The Art and Science of Risk Modeling: Insights from Reinsurance

Overview

Internal models for reinsurance companies serve many purposes beyond the calculation of solvency capital requirements. They are a risk management system for the analysis of the overall risk situation of the (re)insurance undertaking, to quantify risks and/or to determine the capital requirement based on the company specific risk profile.

In this presentation our speaker, Dr. Eva Schläpfer de Montmollin, a Senior Risk Modeler at SCOR, will discuss:

The typical risks and challenges in reinsurance modeling
How to model dependencies between those risks
Internal models and their use cases
How to consider systemic and long-term risks like climate change or inflation

Agenda

5:00 – 5:30 pm: Registration

5:30 – 5:35 pm: Welcome and Introductions

5:35 – 6:30 pm: Presentation with Q&A

6:30 – 7:30 pm: Networking Reception

Attendees qualify for 1 GARP CPD credit.

Details

June 22, 2023
5:00 PM - 7:30 PM

In-Person

Credit Suisse Zurich, Uetlibergstrasse 231, Zurich, 8045

Chapter Directors

Alessandro Mauro
FRM

Jing Lue Gramespacher
Head of Methodology and Governance for Market and Liquidity Risk Credit Suisse Switzerland AG

Committee Members

Christian Schuetz
Executive Director Credit & Methodology Risk Change Head Model Architecture Europe Risk Control UBS AG

Alexandros Sanos
Global Director Sales Strategy & Execution Commodities Refinitiv

Dr. Eva Schläpfer de Montmollin

Dr. Eva Schläpfer de Montmollin is a senior risk modeler in the Risk Capital team at SCOR, where she is responsible for capital projections in the context of internal models. Before taking on this role, Eva led the Risk Analysis team. Previously she coordinated interactions between SCOR Group and its legal entities concerning the use of internal model and made significant contributions to the development and implementation of the integrated quantitative risk management system of SCOR Group.

Prior to joining SCOR, Eva held various actuarial roles at Zürich Financial Services, including leading a team of actuaries developing pricing methodologies and implementing a widely used pricing platform. Eva holds a PhD and MSc in mathematics from the university of Fribourg in Switzerland and is a fully qualified actuary (SAV and DAV).

Chapter Meeting

Switzerland