1. No category

Slovensko
aktuarsko
društvo
Solventnost 2 in MSRP faza 2
M- hotelu
Derčeva ul. 4, Ljubljana
11. in 12. oktobra 2011
Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenija
Davčna številka: 17081068, številka računa: 02038-0055144937
Slovensko
aktuarsko
društvo
Spoštovani!
Vljudno vas vabimo, da se udeležite strokovnega seminarja z naslovom Solventnost 2 in MSRP faza 2, ki bo
potekal
11. in 12. oktobra 2011
v M- hotelu, Derčeva ul. 4, Ljubljana.
Na seminarju bodo predavali priznani tuji in domači gosti: prof. dr. Mario Wüthrich, mag. Jernej Merhar, prof. dr.
Ermanno Pitacco, dr. Darko Medved, doc. dr. Aleš Ahčan, dr. Jože Sambt, mag. Aleš Tomažin in Imrich Lozsi.
Prvi dan bo seminar pokril izbrane teme v povezavi z Solventnostjo 2, drugi dan pa bo bolj posvečen spremembam
računovodskih standardov. Obravnavali bomo tako življenjska kot tudi neživljenjska zavarovanja. Seminar je
namenjen vsem aktuarjem pa tudi ostalim specialistom, ki se ali se nameravajo ukvarjati z novo zakonodajo
Solventnost 2 in MSRP 2. Teorija bo podkrepljena s praktičnimi primeri, seveda pa bo tudi nekaj časa za aktivno
sodelovanje v diskusijah.
Kotizacija za udeležbo na seminarju je za člane Slovenskega aktuarskega društva 350 EUR (za ostale 400 EUR),
in vključuje kosilo ter pogostitev v odmorih.
Vljudno vas vabimo, da se seminarja udeležite v čim večjem številu.
Udeležba na seminarju šteje za 50 točk formalnega PSI.
Prosim, da udeležbo potrdite na elektronskem naslovu društva: [email protected] s pripisom: »za orga-team
Seminar« najpozneje do 30. 9. 2011. Kotizacijo plačate na račun društva s pripisom »kotizacija - seminar
Solventnost 2 in MSRP faza 2«, številka računa: 02038-0055144937.
Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia
1
11. in 12. oktobra 2011
Slovensko
aktuarsko
društvo
Urnik:
Torek 11.10. 2011 – izbrane teme iz Solventnosti 2
Čas
8.30–9.00
9.00–10.00
10.00–10.15
10.15–11.15
11.15–11:30
11.30–12.30
12:30–13.30
Naslov predavanja
Prijava, čaj/kava
Trikotniška metoda plačanih nastalih škod
Odmor
Dodatek za tveganje za portfelj neživljenjskih
zavarovanj v izteku
Odmor
Časovna struktura netvegane obrestne mere
Kosilo
13.30–15.30
Kapitalske zahteve za dosmrtno rento z upoštevanjem
dolgoživosti: notranji modeli vs. standardna formula
15.30–15.45
Odmor
15.45–16.30
Metodologija izdelave Slovenskih rentnih tablic – 1.
Del
16.30–16.45
Odmor
16.45–17.45
Metodologija izdelave Slovenskih rentnih tablic – 2.
Del
Predavatelj
prof. dr. Mario Wüthrich
prof. dr. Mario Wüthrich
mag. Jernej Merhar
prof. dr. Ermanno Pitacco
prof. dr. Ermanno Pitacco,
dr. Darko Medved, doc.
dr. Aleš Ahčan, dr. Jože Sambt
prof. dr. Ermanno Pitacco,
dr. Darko Medved, doc.
dr. Aleš Ahčan, dr. Jože Sambt
Sreda 12.10. 2011 – MSRP faza 2
Čas
8.30–9.00
9.00–10.00
10.00–10.15
10.15–11.15
11.15–11:30
11.30–12.30
12:30–13.30
13.30–15.30
15.30–15.45
15.45–16.45
16.45–17.00
Naslov predavanja
čaj/kava
Povzetek glavnih sprememb
Odmor
Pripoznanje in merjenje
Odmor
Margins, diskontirana vrednost
Kosilo
Predstavitev in razkritja
Odmor
MSRP in Solventnost 2
Zaključek
Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia
Predavatelj
mag. Aleš Tomažin & Imrich Lozsi
mag. Aleš Tomažin & Imrich Lozsi
mag. Aleš Tomažin & Imrich Lozsi
mag. Aleš Tomažin & Imrich Lozsi
mag. Aleš Tomažin & Imrich Lozsi
2
11. in 12. oktobra 2011
Slovensko
aktuarsko
društvo
Povzetki predavanj:
Izbrane teme iz Solventnost 2 – prof. dr. Mario
Wuthrich
Časovna struktura netvegane obrestne mere – g.
