benedikt Schierl
13:00 – 14:00 – Lunch
14:00 – 15:00 – Case Study (part 2a) continued Dr Martin Leitz-Martini, Benedikt Schierl
15:00 – 15:30 – Coffee Break
15:30 – 16:30 – Case Study (part 2b) Dr Martin Leitz-Martini, Benedikt Schierl – Concluding remarks, closing of seminar

Fees & registration

Fee: Fee for this CERA seminar module: 850.00 € plus 21 % VAT

Registration: https://actuarial-academy.com/cera/registration?No=E0147

Venue

Hotel H10 Puerta de Alcalá. (C/ Alcalá, 66, Madrid)

CPD

The IAE recognizes 12 hours of CPD (technical scheme)