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TIGI 2019 (Technical Issues in General Insurance)

25-26 April 2019

About this event

We’re pleased to offer this event which replaces the previous Pricing, Capital and Reserving seminars. 

Technical Issues in General Insurance (TIGI) is a two-day event, including a half-day programme on IFRS17, as well as 1.5 days of plenaries and workshops focussed on key technical issues in each of pricing, capital modelling and reserving areas of general insurance.

SPEAKERS INCLUDE

Bethan Faultless – a consultant for Willis Towers Watson working in the UK P&C team having been the Technical Pricing Manager for Markerstudy Group before that. She has an in-depth knowledge of all areas of insurance pricing with a more recent focus on using emerging machine learning techniques to solve practical insurance problems.

Matthew Lambert – a member of Willis Towers Watson’s pricing team with practical experience of using machine learning in a wide variety of use cases such as augmenting risk models and designing strategic segments for insurers to target.

Fred Karlinsky – Shareholder, Co-Chair Insurance Regulatory & Transactions Practice at Greenberg Traurig, LLP. Fred will present the G2: Pricing Workshop - Cyber Pricing from Florida via live stream

Renaud Million is the co-founder and CEO of SPIXII, an award-winning InsurTech company dedicated to helping more people get better protected through automated technology. Passionate about transforming the insurance industry, the move to start SPIXII was a natural fit. Renaud was named Young actuarial professional of the year 2017 by Insurance ERM.

James Orr – Chief Actuary for General Insurance at the Prudential Regulation Authority, part of the Bank of England Group. He is also the Head of Department for the General Insurance Risk Specialists within the PRA. His career has included working for Lloyd’s of London, time as a GI consultant, and five years with the PRA’s predecessor organisation, the Financial Services Authority.

 

CALL FOR SPEAKERS – CIGI AND GIRO

The newly formed General Insurance Lifelong Learning (GILL) Committee are busy preparing the General Insurance (GI) Continuing Professional Development (CPD) programme for 2019.

To support this broad agenda further, the GILL Committee has issued a call for speakers for the upcoming events - CIGI, and GIRO where we are looking for a diverse line-up of quality knowledgeable speakers to provide a variety of perspectives and challenges covering technical and professional non-life actuarial areas. We are interested in hearing about any current topics. Some potential areas may include:

  • Effect of Brexit on the insurance industry
  • Ogden Discount Rate
  • IFRS17
  • Inflation
  • Cyber Risk
  • AI and Machine Learning
  • Data Science
  • Market Disruption
  • Latest research from working parties

The call for speakers for CIGI will close on 3 May and GIRO/ potential webinar topics will now close on 31 May 2019. All submissions will be considered independently by the GILL Committee and we will get back to you shortly after the deadline. When submitting your proposal, please state the event you would prefer to speak at.

If you are  keen to share your extensive knowledge and technical expertise  of the GI industry please submit a proposal for one or more of the GI Seminars taking place this year

WITH THANKS TO OUR SPONSOR

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Registration Thu, 25/04/2019 - 08:30 - 09:00 Day One
Plenary session Thu, 25/04/2019 - 09:00 - 10:00 IFRS17: What should I be thinking about?

An overview of the roadmap to IFRS17. What should we all be doing now and where are implementation projects struggling. What is driving these and how might we start to think about the solutions.

Speaker: Helen Cooper, Hiscox

Transfer time Thu, 25/04/2019 - 10:00 - 10:10 Transfer time
Workshop Thu, 25/04/2019 - 10:10 - 11:00 Workshop Session A

A1: IFRS17 Introduction

A presentation designed for those who have limited knowledge of IFRS17. This workshop will cover the basics of implementation timeline, General Measurement Model and Premium Allocation Approach, Risk Adjustments and Onerous Contracts.

Speaker: Helen Cooper, Hiscox
 

A2: IFRS17 Complexity in Practise: PAA and Onerous Contracts - Retail Insurers

This workshop will be a facilitated group discussion of how companies may approach and develop practical approaches to some of the more complex and technical areas of IFRS17. This session will major on onerous contract testing and minor on premium allocation approach and coverage units.

