Abstracts
Thursday, September 23, 2004, from 13:30 to 14:00 Harald Gössl
Gewinnbeteiligung bei modernen Lebensversicherungsprodukten und die Aufgaben des Aktuars
Ausgehend von einer kurzen Darstellung der Gewinnmechanismen der
traditionellen Lebensversicherungsprodukte wird die prämienbegünstigte
Zukunftsvorsorge erläutert. Dabei wird insbesondere auf die
produktspezifischen Risiken und die aufsichtsrechtlichen Unterschiede
eingegangen. Besonderes Augenmerk in diesem Zusammenhang wird auf die
Regulierung des Höchstzinssatzes sowie auf die Aufgaben und Meldepflichten
des verantwortlichen Aktuars gelegt.
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Thursday, September 23, 2004, from 14:05 to 14:35 Oskar Ulreich
Kapitalanlagen der Versicherungsunternehmen in einem deregulierten Umfeld - Status Quo und Ausblick
Im Vortrag wird zuerst auf die Systematik der Kapitalanlagevorschriften für
Versicherer eingegangen. Nach einer Darstellung der Anlagemöglichkeiten und
deren quantitative Beschränkungen wird die derzeitige Asset-Allocation
beschrieben. Zuletzt soll aufgezeigt werden, dass ein modernes
Risikomanagement unter den Prämissen der derzeitigen Kapitalanlagevorschriften Probleme aufwirft.
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Thursday, September 23, 2004, from 14:55 to 15:25 Markus Fulmek
Kurzgefaßte Grundbegriffe der Finanz- und Versicherungsmathematik
Zinsen, Sterbetafeln und Barwerte als Grundlage der "klassischen
Versicherungsmathematik", Elemente der mathematisch-statistischen
Modellierung.
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Thursday, September 23, 2004, from 15:30 to 16:10 Uwe Schmock
Eine Einführung in Risikomaße und Kapitalallokationsprinzipien
Die Quantifizierung des Risikos, die Zuweisung
von Risikokapital an die Geschäftseinheiten eines
Finanzinstituts und die Berechnung des Gewinns in
Relation zum Verlustrisiko sind wichtige
Hilfsmittel für die Risikokontrolle, die
Leistungsmessung und die strategische Führung
eines Unternehmens. Die gleichen Prinzipien sind
anwendbar auf Portefeuilles ausfallgefährdeter
Anleihen und Kredite.
Im Vortrag werden die Nachteile von Value-at-Risk
rekapituliert, kohärente und konvexe Risikomaße
vorgestellt sowie ihre Eigenschaften, zum Teil
anhand von Beispielen, diskutiert. Ein
axiomatischer Ansatz für zugeordnete Prinzipien
zur Allokation von Risikokapital wird diskutiert
und die Kapitalallokation nach erwartetem Verlust
ausgeführt.
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Thursday, September 23, 2004, from 16:40 to 17:20 Hubert Schicketanz
Modellierung der Verpflichtungsseite eines Lebensversicherungsvertrags
Im Vortrag werden zuerst die "klassischen" Methoden in der Modellierung der
Leistungsversprechen von Lebensversicherungen und Pensionskassen dargestellt.
Im zweiten Teil werden die für das ALM relevanten Beziehungen zur Aktivseite
untersucht und die Grenzen in der Anwendung deterministischer Verfahren
aufgezeigt. Schließlich werden die Grundsätze der stochastischen Modellierung der diesen Verträgen zugrundeliegenden Risiken anhand einfacher Beispiele erläutert.
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Thursday, September 23, 2004, from 17:25 to 17:55 Stefan Pichler
Replikation von Zahlungsströmen und Zinsstruktur
Die Bewertung von in der Zukunft liegenden Zahlungsansprüchen ist eines
der wesentlichen Grundprobleme im ALM. Diese Präsentation führt in das
Barwertkonzept zur Bewertung von Zahlungsströmen ein. Es wird gezeigt,
dass in vollständigen Märkten durch die Bildung von Replikationsportfolios eine eindeutige Bewertungsregel für Zahlungsansprüche und damit eine bewertungsrelevante Zinsstruktur existiert.
Dabei wird auf die Bedeutung der für die Replikation und für das Hedging notwendigen Zinsinstrumente (vor allem Swaps) näher eingegangen.
Besonderes Augenmerk wird auf die Qualität von Schätzverfahren und Datenanbietern für Zinsstrukturkurven gelegt, wobei vor allem die Frage nach der Verfügbarkeit (der für das ALM in Versicherungen wichtigen) langfristiger Zinssätze im Mittelpunkt steht.
