Risk, Capital and Solvency Models - an ORSA Perspective

Prime Re Academy is pleased to invite you to a further workshop in Zurich, Switzerland during October 2017. The topic will be:

Risk, Capital and Solvency Models - an ORSA Perspective

The Swiss Solvency Test was implemented almost a decade ago and the experiences made with this tried-and-tested Swiss solution can serve as a basis for building quantitative risk, capital and solvency models for the purpose of an ORSA. The workshop familiarizes the participants with the tools they need to implement risk, capital and solvency models, and it enables them to put this acquired know-how into practice on the spot. This workshop takes place between the workshops “The Standard Model of the Swiss Solvency Test” and “The Standard Formula of Solvency II”. Therefore, the relating workshops can be combined.

During the workshop we shall build up in a modular way a prototype internal model in Excel®. Participants should therefore bring along their own laptops. In particular we will consider:

– Components of the economic balance sheet and the Basic Own Funds (discounted reserves, etc.)
– Components of the risk and the Solvency Capital Requirement (large and attritional losses, market risk, etc.)
– Reinsurance (proportional and non-proportional)
– Risk aggregation (Monte Carlo algorithmic, dependences and copulas, etc.)
– Meta-risks (parameter risk, replicating portfolios, deterministic stress scenarios, etc.)

Secondly, the participants shall apply the prototype internal model they have built to perform user tests. In particular they may consider:
– Portfolio planning
– Reinsurance optimisation
– Capital allocation

Dates and Schedule

Tuesday, 17 October 2017 13.30 – 14.00 registration
14.00 – 18.00 workshop
18.30 – 20.30 dinner
Wednesday, 18 October 2017 08.30 – 12.30 workshop
12.30 – 13.30 lunch
14.00 – 18.00 workshop
18.30 – 20.30 dinner
Thursday, 19 October 2017 08.30 – 12.30 workshop
12.30 – 13.30 lunch


CPD Credits

Attendance to the full workshop will automatically credit members of the Swiss Actuarial Association with 14 CPD credit points. Members of other actuarial associations will receive a certificate they can submit to their CPD committee.


Dr Frank Cuypers
Dr. Frank Cuypershas led numerous actuarial engineering and modelling courses and workshops in Europe and Latin America. He comes with a vast lecturing experience and a prominent scientific track record in modelling complex systems. As a Swiss Re Executive and Chief Actuary at the former Zurich Re in Cologne, he acquired a broad experience in most actuarial disciplines and lines of business, which he has deployed at KPMG and PwC to advise leading providers of financial services and Government Agencies. He is a fully qualified member of the German and Swiss Actuarial Associations (DAV and SAV), which he has served on numerous committees.

Prof. Karel Van Hulle
lectures at the Economics and Business Faculty of the KU Leuven (Belgium) and at the Economics Faculty of the Goethe University in Frankfurt where he is attached to the International Centre for Insurance Regulation. He is a member of the Insurance and Reinsurance Stakeholder Group of EIOPA and served as Head of Insurance and Pensions at the European Commission until 1 March 2013, where his main task was the development of Solvency II. He was a member of the Technical Committee of the International Association of Insurance Supervisors, of which he was nominated Distinguished Fellow in 2013. He was closely involved in the negotiations which lead to the equivalence decisions of the European Commission for Switzerland and for a number of other countries. He is a regular speaker at insurance and pension conferences around the world and is Honorary Fellow of the UK Institute and Faculty of Actuaries.

Simone Dalessi
graduated with a M.Sc. in mathematics from the University of Zurich, and comes with significant expertise in statistics and cryptology. He started his actuarial career with PRS, helping (re)insurers in their pricing, reserving, regulatory and solvency issues, and he has been instrumental in establishing several foreign insurer’s branch offices in Switzerland. He is a fully qualified member of the Swiss Actuarial Association (SAV).

For more details on their experience and expertise, please click here.


CHF 1’500
early-bird, if payment before or on 15 September 2017
CHF 1’800 if payment after 15 September 2017
CHF    500 for unemployed participants

A discount of CHF 500 for the third participant of the same company will be granted.
Following discounts are granted for the full Solvency week, however they pertain only to the three PRA workshops in October 2017 and may not be combined with other reductions and are valid only for the same participant:
CHF    500 for attendance of two workshops
CHF 1'000 for attandance of all three workshops

These fees are binding and must be transferred before 2 October 2017 on the Credit Suisse account
IBAN:CH25 0483 5111 8080 7100 0

Beneficiary: PRS Prime Re Services, c/o Prime Re Academy, Lindenstrasse 2, 6340 Baar, Switzerland

They will be refunded in total in case of cancelation before 2 October 2017 or if the workshop must be cancelled.

The fees include:

– the workshop
– the documentation
– the prototypes in Excel®
– the dinners and lunches


Hotel St. Gotthard, Bahnhofstrasse 87, 8021 Zurich, Switzerland
Hotel St. Gotthard
  +41 (0)44 227 77 00

Participants from abroad can reserve a room at approximately CHF 290 per night in the venue hotel. Alternatively, they can ask us for assistance in booking a room in another convenient location.


Gaby Rutledge
+41 41 725 32 10



By activating the registration button you will receive a confirmation E-Mail.
Please ensure the transfer of your fees before 2 October 2017.