Speaker: Alice Boreman, QBE

A3: IFRS17 Complexity in Practise: PAA and Onerous Contracts - Commercial Insurers

This workshop will be a facilitated group discussion of how companies may approach and develop practical approaches to some of the more complex and technical areas of IFRS17. This session will focus on: identifying premium allocation approach eligibility, coverage units and onerous contract testing.

Speaker: Santiago Restrepo, BDO

Refreshments Thu, 25/04/2019 - 11:00 - 11:30 Morning refreshments
Workshop Thu, 25/04/2019 - 11:30 - 12:20 Workshop Session B

B1: IFRS17 Current Hot Topics

A presentation summarising the hot topics within the standard  including PAA eligibility, identifying portfolios and groups of business, approach to reinsurance, risk adjustment and onerous contract testing.

Speaker: Graham Oswald, PwC

B2: IFRS17 Complexity in Practise: Risk Margin and Outwards Reinsurance – Retail Insurers

This workshop will be a facilitated group discussion of how companies may approach and develop practical approaches to some of the more complex and technical areas of IFRS17. This session will focus on: calculating a risk adjustment and outwards reinsurance approaches.

Speaker: Alex Lee, EY

B3: IFRS17 Complexity in Practise: Risk Margin and Outwards Reinsurance - Commercial Insurers

This workshop will be a facilitated group discussion of how companies may approach and develop practical approaches to some of the more complex and technical areas of IFRS17. This session will focus on: calculating a risk adjustment and outwards reinsurance approaches.

Speaker: Helen Cooper, Hiscox
 

Refreshments Thu, 25/04/2019 - 12:20 - 13:20 Lunch
Plenary session Thu, 25/04/2019 - 13:20 - 14:10 Plenary 1: Machine Learning: Now and in the Future

In recent years we have seen a rapid expansion of the use of machine learning and AI technologies, with their use now “business as usual” across many pricing and reserving teams. However, as experience with these technologies continues to grow, the impact to the industry is likely to become much wider.

In this talk Andy Rigby will begin by presenting a number of more advanced applications of machine learning, with a particular focus on these wider areas and how the deployment of these technologies might represent substantial changes to the risks and opportunities faced by the industry in the coming years.

With the rise of digital capabilities, consumers expect to do a lot with their mobile or desktop, from ordering an item to transferring money. Insurance services are not escaping these expectations. Immediacy is even more important and waiting on the phone is a terrible experience for customers especially when emotions are evolved such as when making a claim.

Due to the complex nature of insurance, personal experience is required to make these digital capabilities and service immediate, effective and relevant. Insurance chatbots coupled specific applications seem to be the right candidates to deliver on these expectations.

As chatbots and the services they perform give rise to an unprecedented amount of data, the use of machine learning is crucial to make sense of the data and derive actionable insights. In this talk, Renaud will cover the most recent findings and real examples derived from the experience SPIXII gained since 2016 in developing automated insurance services using chatbots as a conversation interface.

Speakers: Andy Rigby, Willis Towers Watson and Renaud Million, Spixii

Transfer time Thu, 25/04/2019 - 14:10 - 14:20 Transfer time
Plenary session Thu, 25/04/2019 - 14:20 - 15:00 Capital Plenary 1: Best Practice in Model Risk Management

Speakers: Bharat Raj and Robert Moorehead-Lane, Grant Thornton

Workshop Thu, 25/04/2019 - 14:20 - 15:00 Workshop Session C (Reserving and Pricing)

C1: Reserving Workshop - Compartmental Reserving

Speakers: Jake Morris, ARGO Global and Markus Gesmann

C2: Reserving Workshop - Third Party Working Party

Tenth iteration of the Institute and Faculty of Actuaries Third Party Working Party (TPWP) for Private Car Comprehensive experience. Scope expanded to include analysis of own damage experience. Analysis includes trends in frequency, severity and burning cost for third party bodily injury claims (split by claim size); total third party property damage; and total own damage claims compared and contrasted with environmental and legislative changes.