Jernej Merhar
Trikotniška metoda plačanih nastalih škod
V izračunu ZTR je potrebno diskontirati povprečne
pričakovane denarne tokove s časovno strukturo
netvegane obrestne mere. Predstavljena bo metoda
na podlagi katere se bo določala časovna struktura
netvegane obrestne mere z upoštevanjem metode
ekstrapolacije, določitev »ultimate forward rate« in
zajem podatkov za določitev diskontnih stopenj v
okviru, kjer so na razpolago finančnih instrumenti
(Swaps).
Predstavljen bo nov stohastični model za škodne
rezervacije glede na plačane in nastale škode. Glavna
ideja je združitev dveh modelov škodnih rezervacij
(model Hertigov (1985) in model Gogoljev (1993)), kar
vodi do lognormalnega trikotniškega modela plačanih
nastalih škod (PIC). Z uporabo Bayesovega pristop za
modeliranje parametrov pridemo do porazdelitvene
funkcije škodnih rezervacij.
Solvency 2 requires that probability waighted average
of future cash flow takes into account time value
of money using the relevant risk free interest term
structure. The presentation will focus on the method
how risk free term structure will be determined. This
process requires definition of financial instruments
extrapolation mathod and ultimate forward rate.
We present a novel stochastic model for claims
reserving that allows to combine claims payments
and incurred losses information. The main idea is to
combine two claims reserving models (Hertig’s model
(1985) and Gogol’s model (1993)) leading to a lognormal paid-incurred chain (PIC) model. Using a
Bayesian point of view for the parameter modeling we
derive in this Bayesian PIC model the full predictive
distribution of the outstanding loss liabilities.
Kapitalske zahteve za dosmrtno rento z upoštevanjem
dolgoživosti: notranji modeli vs. standardna formula
– g. Ermanno Pitacco
Dodatek za tveganje za portfelj neživljenjskih
zavarovanj v izteku
Za namene ugotavljanja solventnosti morajo
zavarovalnice izračunavati tako imenovano najboljšo
oceno rezervacij in dodatek za zavarovalno-tehnična
tveganja (ki jih ne moremo zaščititi s tržnimi
inštrumenti). V aktuarski praksi izračun dodatka
za tveganje ne temelji na enem modelu,temveč na
uporabi več različnih ad-hoc metod. V tem članku
pravilno opredelimo pojme in uvajamo izkrivljenosti
zavarovalno-tehnične verjetnosti. Opišemo, kako jih je
mogoče konsistentno uporabiti za izračun dodatka za
tveganja za portfelj v izteku.
Prehod iz Solventnosti 1 na režim Solventnost 2
za življenjska zavarovanja pomeni številna nova
vprašanja. To se nanaša zlasti na:
- koncept »zahtevane ustreznosti« (dodatek za
tvegnje in minimalni kapital);
- možnost uporabe internih modelov za oceno
tveganja in solventnosti, namesto standardne
formule.
Predavanje bo posvečeno omenjeni problematiki, v
okviru ukrepov za obvladovanje tveganja dolgoživosti.
Podani bodo številni praktični primeri, ki bodo
omogočili ponazoritev različnih vidikov solventnosti.
For solvency purposes insurance companies need to
calculate so-called best-estimate reserves and a risk
margin for non-hedgeable insurance-technical risks.
In actuarial practice, the calculation of the risk margin
is not based on a sound model but various ad-hoc
methods are used. In the present paper we properly
define these notions and we introduce insurancetechnical probability distortions. We describe how the
latter can be used to calculate a risk margin for run-off
risks in a consistent way.
The transition from Solvency 1 to Solvency 2 regime
in life insurance implies a number of new issues. In
particular:
- the concept of “adequacy requirements” (risk
margin and solvency capital);
- the possibility of adopting internal models for risk
and solvency assessment, instead of the standard
formula.
