Modelling and simulation for finance
| industrial collaborators: | Through workshops and dissemination |
| academic collaborators: | Imperial, Heriot-Watt |
| initiated : | 2007/07/04 |
| last updated: | 2009/08/27 |
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Second KTN Finance Workshop: Challenges in Quantitative Risk Management for Insurance
There is a growing interest in quantitative risk models and quantitative risk management techniques in the insurance industry. This is partly prompted by Solvency II, an initiative of the European Commission and the Committee of European Insurance and Occupational Pensions, which aims to establish an improved solvency system that protects the interests of policyholders by reducing the likelihood of prudential failure. The changing regulatory environment, the increasing adoption of concepts like market-consistent valuation, and the untapped potential of techniques like securitisation represent challenges and opportunities for sophisticated financial service providers.
The presentations
Topics that were covered include the following list and the corresponding presentations are now available:- Quantitative Challenges of Solvency II, Bruce Porteous (Standard Life)
- Market-Consistent Valuation of Insurance , Antoon Pelsser (University of Amsterdam)
- Correlation and Diversification in Integrated Risk Models, Alexander McNeil (Heriot-Watt University)
- Natural Catastrophe Risk and the Changing Environment , Shree Khare (Risk Management Solutions)
- Mortality Risk , Guy Coughlan (JPMorgan)
- Longevity and Securitisation, Andrew Cairns (Heriot-Watt University)
If you are interested and would like to discuss issues arising from the above material, please contact Dr Vera Hazelwood at the Industrial Mathematics KTN.
Click on the link below to view a report of the Finance Workshop's outcomes.
related resources: other projects:
| [Find other Finance projects] |
| [Find other Foresight projects] |