Speakers: Simon Black, Aviva and Robert Treen, Willis Towers Watson

C3: Pricing Workshop - Rate Monitoring

  • Rate Monitoring usually involves using a single rate change figure to convey the whole message (eg rates have increased by 2% for class of business X over the past year).
  • By presenting this information as a scatter graph there is a lot more information that can be conveyed. This is can be revealing for the class of business.
  • It is also a useful discussion point with underwriters for portfolio management over a year, with some potentially counter-intuitive results.
  • The starting point for the presentation is the standard Lloyd's rate monitoring - including claims inflation.
  • This has implications for pricing as well as reserving and business planning.

Speaker: Joe Monk

C4: Pricing Workshop - Overview and Practical Applications of Machine Learning Methods in Pricing

The term “machine learning” covers a range of methods that can be powerful, with very practical benefits, in pricing and other insurance applications. Such methods can aid in further improving GLM results or more broadly bring valuable insights to complex problems. There can also be a number of practical challenges in using these methods effectively. This session will review a range of commonly used methods and illustrate different ways that they are being applied in insurance, including some case study results.

Speaker: Bethan Faultless and Matthew Lambert, Willis Towers Watson

Plenary session Thu, 25/04/2019 - 15:10 - 15:50 Reserving Plenary 1: Exposure management

Speakers: Emma Watkins and Philip Godwin, Lloyd's, Chris Sharp, Dale Underwriting Partners

Workshop Thu, 25/04/2019 - 15:10 - 15:50 Workshop Session D (Pricing and Capital)

D1: Pricing Workshop - PPO Working Party

The PPO Working Party presents the most recent results from its Qualitative Survey. Various Insurers and Re-insurers have contributed by answering a variety of questions revolving around the reserving for, pricing of and capital needs associated with PPOs.

Speakers: Patrick Tingay, Willis Towers Watson and Peter Saunders, Chubb

D2: Pricing Workshop - Meddling with the Modelling

As users and spectators of models, we will take the audience on the pricing journey from fixed prices, through rate books and GLMs to machine learning. With a focus on implementation of models and impact to the end customer, we will identify and discuss some of the benefits and pitfalls of each chapter in pricing sophistication.

With increasing scrutiny of GI pricing practice from a range of observers continuing to make this a hot topic, the presenters will role play real world man vs. machine examples to bring our views and wider perspectives to life. If you are considering motor pricing factors or pricing motor factories then this session will inform and provoke.

Level: No prior knowledge required.

Key learning points will be:

  1. The pros and cons from a customer perspective of each chapter of the modelling journey.
  2. Key points to consider when making changes to your model.
  3. How to balance continued evolution of pricing sophistication and real customer outcomes.

Speakers: Simon Warsop and Ben Symington, Aviva

D3: Capital Workshop - The Cost of Capital Allocation, some Core Principles

This talk joins accounting and capital concepts to develop a different viewpoint on some classic questions. In particular thinking about the cost of capital rather than capital, and using appropriate accounting techniques, leads to clearer thinking about capital matters.

Speaker: Richard Holloway

D4: Capital Workshop - Validation Hot Topics

Speaker: Adhiraj Maitra, Willis Towers Watson and Sebastien Delfaud, Bank of England

Refreshments Thu, 25/04/2019 - 15:50 - 16:20 Afternoon refreshments
Plenary session Thu, 25/04/2019 - 16:20 - 17:00 Pricing Plenary 1: Alternative Data for GI Pricing

You can’t have data science without data. Though insurance pricing has not yet exhausted the analysis possible on current data, new alternative data is becoming increasingly talked about. This plenary discusses the world of alternative data and how it can affect insurance pricing.

Speakers: Buu Truong and Mark Lee, Insight Risk Consulting

Workshop Thu, 25/04/2019 - 16:20 - 17:00 Workshop Session E (Capital and Reserving)

E1: Capital Workshop - Introduction to Stochastic Reserving

Aimed at demystifying the stochastic reserving process, this talk outlines the basics of stochastic reserving, only assuming knowledge of basic deterministic reserving. Concepts introduced include parameter and process error, time horizons, current models and bootstrapping.