The seminar will specifically focus on these issues,
Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia
3
11. in 12. oktobra 2011
Slovensko
aktuarsko
društvo
in the framework of risk-management actions aiming
at facing the longevity risk. Numerical examples will
be provided in order to illustrate various aspects of
solvency requirements.
bo razdeljena na naslednje štiri dele: Napovedovanje
smrtnosti (Ermanno Pitacco), Poissonov log-bilinearen
model (Aleš Ahčan), Modeliranje umljivosti glede na
vzrok (Jože Sambt) in Učinek selekcije pri kupcih rent
(Darko Medved).
Metodologija izdelave Slovenskih rentnih tablic –
Ermanno Pitacco, Darko Medved, Aleš Ahčan, Jože
Sambt
With the introduction of Solvency II a consistent market
approach to the valuation of insurance assets and
liabilities is required. The current minimum standard
for valuing liability arising from the annuity business
in Slovenia is the German annuity tables DAV 1994
R. The DAV 1994 tables were used in the German
insurance industry up until 2005 when the new DAV
2004 R tables were introduced. The replacing of DAV
1994 R by DAV 2004 R in 2005 caused a rise in
premiums for deferred annuities in Germany of about
10% to 20% depending on people’s age and gender.
This is a substantial increase in premium rates and
an important question for the Slovenian insurance
industry in the Solvency II framework is whether
the DAV 1994 R tables are still sufficient or even
appropriate to measure the fair value of liabilities
arising from the annuity and pension business in
Slovenia. In 2010 mortality working party was
establish to find answers to this question. Members of
working party were prof. dr. Ermanno Pitacco, doc. dr.
Aleš Ahčan, doc. dr. Jože Sambt, dr. Darko Medved
and Robert Sraka. Project was financially supported
by Slovenian Insurance association. In our talk we
will present results of the project, which is based
on an application of the Lee-Carter methodology to
calculate the best estimate value of an insurance
annuity in Slovenia. Topic will be divided into four
parts: Projecting mortality (Ermanno Pitacco), Poisson
Log-Bilinear model (Aleš Ahčan), Modelling mortality
by cause (Jože Sambt) and Selection effect on annuity
purchasers (Darko Medved).
Uvedba Solventnosti II med drugim zahteva
konsistenten tržni pristop k vrednotenju sredstev
in obveznosti zavarovalnice. Trenutno veljajo v
Sloveniji nemške rentne tablice DAV 1994 R za
minimalni standard pri vrednotenju obveznosti, ki
izhajajo iz poslovanja z rentami. Z drugimi besedami,
za vrednotenje obveznosti iz naslova rentnih in
pokojninskih zavarovanj se v Sloveniji uporabljajo
nemške statistike umrljivosti rentnih zavarovancev.
Tablice DAV 1994 so se uporabljale v nemški
zavarovalniški industriji do leta 2005, ko so vpeljali
nove tablice DAV 2004 R. Zaradi zamenjave tablic
DAV 1994 R s tablicami DAV 2004 R so se v letu
2005 v Nemčiji dvignile premije za odložene rente
za okoli 10% do 20%, odvisno od starosti in spola.
Takšno povišanje premijskih stopenj je precejšnje in
se tako za slovensko zavarovalniško industrijo v okviru
Solventnosti II postavlja pomembno vprašanje, če so
tablice DAV 1994 R še vedno primerne za merjenje
poštenih vrednosti obveznosti rent v Sloveniji. V letu
2010 je bila ustanovljena posebna delovna skupina,
da bi odgovorila na to vprašanje. Člani delovne
skupine so bili prof. dr. Ermanno Pitacco, doc. dr.
Aleš Ahčan, doc. dr. Jože Sambt, dr. Darko Medved in
Robert Sraka. Projekt je finančno podprlo Slovensko
zavarovalno združenje. V naši predstavitvi bomo
prikazali rezultate projekta, ki temeljijo na uporabi
Lee-Carterjeve metode za izračun najboljše ocene
vrednosti življenjske rente v Sloveniji. Tema predavanja
Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia
4
11. in 12. oktobra 2011
Slovensko
aktuarsko
društvo
Na kratko o predavateljih:
Mario Wüthrich holds a PhD in mathematics from ETH
Zurich (Swiss Federal Institute of Technology Zurich).