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Friday, September 24, 2004, from 09:00 to 09:40 Peter Braumüller
Developments in Insurance Markets and Supervision
Recent developments in the markets have made the supervision of insurance companies and groups much more challenging for supervisors world-wide. In order to protect the policyholders’ interests and to maintain well-functioning insurance markets, supervisors have to focus in particular on the insurance companies’ solvency. The concept of solvency includes the calculation of sufficient technical provisions, the coverage of those provisions by appropriate assets and adequate capital. Recent years have clearly demonstrated the need for effective risk management and – more specifically – for asset liability management. European Union legislation has launched its Solvency II project and the International Association of Insurance Supervisors is developing standards for effective risk management. Those developments pose challenges to both the market participants and the supervisors.
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Friday, September 24, 2004, from 09:45 to 10:25 Dieter Reichelt
IFRS and Solvency - Relating Statutory Reporting and Risk Management
In the context of deregulated and volatile capital markets, the integrated control of financial and technical results is a central factor for success. For a long time however, many insurance companies regarded it as sufficient to control risks by just doing statutory accounting and fulfilling regulatory requirements, so that quantitative methods of modern risk management were used only insufficiently. The capital market crises of the last years made clear that modern methods of risk management must exceedingly be applied in the future.
In the European supervisory legislation, as well as in the international accounting rules, big changes are approaching during the next years. In the future both areas will refer explicitly to the methods of asset/ liability management.
In our contribution we would like to highlight the relations between the theory of risk management and the (future) practice of accounting to the value of these attempts for enterprise control.
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Friday, September 24, 2004, from 10:55 to 11:35 Ulrich Gauss
The Implementation of ALM at Allianz Lebensversicherungs-AG, Stuttgart
In 1998 Allianz Leben started to develop a stochastic ALM model. The typical Anglo-Saxon ALM concept does not consider adequately the statutory accounting. For a German life insurer, it is not possible to look only on the economic side because profit participation and solvency are defined on the accounting basis. Therefore we decided to run a simultaneous stochastic simulation of market and book values. In the first part of the presentation we consider the main ideas of the ALM model of Allianz Leben.
In the second part we show results of an ALM analysis for a model company. Using different rules for the investment strategy and the crediting policy, we get useful information on the risk situation, the strategic asset allocation and the profit participation. Most of the risk parameters we look at are defined on the balance sheet level whereas return parameters are based on the portfolio level. Regarding the percentiles of the reached equity ratio, one can analyse the "quality" of reaching the plan.
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Friday, September 24, 2004, from 11:40 to 12:20 Michel Dacorogna
Addressing Current Modelling Challenges in DFA
Risk Measures, Dependence, Modelling of the Economy, Credit Risks
The insurance industry is leaving one of its worst periods in modern history. Deregulation, increasing liability risks and decreasing income yield from financial markets are putting a heavy load on their capital. Challenging times can be taken as an opportunity to develop new approaches to cope with the problems. It becomes more and more apparent that a state-of-the-art modelling of both sides of the balance sheet is an essential part of a sound management of an insurance company. That is why the Dynamic Financial Analysis (DFA) methodology has been developed.
DFA is the use of large scale stochastic simulation models for the holistic, integrated multi-period analysis of non-life (re)insurance business. The goal of our talk is to provide an overview of the critical ingredients of such a tool to cope with extreme situations. We will start by investigating the economic and technical environment that give rise to the genesis of DFA. Then we will emphasize through practical examples and calculated results the importance of three factors: a good risk measure, a sound model for the evolution of the world economy and a good handling of non-linear dependencies. We shall conclude by discussing the advantages and difficulties of a multi-year versus a one-year model.
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Friday, September 24, 2004, from 13:50 to 14:30 Michaela Attermeyer
The Balance of Assets and Liabilities in Austrian Pension Funds
In 2002, BVP-Pensionskasse, one of the largest multi-employer pension funds in Austria, started with the implementation of the proprietary Asset-Liability-Management-Tool in its different "investment and risk groups" ("VRG's"). Depending on the underlying pension plan(s) each VRG has to meet a specific target return to be "in balance".
We discuss the main functions of the ALM-Tool for both the asset side and the liability side. Liability modelling for each VRG comprises the analysis of the pension plan, the simulation of the pension capital (actuarial reserve, fluctuation reserve) in the future and the calculation of future net cash flows. Asset modelling for a pension fund means first of all the definition of target returns, the description of the investment universe with the expected returns, volatilities and correlations between the asset classes.
