Coffee and Registration

SPECIAL ADDRESS

Folksam’s risk management strategy in light of current industry challenges
Mari Björelind, Head of Risk Management, FOLKSAM INSURANCE GROUP

Best practices in Enterprise Risk Management (ERM)

• Examining the need for ERM in managing sustainability risk
• Building a robust ERM framework to quantify risks and capital requirements
• Benchmarking strategies
• Using risk management in product development strategies

Andrew Aziz, Executive, Vice President, Risk Solutions, ALGORITHMICS

Morning break

STREAM ONE: INTEGRATING REGULATORY AND MARKET DEVELOPMENTS INTO INSURANCE PROCESSES

STREAM TWO: CREATING OPTIMAL RETURNS FROM THE CAPITAL MARKETS

Case study: Eurizon Vita’s ERM system and ALM model

• Dynamic ALM models for Life Insurance
• MCEV evaluation and ALM modeling
• Economic capital and risk analysis
• An integrated ERM system ensuring consistency
• Strategic decision support and value creation

John Brunello, Head of Models & Technologies, EURIZON VITA

Guaranteed pension products – a European perspective

• Are consumers aware of pension related risks and are they worried enough to pay for their coverage?
• Was the death of traditional with-profits exaggerated?
• Consequences for the business models of insurance companies and pension providers
• Are new approaches better than traditional ones?

Reinhardt Schink, Vice President, Group Development, ALLIA NZ SE

Assessing the impact of mortality on insurance products and distribution

• Hedging longevity risk
• Impact of mortality and longevity risk on capital requirements
• Calculating the capital required for longevity risk

David Hare, Chief Actuary, UK & Europe, STANDARD LIFE
ASSURANCE LIMIT ED

Securitisation of non-life insurance

• The original concept of non-life securitisation
• Actual developments to date in securitisation
• Likely future developments – including accounting/regulatory developments
• The impact of sub-prime/credit crisis

Graham Fulcher, Chief Actuary, ACE EUROPEAN GROUP

Lunch

Panel discussion: Solvency II progress and concerns

• Can Solvency II become compatible with IFRS: can convergence be achieved to enable consistency in disclosure?
• Impact of Solvency II and QIS III: making it work going forward; implications for risk and capital management
• Preparing for QISIV - examining the diversification benefit
• Cross-border structures and regulation: how do insurers with affiliates in different regions deal with differing regulatory requirements?
• Latest thoughts on internal models and where they sit within Solvency II
• Achieving agreement over MCR (minimum capital requirements) modelling
• Do actuaries have a profile in Solvency II? Is the actuarial function a risk function?
• Ensuring that the voice of the smaller insurer gets heard within Solvency II

Michael Aitchison, Senior Valuation Actuary, PRUDENTIAL
David Hare, Chief Actuary, UK & Europe, STANDARD LIFE ASSURANCE LIMITED
Sarah Varney, Head of Solvency 2 Office, FSA
Randle Williams, Group Investment Actuary, LEGAL AND GENERAL GROUP
Doug Caldwell, Manager, Corporate Insurance Risk Management, ING GROUP

Successful ALM in a Solvency II regime

• Investment process in an insurance company
• Value functions overview
• Replicating portfolio techniques
• ALM and portfolio optimisation

Michele Gaffo, Head of Investment Strategies, ALIANZ S.P.A.

Art and science of building replicating portfolio

• Calibration, integration and practical implementation techniques

Richard Black, Senior Director of Financial Engineering, ALGORITHMICS

Diversification is no free lunch

• How far is the German insurance industry really diversified?
• Which old and new opportunities for diversification exist?
• Where are the limits of diversification?
• How to organise diversification?
• Lessons from the credit crisis

Uwe Siegmund, Chief Investment Strategist, R+V INSURANCE GROUP

REPLICATING PORTFOLIOS AND ALM

• What is a replicating portfolio and how can it be calculated?
• Examining the purpose and uses of a replicating portfolio
• Managing the convexity risk of the life insurance business

Olivier Aubry, Managing Director and Head Risk Modeling & Reporting, AXA GROUP

Afternoon Break

CRO Forum Perspective

• Examining the future challenges of risk and capital management in the insurance industry
• Enabling risk diversification across countries
• Calibration in risk assessment: implementing a framework that can deal with different market conditions
• What can insurers take from bank risk management strategies and processes?

Roger Dix, Associate Member, CRO FORUM

Panel: Understanding and utilising variable annuities for competitive advantage

• Overview of the variable annuity market and recent product developments
• Marketing and distribution of variable annuities
• Customer education on variable annuity products
• Risk management challenges
• Integrating risk into product development
• Pricing and hedging variable annuities

Colin Bell, Market Optimisation Manager, AEGON SCOTTISH EQUITABLE
Karl Happe, Head of the European Hedge Platform, ALLIANZ INVESTMENT MANAGEMENT SE
Fabian Rupprecht, Head of Life, AXA-WINTERTHUR

Chairman’s closing remarks

End of Summit