Risk measures and regulation in insurance

22 - 23 May 2014

Organised by: University of Zurich, EPFL, Swiss Re

About the event

The "Risk Measures and Regulation in Insurance" expert forum is a gathering of about 30 experts and will take place in Zurich on Thursday 22 May and Friday 23 May 2014. This one-and-a half day event is organised jointly by the University of Zurich, EPFL and Swiss Re, and will be hosted at the Swiss Re Centre for Global Dialogue in Zurich.

The aim is to take inventory of the issues in insurance regulation, describing the quantitative theories they inspired, to make an assessment of how these theories have performed from today’s perspective, and to identify potential open issues. As a result, the conference will help articulate a research agenda for the future. While the focus of the conference is on issues, the findings should trigger research which may be the subject of a further - more result oriented - conference later.

Participation by invitation only.

Day 1

Thursday, 22 May 2014

09.00

Arrival and coffee

10.00

Welcome and introduction

  • Dr Stephan Schreckenberg, Swiss Re
  • Professor Dr Walter Farkas, and Dr Pablo Koch, University of Zurich
  • Professor Dr Damir Filipovic, EPFL

10.30

Cluster 1: Global view

  • Chair: Dr René Schnieper, Finma
  • Impulse presentation: Professor Dr Jean-Charles Rochet, University of Zurich
  • Impulse presentation: Dr Philipp Keller, Deloitte Zurich

Potential topics for discussion:

1. Objectives of risk-based/economic solvency regulation
     a. Objective and historical background
     b. Status and assessing effectiveness and consistency
     c. Where might it be going?

2. Macroeconomic view
     a. Impact of regulation on the whole insurance sector
     b. Incentives and misincentives
     c. When banking and insurance sectors treat similar things differenty

12.00

Lunch

13.30

Cluster 2: Valuation

  • Chair: Professor Dr David Babbel, Wharton
  • Impulse presentation: Professor Dr Antoon Pelsser, University of Maastricht
  • Impulse presentation: Andrew Smith, Deloitte London

Potential topics for discussion:

1.
Market consistent valuation
   
a. What is it?
    b. Issues: procyclicality? Availability of risk-free assets? Spread volatility?
    c. Liquidation (at distressed market spot values) versus hold to maturity

2. Liquidity
    a. Balance-sheet versus cash-flow solvency

15.00

Coffee break

15.30

Cluster 3: Risk measurement

  • Chair: Professor Dr Shaun Wang, Geneva Association
  • Impulse presentation: Professor Dr Alexander Schied, University of Mannheim
  • Impulse presentation: Dr Michel Dacorogna, Scor

Potential topics for discussion:

1. Static risk measures: Value-at-Risk versus Tail-Value-at-Risk
    a. Which VAR or TVAR for which purpose
    b. Incentives provided by VaR and TVaR capital requirements?
    c. Is VaR or TVaR a better choice to address regulatory objectives?

2. Dynamic risk measures
    a. Risk measures (processes/termin values): which economic problem do they address?
    b. Continuous updating: compatible with the business model of insurers?

17.00

Networking opportunity

18.30

Dinner

22.00

End of day 1

Day 2

Friday, 23 May 2014

08.00

Coffee

08.30

Cluster 4: Managing capital and liquidity

  • Chair: Professor Dr Michael Powers, Tsinghua University
  • Impulse presentation: Dr Paul Huber, Swiss Re
  • Impulse presentation: Dr Stefan Jaschke, MunichRe

Potential topics for discussion:

1. Diversification
    a. From consolidated balance sheet to company structure
    b. Measuring diversification
    c. How to realise diversification benefits
    d. Link to infimal convolutions

10.00

Coffee break

10.30

Final session: Wrap-up and outlook

  • Chair: Professor Dr Glenn Harrison, Georgia State University

Presentation of key findings by chairs of each cluster:

  • Dr René Schnieper, Finma
  • Professor Dr David Babbel, Wharton
  • Professor Dr Shaun Wang, Geneva Association
  • Professor Dr Michael Powers, Tsinghua University

12.00

Lunch

13.00

Departure

Participants

Hansjörg Albrecher, University of Lausanne, Lausanne, Switzerland
Peter Antal, Swiss Re, Zurich, Switzerland
David Babbel, Wharton School, Pennsylvania, United States of America
Ferdia Byrne, KPMG, London, United Kingdom
Mathieu Cambou, EPFL, Lausanne, Switzerland
Michel Dacorogna, SCOR, Zurich, Switzerland
Walter Farkas, University of Zurich, Zurich, Switzerland
Damir Filipovic, EPFL, Lausanne, Switzerland
Helmut Gründl, University of Frankfurt, Francfurt, Germany
Glen Harrison, Georgia State University, Georgia, United States of America
Paul Huber, Swiss Re, Zurich, Switzerland
Stefan Jaschke, Munich Re, Munich, Germany
Brian Joseph, PWC, London, United Kingdom
Philipp Keller, Deloitte, Zurich, Switzerland
Pablo Koch-Medina, University of Zurich, Zurich, Switzerland
Marie Kratz, ESSEC, Paris, France
Thomas Luder, State Secretariat for International Financial Matters, Bern, Switzerland
Thomas Moller, PFA Pension, Copenhagen, Denmark
Cosimo Munari, ETHZ, Zurich, Switzerland
Antoon Pelsser, University of Maastricht, Maastricht, The Netherlands
Michaels Powers, Tsinghua University, Beijing, China
Jean-Charles Rochet, University of Zurich, Zurich, Switzerland
Alexander Schied, University of Mannheim, Mannheim, Germany
Rene Schnieper, Finma, Bern, Switzerland
Stephan Schreckenberg, Swiss Re, Zurich, Switzerland
Andrew Smith, Deloitte, London, United Kingdom
Andreas Tsanakas, Cass Business School, London, United Kingdom
Joel Wagner, University of Sankt Gallen, Sankt Gallen, Switzerland
Shaun Wang, Geneva Association, Geneva, Switzerland
Lutz Wilhelmy, Swiss Re, Zurich, Switzerland
Adrian Zweig, Zurich Insurance Group, Zurich, Switzerland

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