Speakers: Richard Lewis and Robert Scarth, RPC Consulting

E2: Capital Workshop - Efficient Sensitivity Analysis via Scenario Weighting

We introduce a new approach for sensitivity analysis - implemented in the R-package SWIM - applicable to complex simulation models, including those used in insurance and financial risk management. In such models, performing sensitivity testing includes stressing the (vector of random) inputs and observing the impact on the output, as well as stressing the output and monitoring the impact on different inputs. Our method is applicable to a single set of simulated scenarios under a baseline model, thus circumventing the need for additional computationally expensive simulation runs. Specifically, we define a stress on an input or output as a reweighting of simulated scenarios, driven by an increase or decrease in risk measures such as VaR and TVaR or in moments such as the mean and standard deviation. The scenario weights are chosen such that, subject to the stress, the Kullback-Leibler divergence is minimised. The SWIM R-package calculates the relevant scenario weights for different stress specifications and generates metrics and plots that allow quantification of the impact of different stresses, as well as importance rankings between different inputs. 

Speaker: Andreas Tsanakas and Dr Silvana Pesenti, CASS Business School

E3: Reserving Workshop - Asbestos Working Party

Speaker: Rob Brookes, PwC

E4: Reserving Workshop - Better Sensing Model Reasoning Failure

How sure are you that your reserve models consider the right data and use it effectively? The BSRCH working party will show how statistical engineering approaches with applications from NASA rocket nozzle design to production line continuous improvement can enhance actuarial science.

Speaker: Chris Smerald, Ian Thomas, DAS UK

Registration Fri, 26/04/2019 - 08:30 - 09:00 Registration
Plenary session Fri, 26/04/2019 - 09:00 - 09:50 Plenary 2: UK Bodily Injury Claims Settlement Framework

Speakers: Charl Cronje, LCP and Natasha Regan, RPC

Transfer time Fri, 26/04/2019 - 09:50 - 10:00 Transfer time
Plenary session Fri, 26/04/2019 - 10:00 - 10:40 Plenary 3: Cyber

Discussion on Cyber accumualtions for affirmative and non-affirmative including vendor options/in house developments and expierences from company/broker and vendor perspective.

Speakers: Simon Cartagena, SCOR and Justyna Pikinska, Capsicum Re

Refreshments Fri, 26/04/2019 - 10:40 - 11:10 Refreshments
Plenary session Fri, 26/04/2019 - 11:10 - 11:50 Capital Plenary 2: Communicating Models Effectively (incl. limitations and appropriate use)

Effective communication is a key area of focus for our profession as we work with complex concepts and ideas. The challenge of providing effective communication is a moving target as audiences become more sophisticated. We are keen to help our members and actuaries in this challenge with the right tools.

One specific area of focus, particularly for capital actuaries, has been communicating model related ideas and output. We have many tools available to us to communicate about complex models; visualisation is a particularly powerful means, and this is where the focus of this session will be.

Speaker: Nasir Shah and Wendy Kriz, Barnett Waddingham

Workshop Fri, 26/04/2019 - 11:10 - 11:50 Workshop Session F (Reserving and Pricing)

F1: Reserving Workshop - Individual Claims Reserving

  • Although several practical and theoretical limitations have been highlighted, common reserving practice has been largely based on techniques using aggregated triangles of loss information.
  • Individual claims development models represent a promising alternative, leveraging information embedded in individual claims data and taking advantage of advanced modeling techniques available for larger datasets.
  • This session will review individual claims reserving models from their mathematical foundations to their practical use.
  • Particular focus will be dedicated to the innovation opportunity raised by these alternative methods.
  • Applications on real portfolio datasets of different lines of business will be provided, as well as comparisons with triangle-based methods

Speakers: Jeff Courchene and Alexandre Boumezoued, Milliman

F2: Reserving Workshop - Enhancing Traditional Reserving Using Data Science Techniques

Existing reserving processes can be enhanced by using techniques from data science in conjunction with traditional reserving methods such as chain ladder and Bornhuetter-Ferguson. In particular, these techniques can be used to:

  • Provide additional analysis and information to support key reserving judgements;
  • Automate the more mundane aspects of the reserving, freeing up time to focus on areas where human judgement really adds value; and
  • Carry out additional analyses, which are viewed as too time consuming to carry out with standard techniques.

