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Programme
Tuesday 19 May 2009
08:30 Registration and refreshments
09:00 Chairman’s Opening Remarks
09:10 *EXTENDED SESSION*
PANEL
An update on Solvency II: Examining the effect of the Level 1 Directive and
progress towards implementation
- The effect of the Level 1 Directive
- Internal models vs. standard formula
- Group support
- Annuities and the illiquidity premium
- Operational risk and Solvency II
- Learning the lessons of Basel II
Moderator: Dr. Andrew Aziz, Executive Vice President, Risk Solutions,
ALGORITHMICS
Thaddeus Nyahasha, Director of Group Solvency, AVIVA
Victoria Raffe, Head of Prudential Insurance Policy, FINANCIAL SERVICES
AUTHORITY
Pamela Schuermans, Administrator, CEIOPS
Peter Vipond, Director, Financial Regulation & Taxation, ASSOCIATION OF
BRITISH INSURERS
10:10 Using replicating portfolios to optimise performance
- Advances in techniques
- How do you match replicating portfolios to your liability profile?
- Using replicating portfolios to aggregate risk and develop complete economic capital models
- Replicating portfolios and internal models for Solvency II
- The benefits of using replicating portfolios to calculate capital requirements
Curt Burmeister, Vice President, Risk Solutions, ALGORITHMICS
10:50 Morning coffee break
11:10 Pricing and hedging strategy for variable annuities in a volatile market
- Examining the effect of the credit crisis on variable annuities
- Assessing the effectiveness of existing hedge programmes
- The importance of emphasising "hedgability" when developing variable annuity products
- Pricing variable annuities in a very volatile market: are pricing models up to the required standard?
Rachid Bouchaib, Senior Insurance Risk Officer, ING GROUP
11:50 Assessing the need for innovation in the current market
- Powering through the recession: the buyout market as an example of growth through innovation
- Defined benefit pension buy outs: an entirely new insurance "secondary market"
- An assessment of alternative business models
- Assessing the risk and reward of innovation: the importance of mortality, credit and inflation
Mark Wood, Chief Executive, PATERNOSTER
12:30 Business strategy during the credit crisis: outperforming your competitors
- Assessing the effect of the credit crisis on market structure
- Regulatory change: do new rules mean we are playing a new game?
- Understanding changing customer preferences: Challenges and opportunities for the financial industry
- Risk distribution within pensions for customized solutions
- Consequences for the business models of insurance companies, asset managers and pension funds
Dr. Reinhardt Schink, Vice President, ALLIANZ SE
13:10 Lunch
14:10 Risk and capital management in a time of increased uncertainty
- Dealing with increased counterparty risk
- Valuing assets in a volatile and illiquid market
- Remodelling default risk
- The role of alternative investments in life insurers’ portfolios
- Opportunities presented by the credit crisis for long-term investors
Bob Howe, Chief Risk Officer, EU Entities, SWISS REINSURANCE
14:50 Examining the effect of falling interest and inflation rates on ALM
- The effect of changes in bond yields on your portfolio
- Managing increased liquidity risk
- German insurance companies and guaranteed minimum yield
- Hedging strategy
- Portfolio and policyholder participation strategy
- Future challenges for ALM
Josef Seigner, Head of ALM, ALLIANZ INVESTMENT MANAGEMENT SE, MUNICH
15:30 Taking ERM beyond the theoretical and ensuring it adds value to your company
- How far has ERM become embedded in the fabric of companies?
- Implementation: successes, failures and lessons to be learnt
- Use tests to demonstrate ERM is adding value
- Intra-group ERM
- Has ERM saved insurance companies from the worst of the credit crisis?
Roger Dix, Independent expert
16:10 Afternoon break
16:30 Some practical aspects of market consistency and MCEV implementation
- What are the greatest implementation challenges?
- Reference rate choice, (il)liquidity premia and extrapolation
- Option volatility assumptions in the absence of market prices
- Assessing market liquidity and inactivity
- What lessons for CFOs from the 2009 reporting cycle?
- Towards greater comparability
John Hibbert, Director & Founder, BARRIE & HIBBERT
17:10 PANEL
Back to Basics: re-examining models and methods in the light of the credit
crisis
- Assessing the effect of the credit crunch on models: do models need to be re-evaluated, redesigned or replaced?
- Did VaR contribute to the crisis? What is its role in the future?
- Reassessing input parameters
- Incorporating illiquidity into models
- Using the lessons of the credit crisis to strengthen internal risk measurement and monitoring processes