From 2000 to 2005, he held an actuarial position at
Winterthur Insurance and was responsible for claims
reserving in non-life insurance as well as developing
and implementing the Swiss Solvency Test. Since
2005, he has been teaching actuarial mathematics
as professor at ETH Zürich. He serves on the board
of the Swiss Association of Actuaries (SAA) and is
editor of ASTIN Bulletin and of the European Actuarial
Journal.
Associate Editor of the international journals:
»Insurance: Mathematics & Economics”, “Decisions
in Economics and Finance”, “European Actuarial
Journal”, “Insurance Markets and Companies:
Analyses and Actuarial Computations”
Editor of the European Actuarial Academy series –
Educational part
Member of the Groupe Consultatif Actuariel Europeen
Duties in the International Actuarial Association (IAA):
member of the Education Committee, member of the
Mortality Working Group, and member of the IAA
Health Section Committee
In 1996 awarded with the INA prize for Actuarial
Mathematics from Accademia Nazionale dei Lincei.
Jernej Merhar is a Deputy Director of Insurance
Supervision Agency of the Republic of Slovenia since
May 2006 and also a head of the Actuaries, Statistic
and Informatics Section since June 2001. He started
his insurance business’ supervision career in 1994 as
an actuary at the Ministry of Finance. In 1995 when
the Office for Insurance Supervision of the Republic of
Slovenian was established as part of the Ministry of
Finance he continued his work as an actuary at that
Office. In 2000 he took the position of a lead actuary
in the Insurance Supervision Agency of the Republic
of Slovenia which was established as an independent
supervision institution over the insurance business in
Republic of Slovenia. As the head of the Actuaries,
Statistic and Informatics Section he is responsible
for examination and analysis of actuary’s reports, for
controlling the calculation of the technical provisions,
for monitoring insurance policy conditions and for
analyzing reinsurance programs. He is a member of
Financial Requirement Expert Group and a member
of Technical Provision Subgroup at the European
Insurance and Occupational Pensions Authority
(EIOPA). Since June 2007 till July 2009 he was a
leader of the Technical Provisions Subgroup at CEIOPS
(predecessor of EIOPA) and since July 2007 till
autumn 2010 a deputy of the Financial Requirement
Expert Group leader.
Darko Medved is a leading consultant at JMD
Consulting, specializing in actuarial theory and
practice. His doctoral thesis examined the actuarial
pricing of life insurance products. His current research
projects encompass the cost efficiency of insurance
companies, population mortality projections and
actuarial valuations of pension systems.
Aleš Ahčan is an Assistant Professor in Actuarial
Science in the Department of Finance and Banking of
the Faculty of Economics at the University of Ljubljana,
Slovenia. His current research projects focus on pricing
derivatives in incomplete markets, Bayesian mortality
forecasting, predicting stock bubbles and pension
problematic.
Jože Sambt is an Assistant Professor at the Faculty of
Economics of the University of Ljubljana. His research
projects focus on demographics changes and their
influences on public expenditure. He is the co-author
of Slovenian population life tables.
Ermanno Pitacco
Full professor of Actuarial Mathematics in the Faculty
of Economics, University of Trieste
Academic director of the Master in Insurance and Risk
Management at the MIB School of Management of
Trieste
Actuary, full member of the Istituto Italiano degli
Attuari (Italy), and affiliate member of the Institute of
Actuaries (UK)
Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia
Imrich Lozsi has more than ten year experience in
the insurance business on the consulting side. As
an audit actuary within KPMG, he cooperated with
a number of insurers on various financial reporting
topics under local accounting standards, IFRS and US
GAAP. He played key role in several IFRS conversion
projects during which he was mostly responsible for
5
11. in 12. oktobra 2011
Slovensko
aktuarsko
društvo
Aleš Tomažin holds a Master in actuarial science and
Master in information management science both from
Faculty of Economics from Ljubljana. From 2009 he
is Chief Actuary at Maribor insurance company. He is
a member of Slovenian actuarial association and from
2007 to 2010 led the Technical board of association.
coordinating actuarial aspects of the reporting process
and communicating actuarial matters to financial
reporting professionals. Imrich is a member of the
Czech Society of Actuaries, its working group for IFRS
/ Solvency II and also a member of the working group
for implementation of Pillar II requirements of Solvency
II in the Czech Republic, led by Czech Association
of Insurers. At present, he is conducting business at
consulting company in-pact.
Slovensko aktuarsko združenje, Železna c. 14, 1000 Ljubljana, Slovenia
6
11. in 12. oktobra 2011