Insurance Seminar at the Department of Mathematics 2022

Registration

• If you are not affiliated with UiO then click here to register. The participation fee is 2000 NOK. This includes participation to the seminar, refreshments and lunch.
• If you are affiliated with UiO you can register here. Participation is free of charge.
• The registration deadline is the earliest time between reaching the maximum number of participants and Friday, 22nd of April.

Topics of the day:

• Reserving models and the use of new technology
• Market valuation in life insurance
• Expected longevity and pensions
• Risk management in insurance
• Non-life insurance modelling
• University of Oslo's actuarial group and EVU-courses

Schedule

Abstracts and speakers

Time: 9:15-10:00
Title: The Future of Risk Management in Insurance
Speaker: Associate Partner Steinar F. Bye and Senior Manager Emil Mogstad, EY.

Abstract: How will risk management in insurance look in five years? Or in ten? What kind of challenges will the risk management functions face? Climate changes are increasing the risk of large claims, and developments in technology connects the world in increasingly complex ways. The risk landscape is changing more rapidly by the year. By automation of regulatory tasks, and shifting the focus to development of new methodology, we believe that the risk management function will become more familiar with its own risk and, in the long run, be able to provide the company with competitive advantages in the industry.
Info: Steinar is an Associate Partner in EY, and helps our clients with a wide range of topics within non-life insurance. He has long experience with risk management and finance from the insurance industry, first as a consultant in McKinsey, and later as the risk manager and CFO in marine insurance.
Emil is a Senior Manager in EY, and works with actuarial subjects and topics within risk management in life and non-life insurance. He has a background as a mathematician from UiO, and has previously worked with risk management and reserving in non-life and marine insurance.

Time: 10:00-10:45
Title: Pension wealth and expected longevity
Speaker: Researcher Elin Halvorsen, SSB.

Abstract: As a tool for pension policy analysis, Statistics Norway uses a stochastic dynamic simulation model called MOSART. The model includes numerous probability models and detailed pension rules, and is used for simulating future pension benefits and current pension wealth of the entire Norwegian population. One particular feature of the model is that expected longevity is dependent on socio-economic factors. In my presentation I will discuss the importance of an assumption about socio-economic differences in longevity for pension statistics and for policy evaluations of the pension system.
Info: Elin Halvorsen is a research economist at Statistics Norway. Her main research interests include studies of income dynamics, distributions of wealth and inheritance, and pension policy. She is currently in the unit for macroeconomic research in Statistics Norway, and holds a part time position at the University of Oslo.

Time: 11:00-11:45
Title: Generalized linear models for dependent frequency and severity of insurance claims
Speaker: Prof. Emeritus José Garrido, Concordia University.

Abstract: Traditionally, claim counts and amounts are assumed independent in actuarial models. This paper relaxes this assumption in a simple way, while incorporating rating factors into the model. We fit separate GLMs to the marginal frequency and the conditional severity components of the total claims; dependence is induced by using the number of claims as a covariate in the average claim size. This model is easy to implement, and if claim counts are assumed Poisson with a log-link for the conditional severity GLM, the pure premium becomes the product of a marginal mean frequency, a modified marginal mean severity, and a correction term that measures the dependence. Simulations and a Canadian auto insurance dataset illustrate the approach. Authors: J. Garrido (Concordia University), C. Genest (McGill University) and J. Schulz (HEC-Montreal)
Paper: http://dx.doi.org/10.1016/j.insmatheco.2016.06.006
Info: Dr. José Garrido is a Professor Emeritus at the Department of Mathematics and Statistics at Concordia University, in Montreal, Canada. After working as an actuarial analyst for Towers Watson in Montreal (then called TPF&C), Prof. Garrido received a Masters from Université Catholique de Louvain, in Belgium, and his PhD in 1987 from the Department of Statistics and Actuarial Sciences at the University of Waterloo, Canada. He is an Associate of the Society of Actuaries (SOA) and was an Associate of the Canadian Institute of Actuaries (CIA), from 2012 to 2021. His research interests are in Risk Theory, Loss Models, Insurance Statistics, Credibility Theory, Risk Management and Credit Risk, Machine Learning in Insurance, Predictive Modelling and Robust Statistics. Prof. Garrido has published more than 50 articles in international refereed journals and conference proceedings. He is Associate Editor of several journals, including Insurance: Mathematics and Economics and the North American Actuarial Journal, as well as an Editor of the European Actuarial Journal and of the open access journal Risks. Prof. Garrido is a past President of the Actuarial Section of the Statistical Society of Canada, past Chair of the Academic Research Committee of the CIA and has served on grant selection committees of NSERC and of the CAE grants of the SOA, as well as on the Scientific Committee of numerous international actuarial conferences. He is active in graduate education, having supervised 40 MSc, 14 PhD thesis and 8 postdoctoral students.