We describe the optimization process and show how legal and individual constraints are considered in the ALM-Tool. We present an example for an efficient portfolio with its specific risk/return figures and illustrate the shortfall- and underfunding risk for the pension fund and its shareholders.
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Friday, September 24, 2004, from 14:50 to 15:30 Michael Koller
Life Insurance Economics
We discuss the valuation of life insurance contracts in relation to risk and ALM.
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Friday, September 24, 2004, from 15:35 to 16:15 Guido Schätti
Integrated Risk and Capital Management as Enterprise-wide ALM
Asset liability management (ALM) means a number of different things to different people. It is the objective of this presentation to show the meaning of ALM within an integrated enterprise-wide management framework for risk and capital. The presentation in particular aims to give a practitioner's view on ALM issues as they typically arise in an insurance or reinsurance company. Various aspects will be addressed like insurance liability modelling, risk measurement and aggregation, risk controlling, investment strategy setting, efficient use of capital, regulatory and accounting constraints.
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Friday, September 24, 2004, from 16:45 to 17:25 Thomas Dockal
The Implementation of DFA at Generali Holding Vienna
Generali Holding Vienna started with the implementation of ALM for the life part in 2001 and integrates now dynamic financial analysis for the non-life part to get a complete picture of both parts for its ALM. The extension of the existing value-based controlling concepts (revenue accounting, EVA) with a risk-based approach becomes more and more necessary, as we saw in the past. In addition, the requirements of the regulatory authority are still increasing.
The presentation shows the process of implementation according to the ALM-scope of the company, the requirements on the data side, the way of modelling the business and the possible integration of the results in the "daily routine".
Furthermore, the presentation should give an idea of possibilities and restrictions that we experience with DFA in the reality.
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Friday, September 24, 2004, from 17:30 to 18:10 Günther Weiß
Decision-Making in an ALM Framework in the Property and Casualty Insurance
I will show how the tools ALM and DFA work in the property and casualty field, with special consideration of the reinsurance. HDI Austria has implemented these tools since 2001 and each year the systems have been improved and the results of this project will be presented in this workshop. The main issue will be the technical side of insurance business in the ALM project. The correlations of different business lines and the volatility between the technical and the non-technical side will be shown, under the aspect of the probability of default of a company. At the end of the day the question should be answered, whether these models will deliver a useful tool for decisions or not.
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Saturday, September 25, 2004, from 09:00 to 09:40 Christian Hipp
Stochastic Control in Insurance
In this survey we consider the application of stochastic control methods to
the fields of asset liability management and of integrated risk management. When a model for all the risks to be considered is completely specified and Markovian, then optimal risk management strategies can be derived from the solution of the Hamilton-Jacobi-Bellman equation. As risk management strategies we take continuous adjustments of the portfolio of assets, of
reinsurance programs, of premia/ volume, or of several of these control
actions. Optimization will be done with respect to given objectives such as survival probability or value of the company which are maximized, or with respect to more than one objective for which Pareto optimality is achieved. Explicit solutions to the resulting Hamilton-Jacobi-Bellman equations are never available, but nontheless some qualitative statements on the optimal strategies can be derived. Furthermore, numerical algorithms are known which produce good approximations to the above solutions. Using
these algorithms, the behaviour of optimal strategies and of the controlled
risk process are investigated in various typical examples from non-life insurance, with particular emphasis on large claims cases.
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Saturday, September 25, 2004, from 09:45 to 10:25 Alois Geyer
Some Aspects of the Innovest Pension Fund Planning Model InnoALM
We present some aspects of the financial planning model InnoALM developed by Innovest. The model uses a multiperiod stochastic linear programming framework with a flexible number of time periods of varying length. Uncertainty is modeled using multiperiod discrete probability scenarios for the random returns and other model parameters. The correlations across asset classes, of bonds, stocks, cash and other financial instruments, are state dependent using multiple correlation matrices which correspond to different market conditions. Austrian pension law and policy considerations are modeled as constraints in the optimization. The concave risk-averse preference function is to maximize the expected present value of terminal wealth at the specified time horizon net of expected discounted convex (piecewise linear) penalty costs for wealth and benchmark targets in each decision period. We present some results to illustrate several features of the model.
