Workshops

 C1: Pricing and trading of limited price indexation (LPI) swaps

Inflation derivatives, such as swaptions and LPI swaps, are key instruments for hedging inflation risk in pensions. This session will examine the different options embedded in LPI pension benefits and the corresponding options available in the market as hedging instruments. The session will summarise the modelling approaches typically used to price these instruments. A simple model for valuing swaptions and LPI swaps using implied distributions from the options markets is described. The session will conclude with our view on future market developments for hedging with inflation options, followed by an open discussion.

Speakers: Mark Greenwood, RBS and Simona Svoboda-Greenwood

C2: Enterprise risk from the view of the investor working party

ERM in insurance companies has brought together all of the key risks in the company, to be managed in a holistic fashion. The ERM framework needs to provide sufficient information for investors, for whom insurance company risks are but part of the overall risk and reward of their total investment portfolios. They need information on systematic risk, potential correlations of earnings from future new business with macroeconomic trends, other risks to franchise value, and sources of model risk within the company.  This session will describe and discuss the direction for the next generation of ERM activities.

Speaker: Andrew Hitchcox, Kiln

C3: Demonstrating actuaries’ holistic understanding of risk: managing the quants working party

Actuaries today are faced with problems of complexity, including the nature of risks and in particular the problem of the "unknown unknowns" which can have huge effects on our clients' assets and liabilities.  The profession is attempting to deal with this problem with the creation of the CERA qualification, and a focus on CPD for all actuaries. But is this enough? We may need to run as fast as we can, just to maintain our current position in the hierarchy of professional expertise. What else should we be doing? What should we stop doing? What can we learn from others?

Speaker: Charles Ullman, Towers Watson