Time: 11:45-12:10
Title: Actuarial competence at UiO, the way forward
Speaker: Prof. Giulia Di Nunno, University of Oslo

Abstract: Education, collaboration, and research in actuarial science at UiO. We introduce our team of experts in risk and uncertainty, in the modelling of random phenomena and in the development of mathematical tools for quantification and analysis. We review our activities and launch our new projects.
Info: Giulia Di Nunno, professor and section leader of Risk and Stochastics at the Department of Mathematics, UiO. She is an expert in stochastic analysis and calculus for risk modelling and evaluation. She obtained her PhD in 2003 from the University of Pavia, Italy, and soon after she moved to UiO. She is author of about 60 research works including a monograph on Malliavin Calculus for financial modelling.Also, she is Associate Editor of various journals, including Finance and Stochastics. Besides the research activity, she has been involved in commissions and international activities for the development of mathematics in the global south. For her work in the establishment of several programs in this, she was awarded the renown ICIAM Su-Buchin Prize in 2019. At present she is president of the Scientific Council of CIMPA, UNESCO  partner institution.

Time: 13:10-13:55
Title: Developments in life insurance balance calculations: The Danish state-of-the-art
Speaker: Prof. Mogens Steffensen, Dept. of Mathematical Sciences, University of Copenhaguen

Abstract: We discuss recent developments in calculation of reserves for both guarantees and additional benefits. The distinction between Future Discretionary Benefits and Future Profits is key in modern accounting and solvency rules. We present market valuation ideas involving a) retrospective state-wise reserves and bonus, b) policyholder options, c) Reserve-dependence of Future Management Actions, d) Design of Future Management Actions. From both a theoretical and a practical point of view, these topics keep the Danish life insurance actuaries busy during these years.
Info: Mogens Steffensen is professor of life insurance mathematics at the University of Copenhagen. He has contributed to the development of market-based valuation methods in insurance. His research also covers various decision making problems within in insurance and finance, and he is recently mainly interested in integrating insurance and pension decisions into classical consumption-investment problems. He participates actively in industrial discussions about accounting, solvency, and risk management, and he has taken part in several research projects together with partners in the Danish pension industry. He is member of the board of directors and chairman of the audit committee of PFA Pension, the largest Danish commercial pension fund. 

Time: 14:10-14:40
Title: An Introduction to Counterparty Risk in Derivative Contracts
Speaker: Anders Øksendal, DNB

Abstract: The severe increases in credit spreads during the financial crisis revealed the significant levels of credit risk in derivative contracts. This triggered banks interest in modelling the combination of credit risk and exposure risk in derivatives contracts. We show the model setup and pricing principles for counterparty risk in some simple derivatives contracts.
Info: Anders Øksendal is Head of Market Making and Interbank, including DNB trading operations within FX, Repo and Interest rates.

Time: 14:40-15:25
Title: Taking advantage of new technology in claims reserving
Speaker: Trine Marie Ellingsen Rustad, Gjensidige

Abstract: Over the past years Gjensidige has developed cloud-based models to support the reserving process in the actuarial department. These models have some advantages compared to off-the-shelf solutions, giving us the opportunity to combine traditional models with more advanced and complex models, e.g., explore the usage of machine learning models.  This process has also helped meet increased regulatory demands for documentation and traceability through use of version control and regression testing.
Info: Trine Ellingsen Rustad, Head of the Norwegian Actuarial Dept. in Gjensidige Forsikring. Trine holds a M.Sc. in Modelling and Data Analysis from the University of Oslo and has been working in Gjensidige since graduating. She is a member of the Norwegian actuarial society and has formerly been a member of the society’s board and the non-life committee.

The seminar is partially financed by

If you have any questions, do not hesitate to contact David R. Banos, Åsmund H. Sande or Oriol Zamora Font.