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Saturday, September 25, 2004, from 10:55 to 11:35 Anna Rita Bacinello
Equity-linked Policies with Embedded Options
Life insurance contracts are often rather complex products that embed various kinds of options, more or less explicitly defined. The most popular implicit options are implied by the presence of minimum guarantees in equity-linked life insurance contracts. In particular, Brennan & Schwartz and Boyle & Schwartz were the first who recognized such options in the second half of the seventies, and applied the recent results from option pricing theory initiated by Black & Scholes and Merton in the first half of the same decade. The interest rate risk, along with the longevity risk, underlie another important option that is sometimes offered to policyholders: the option to convert a future lump sum, typically a survival benefit, into a life annuity at a guaranteed annuity rate. Several life insurance products are also equipped with a typical American-style option, the surrender option, that entitles the policyholder to early terminate the contract and to receive a (usually guaranteed) cash surrender value. The recent evolution of financial markets has dramatically highlighted that these and similar options cannot be ignored, even if they appear very deep out of the money. In this conference we will illustrate how the traditional actuarial techniques, based on pooling arguments, can be combined with modern financial tools, based on the no-arbitrage principle, in order to price, and possibly hedge, such complex products.
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Saturday, September 25, 2004, from 11:40 to 12:20 David Wilkie
Best Estimates, Fair Values and Prudent Reserves: the Example of Reserving for Guaranteed Annuity Options
The speaker, jointly with two colleagues, Professor Howard Waters and Dr
Sheauwen Yang, presented a long paper in 2003 on "Reserving, Pricing and
Hedging for Policies with Guaranteed Annuity Options" (British Actuarial
Journal, Vol 9, pp 263-425, 2003). In it are discussed the three different concepts of "best estimate", or mean value, quantile or value-at-risk contingency reserves, and "fair value", which allows for the best estimate plus a charge for the "rent" of the extra capital needed to finance the required contingency reserves. Hedging, using option pricing principles, may reduce the required contingency reserves, but not to zero. Hedging usually increases the mean cost, so the fair value may either increase or reduce. These are quite general concepts, applicable to any form of insurance, not just to policies with guaranteed annuity benefits.
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Saturday, September 25, 2004, from 13:50 to 14:30 Hans Bühlmann
Multidimensional Actuarial Valuation and Risk Management
Actuarial valuation should be understood in a first step as an expression
of liabilities in units. These units form the Valuation Portfolio (VaPo). Whereas this valuation portfolio is typically well defined, there are many ways to assign a monetary value to it. Asset liability management can always be understood as the management of the difference of the valuation portfolio and the asset portfolio (again it is important to compare the two portfolios per se and not only their monetary value).
Mathematical modelling should clearly separate the construction
of the VaPo from the accounting mapping which assigns monetary values to it.
With this setup the value of the VaPo can be used as the appropriate numeraire for ALM purposes.
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Saturday, September 25, 2004, from 14:35 to 15:15 Damir Filipovic
Swiss Solvency Test for Insurers
We discuss some aspects of solvency capital requirements for insurance
undertakings. Focus is on the Swiss Solvency Test and its first test run.
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Saturday, September 25, 2004, from 15:45 to 16:25 Christoph Krischanitz
Managing the Insurance Equity in an Asset-Liability-Framework
Since Solvency II it is clear, that one of the main issues in
risk measurement and risk management is the amount of equity. If the insurance company is willing to keep the level of company risk or the solvency margin fixed, it has to react in a prudent manner on changes in the risk environment. Look, as an example, on the rate of premium adjustments in relation to the rate of changes of the average claim size, where bonus-malus systems protect us from the frequency risk. As we will see from DFA, it is not obvious from a solvency point of view, that the necessary adjustment rate of premiums equals the change rate of the claim sizes.
Effects and requirements on future product developments will be discussed.
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Saturday, September 25, 2004, from 16:30 to 17:10 Georg Pflug
Optimal Management of Unit Linked Life Insurance with Guarantee
We consider a unit linked life insurance contract, for which death benefits and minimal guarantee survival benefits depend on the performance of a certain fund. The management goal is to make sure that all liabilities can be fulfilled, and that the guarantee is secured, while the client's overall survival return is maximized. The idea is to optimally allocate the capital in three asset categories: (1) in a riskless or low risk bond, (2) in the underlying fund, and (3) in short term insurance to cover mortality risk. The insurance is therefore not automatically part of the investment, but is only taken, when needed. We show how such a policy improves the expected overall return, while keeping the liquidity constraints.
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