Modelling Dependencies

Prime Re Academy is pleased to invite you to attend its workshop in Zurich, Switzerland in April 2018. Focus will be set on the following topic::

Modelling Dependencies

When quantifying or aggregating risks, it is crucial to account for dependencies and model them correctly. This is particularly relevant in the context of modern risk based solvency and capital schemes, such as the Swiss Solvency Test, Solvency II or the Mexican RCS scheme. Furthermore, modelling dependencies is also of utmost importance in reserving, pricing or risk transfer exercises involving more than one risk.

The workshop will present the main methods used in the insurance and finance industries:
- causal dependencies
- factor-models
- statistical dependencies: copulas
- compound Poisson processes and Lévy copulas
- model selection and their calibration 

It addresses both, the underlying theory and concepts as well as their practical implementations with Excel® templates. In particular, it will enable participants to model dependencies directly on their laptop, which can later be applied promptly in their daily assignments. Therefore please bring along your personal laptop.

Dates and Schedule

Monday, 9 April 2018


13.30 - 14.00 registration
14.00 - 18.30 workshop
18.30 -          dinner
Tuesday, 10 April 2018



09.00 - 12.30 workshop
12.30 - 14.00 lunch
14.00 - 18.30 workshop
18.30 -          dinner
Wednesday, 11 April 2018
09.00 - 12.30 workshop
12.30 -          lunch


CPD Credits

Attendance to each workshop will automaticall 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.

Lecturers

Dr. Frank CuypersDr Frank Cuypers
has 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.

Dr Pedro Fonseca    
is an expert in risk and data modelling, with 14 years of experience in the financial industry. Before joining Systemorph as head of Business Solutions, he headed the Risk Analytics & Reporting team at SIX, where he was responsible for quantifying and reporting risks across all business areas. Before that, he held various positions in the hedge fund, private equity, and risk data industries. Pedro holds a PhD in theoretical Physics from Rutgers University and frequently holds presentations and seminars.

Fees

CHF 1'600 early-bird if paid before or on 16 March 2018
CHF 1'900 if paid after 16 March 2018
CHF    600 for unemployed participants

A discount of CHF 500 for the third participant of the same company will be granted.

These fees are binding and must be transferred latest 30 March 2018 on the Credit Suisse account
SWIFT: CRESCHZZ80A
IBAN: CH53 0483 5173 5160 0100 0

Beneficiary: Prime Re Academy, c/o Prime Re Solutions AG, Lindenstrasse 2, 6340 Baar, Switzerland

They will be refunded in total in case of cancellation before 30 March 2018 or if the workshop must be cancelled.

The fees include:

- the workshop
- the documentation
- the prototypes in Excel®
- the dinners and lunches
- all Swiss taxes

Venue

SCOR Services Switzerland AG, General Guisan-Quai, 8022 Zurich
Phone +41 (0)44 639 93 93 (reception)
Dress casual and comfortable.
We suggest that participants from abroad reserve their hotel room in Zurich well in advance. Alternatively, they can ask us for assistance with booking a room at a convenient location.

Contact
Gaby Rutledge
+41 41 725 32 10
Prime Re Academy

Registration

Registration will be closed  30 March 2018.

Registration

By activating the registration button you will receive a confirmation E-Mail.
Please ensure the transfer of your fees before 30 March 2018.