A key benefit of this hybrid approach is that it remains grounded in traditional approaches – and is therefore readily explainable – whilst also making better use of data science techniques.

We will cover recent case studies, that answer key questions such as:

  • What is the best segmentation for a reserving project?
  • How can we efficiently identify trends and anomalies in the data that are important for reserving?

The data science techniques used in the case studies are feature engineering, clustering and resampling methods. However, the focus of the talk will be on the application of these techniques to answer key reserving questions rather than the techniques themselves.

Speakers: Charlie Stone and Tom Durkin, LCP

F3: Pricing Workshop - Third Party Working Party

Tenth iteration of the Institute and Faculty of Actuaries Third Party Working Party (TPWP) for Private Car Comprehensive experience. Scope expanded to include analysis of own damage experience. Analysis includes trends in frequency, severity and burning cost for third party bodily injury claims (split by claim size); total third party property damage; and total own damage claims compared and contrasted with environmental and legislative changes.

Speakers: Simon Black, Aviva and Robert Treen, Willis Towers Watson

F4 Pricing Workshop - Hurricane Clustering

Speaker: Dana Foley, Chaucer Plc

Transfer time Fri, 26/04/2019 - 11:50 - 12:00 Transfer time
Plenary session Fri, 26/04/2019 - 12:00 - 12:40 Reserving Plenary 2: Claims Inflation

This talk considers two questions:

1. Are we blind (and therefore vulnerable) to claims inflation?

2. What can firms gain from integrating "Claims" with other financial risk control functions?

Since the turn of the century, and to a greater degree since the global financial crisis, we have lived in a relatively benign general inflation environment. Beyond some isolated examples, we have also experienced limited claims inflation. Have we become complacent? Have we forgotten how to spot claims inflation? Are our methods, in pricing, reserving and capital modelling able to reflect a changing outlook for claims inflation?

As the principal channel for delivering insurance protection, the claims function is the first to experience the effects of emerging trends. Are businesses recognising this in their managment of financial risks? Is there a healthy flow of information and data between key control functions and have other control functions done enough to convince "Claims" to share their knowledge and insights.

This session will explore these questions and share our initial findings from discussions with firms, actuaries and claims specialists.

Speakers: James Orr, Bank  of England and Chris Smerald

Workshop Fri, 26/04/2019 - 12:00 - 12:40 Workshop Session G: Pricing and Capital

G1: Pricing Workshop - Flood Working Party

Speaker: David Johnson, British Gas and Ashley Chattaway

G2: Pricing Workshop - Cyber Pricing

The insurance industry is ripe for innovation. InsurTech companies are testing the waters on a host of potential game changers, such as the use of AI and machine learning to develop better pricing models that more accurately quantify risk. The session will focus on risk modeling for cybersecurity exposure. Panelists will discuss the use of data analytics to quantify the impact cybersecurity exposure and will explain how those technologies are used to price insurance products to protect against related risks.

Speaker: Fred Karlinsky, Greenberg Traurig

G3: Capital Workshop - Loss Ratio Uncertainty: Excel Workshop

Each delegate receives their own unique set of historic loss ratio data, to which they will fit a gamma distribution, both by matching moments and maximum likelihood. Simple goodness of fit tests are applied, and capital requirements calculated at various confidence levels.

Delegates then look at their results:

  • In isolation;
  • In comparison to their peers;
  • Relative to subsequent loss ratios, revealed one year at a time;
  • In the context of the process that generated the data.

Delegates will be working on the below excel spreadsheet and are required to bring along their laptops/iPads.

https://www.actuaries.org.uk/documents/e1-loss-ratio-uncertainty-excel-workshop-excel-workbook

Speaker: Andrew Smith, University College Dublin

G4: Capital Workshop - IFRS 17 Risk Adjustments: Reserving or Capital Modelling?

