(Last modification: 10 July 2003)
1.
Asset Liability Management (15 lecture hours: 7,
8, 9 July)
First
12 hours: Lesław Gajek (Technical University of Łódź)
-
Duration
-
Cash
flow matching
-
Default-free
term structure models
-
Mortgage-backed
securities
-
Corporate
and municipal bond models
-
Estimation
and calibration of models
-
Data
problems and solutions
-
Cash-flow/stress
testing
-
Value
at Risk (VaR).
Last 3 hours (9 July): Wolfgang Hoffmann &
Aleksander Rejman (Tillinghast – Towers Perrin)
-
Use and purpose of ALM in European life
companies
-
Current trends in ALM in Europe
-
Case studies
-
Implementation issues
2.
Embedded Value and Profit Testing (10
lecture hours: 10, 11 July)
Wolfgang Hoffmann & Aleksander Rejman
(Tillinghast – Towers Perrin, Germany)
- Embedded Value and value added analysis
-
Components
-
Assumptions
-
Methodology
-
Practical issues
-
Internal and external uses
-
Published embedded values
-
examples and case studies
-
Limitations and enhancements
-
Economic/fair values and market consistent
valuations
-
Practical examples and exercises
3. Accounting and reporting (10 lecture hours: 14, 18 July)
Dominik Januszewski, Jakub Wysoczański & Marcin
Dymek (Ernst & Young Polska)
-
Accounting standards and their comparison (Local Accounting Standards,
IAS, US GAAP),
-
Main principles of Accounting
-
Main principles of Insurance Companies
Accounting
-
Acquisition and claim handling costs in life
and non-life insurance
-
Principles of Asset pricing
-
Types of reinsurance and reinsurance accounting
4. Statistical Methods in
Ratemaking and Reserving, with emphasis on reserving (15 lecture hours: 15, 16, 17 July)
Richard
J. Verrall (City University, UK)
-
Stochastic reserving
-
Generalised Linear Models
-
Other methods
-
Premium rating
-
Bootstrapping
-
Bayesian methods
-
Other approaches (incl. GAM)
5.
3 – 4 Evening Seminars:
9 July:
Asset Liability Modelling in MoSes
Adam Tyrer (Tillinghast – Towers Perrin)
16 July:
Pricing Forward-start Options in the HJM Framework. Evidence from the Polish
Market
Piotr Sztuba, Aleksander Weron
(Wrocław Technical University)
Daily schedule:
|
Lecture 1 |
Lecture 2 |
Break |
Lecture 3 |
Lecture 4 |
Lecture 5 |
Ev. Semin. |
|
830 – 920 |
930 – 1020 |
1020 – 1050 |
1050 – 1140 |
1150 – 1240 |
1250 – 1340 |
1700 - 1800 |
Programme Committee:
Michał
Górski, Polish Society of Actuaries
Dr
Wojciech Otto, Warsaw University & Polish Society of Actuaries
Prof.
Marian Wiśniewski, Warsaw University & Polish Society of Actuaries