Workshops

B1: Impacts of regulation and market turbulence on annuity fund investment strategies working party 
 
Economic conditions over the last two years have caused a rethink on the design of both capital and embedded value measurements. UK annuity funds’ investment concentration in long dated sterling denominated credit has led to significant systematic risk in the sector and our paper analyses the degree to which current insurance regulation is responsible for that bias, as well as how the proposed Solvency II framework might lead to a revision of strategies by key players.

Speakers:John Roe, Legal and General and Emily Timmis, RBS

B2: The use of time series modelling techniques in ERM

Many financial market and insurance related data contain valuable information about patterns over time. This session describes the application of econometric time series modelling techniques to solve typical problems facing actuaries in the ERM and investment related fields. Be it developing models of the underwriting cycle, projecting inflation indices or considering a model of equity returns. The main focus will be on the ARIMA family of models with discussions on data analysis, model identification, parameterisation and the diagnostic tests to ensure the selection of a valid model.  Lastly ARCH/GARCH modelling will be addressed. Case studies will be used throughout

Speaker: Richard Shaw, HRC

B3: ERM for strategic and emerging risks working party

This session will cover ERM and strategic business management for insurance and financial services in a world of “unknown unknowns” and how the CRO can:
critically and self-consciously set a strategic direction, aligned with corporate governance processes and the corporate culture, vision and mission
focus on “risk and opportunity management”, balancing risks against opportunities, whilst being resilient against “unknown unknowns” and their emergence over time as “known unknowns” and “known knowns”
take greater risk to improve rewards and gain competitive advantage, bearing in mind that achieving strategic direction is like running a marathon where competitive advantage assists only with short-term positioning

Speakers: Neil Cantle, Milliman and George Orros, Universal Health Consultants