Risk adjustments for IFRS 17 present several technical challenges. The techniques are not specified, but whatever technique is used, the equivalent “confidence level” must be disclosed, requiring a distribution of the discounted fulfilment cash-flows over the remaining lifetime of the liabilities. This is required on a gross and reinsurance basis, and is also required for “groups” of insurance contracts. Included amongst the difficulties are the following:

  • Liabilities for Remaining Coverage (LRC) with the Building Block Approach (BBA) when there is a catastrophe component, for example
  • Accurate reinsurance modelling with non-proportional treaties
  • Aggregation and diversification: Risk adjustment allocation to groups of contracts

This presentation discusses the difficulties, and proposes solutions that are more familiar to capital modelling specialists than reserving specialists. This provides a cross-over between reserving and capital modelling, narrowing the gap between them.

Speaker: Peter England, EMC Actuarial

 

Refreshments Fri, 26/04/2019 - 12:40 - 13:40 Lunch
Plenary session Fri, 26/04/2019 - 13:40 - 14:40 Plenary 4: Joining the Dots - Feedback Loops between Pricing, Reserving and Capital Actuaries

The session aims to give a quick recap on the role of the actuarial function and highlight the benefits and practical aspects of the feedback loops between pricing, reserving and capital actuaries. It will also cover examples of when it works and when it doesn’t. It is important to state here that the content of the presentation are personal views and do not represent the views of the presenters organisations.

Speakers: Elena Papastylianou, Bank of England; Catherine Scullion, Lloyd’s of London: Lydia Rhodes, Axis

Transfer time Fri, 26/04/2019 - 14:40 - 14:50 Transfer time
Plenary session Fri, 26/04/2019 - 14:50 - 15:30 Pricing Plenary 2: Machine Learning

In a time where insurance is becoming more and more data-driven with the advent of “Smart” Insurance, InsurTech, telematics and a push towards automation, actuaries are realizing the need to develop frameworks for more personalized and robust pricing that are adaptive and can deduce hidden patterns in large datasets. Machine Learning and AI can prove to be useful tools here. In this presentation I will start with a very brief overview of the concept of Machine Learning. I will then talk about two prominent models – Extreme Gradient Boosting Machines (and the XGBoost algorithm) and Neural Networks (and Google’s TensorFlow algorithm). I will talk about how these models work, how they deduce hidden patterns in data, and how to tune them to optimize their learning process. I will then present a case study where I train these models on a dataset from R’s insuranceData package and compare them to GLM’s. I will also talk briefly about interpreting ML models and uncovering their black-box nature by using simpler surrogate models combined with techniques from game theory for local interpretation and variable importance and interaction metrics for global interpretation.

Speaker: Navarun Jain, Lux Actuaries & Consultants

Workshop Fri, 26/04/2019 - 14:50 - 15:30 Workshop Session H (Capital and Reserving)

H1: Capital Workshop - Climate Change Risk Assessments and Impact on Nat Cat Modelling

Speaker: Junaid Seria, SCOR

H2: Capital Workshop - Lloyd's Loading

The presentation will give an insight into the Lloyd’s capital review process last year and the loadings applied by Lloyd’s to syndicates’ submitted SCRs. The reasons behind loadings will be explained and we will talk about some changes to the process in 2019.

Speaker: Ajay Shah and Mirjam Spies, Lloyds

H3: Reserving Workshop - Self-Assembling Loss Reserving Models 

Speaker: Grainne McGuire, Taylor Fry

H4: Reserving Workshop - PPO Working Party

The PPO Working Party presents the most recent results from its Qualitative Survey. Various Insurers and Re-insurers have contributed by answering a variety of questions revolving around the reserving for, pricing of and capital needs associated with PPOs.

Speakers: Patrick Tingay, Willis Towers Watson and Peter Saunders, Chubb  

Refreshments Fri, 26/04/2019 - 15:30 - 16:00 Refreshments
Plenary session Fri, 26/04/2019 - 16:00 - 17:00 Professional Skills Session

Through a variety of media (videos, cases studies and interactive role play) there will be the opportunity to discuss some of the issues and problems in maintaining professional standards in today’s commercial world.

Speaker: Richard Winter and Richard Chalk, Bank of England

Papers we have permission to share are below.