Programme Overview

(Last modification: 12 July 2004)

1. Stochastic Modelling (15 lecture hours: 19, 20, 21 July)

Lecturer: dr. Russell Gerrard (Cass Business School, City University, London, UK)

The focus of this course is more practical than theoretical. Although we will be looking at the theoretical properties of the models, we will also look at methods of fitting the models to data, testing goodness of fit and simulating the resultant stochastic process. The computational work will be performed in Excel spreadsheets in order to ensure that the techniques are accessible to all participants.

The models considered will include:

• Random walks and Markov chains
• Poisson processes and some generalisations
• Markov jump processes and semi-Markov chains
• Brownian motion and Lévy processes
• Vasicek and Cox-Ingersoll-Ross models, with a useful generalisation

In addition to these standard models there will be a short introduction to the concepts of stochastic control, with two illustrations.

2. Market Consistent Embedded Value (10 lecture hours: 22, 23 July)

Wolfgang Hoffmann & Aleksander Rejman (Tillinghast – Towers Perrin, Germany)

22 July 2004

Introduction into MCEV

· EV, EV Earnings, EV Disclosure and problems with EV

· What is MCEV?

Calculation techniques

· Replicating portfolio, multiple discount rate, formulae, simulation

· Risk neutral valuation example with binominal trees

First and second example

23 July 2004

MCEV in more complicated situations

· Unit-linked with maturity guarantees

· With-profit business

Third example

Fourth example

Current development and outlook

· Regulation – UK, Swiss and the Netherlands

· CFO Forum Principles

Daily schedule:

Lecture 1	Lecture 2	Break	Lecture 3	Lecture 4	Lecture 5	Ev. Semin.
8^40 – 9^30	9^40 – 10^30	10^30 – 11^00	11^00 – 11^50	12^00 – 12^50	13^00 – 13^50	17^00 - 18^00

Programme Committee:

Dr Piotr Szlenk – (Chairman), Polish Society of Actuaries

Michał Górski, Polish Society of Actuaries

Dr Wojciech Otto, Warsaw University & Polish Society of Actuaries

Prof. Marian Wiśniewski, Warsaw University & Polish Society of Actuaries