Category: AFIR / ERM / RISK - actuview - the international streaming platform for actuaries

Jornada de Actuarización: Homología persistente aplicada a datos actuariales.

Tue, 15 Sep 2026 09:33:03 +0000

En esta Jornada de Actuarización exploraremos el uso de la Homología Persistente como una herramienta innovadora para el análisis de datos actuariales. Conoceremos sus fundamentos y aplicaciones para identificar estructuras, patrones y relaciones dentro de conjuntos de datos complejos, incorporando nuevas perspectivas al análisis y modelación de riesgos.

Modelos globales para pérdidas de seguros mediante distribuciones matriciales

Tue, 15 Sep 2026 09:26:17 +0000

Proponer un modelo único y flexible para representar todas las pérdidas en seguros (incluyendo extremos), usando distribuciones tipo fase, evitando la separación tradicional y mejorando la coherencia del análisis actuarial.

Jornada de Actuarización - Aspectos técnicos del costo de reinstalación en contratos de reaseguro XL

Thu, 20 Aug 2026 07:36:13 +0000

Abordaremos los aspectos técnicos del costo de reinstalación en contratos de reaseguro XL, revisando los principales elementos que intervienen en su cálculo, aplicación e interpretación.

Una sesión para profundizar en los criterios técnicos que intervienen en este tipo de contratos.

Cuando el modelo falla: Lecciones de siniestros complejos en riesgos marítimos y especiales

Thu, 20 Aug 2026 07:22:42 +0000

Los siniestros complejos ya no solo afectan las finanzas; hoy desafían los supuestos con los que la industria siempre ha trabajado. Te invitamos a una sesión clave donde analizaremos las lecciones técnicas y estratégicas en riesgos marítimos y especiales, y descubriremos cómo la ciencia actuarial debe responder ante escenarios de disrupción global.

Plenary III: Strengthening Trust: Regulation, Risk Management, and Consumer Protection in a Changing World

Fri, 31 Jul 2026 14:29:30 +0000

Panelists:

Simon Le Dily, President, Institut des Actuaires
Evelyne Massé, First Deputy Secretary General, L'Autorité de contrôle prudentiel et de résolution (ACPR)
Flore-Anne Messy, DAF Senior Counsellor,OECD

Moderated by Malcolm Kemp, Vice-Chairperson, Actuarial Association of Europe (AAE)

Cyber Risk Frequency Modelling Using Hawkes Processes: Calibration on Attack and Vulnerability Data

Fri, 31 Jul 2026 13:31:16 +0000

With the growing digitalization of the economy, cyber risk has emerged as a systemic threat, capable of triggering severe financial losses and challenging traditional insurance mechanisms. To quantify this risk from an insurance perspective, there is a growing need for mathematical models that reflect key features of cyber risk: attacks contagion, heterogeneity in propagation, exploitation of software vulnerabilities, and the adaptive response of defenders. In this paper, we propose a model for the frequency of cyber attacks that incorporates the latter structural features : a Hawkes process with external excitation, stochastic marks, and a reaction phase. This model is calibrated on real-world data combining cyber incidents from the Hackmageddon database and software vulnerabilities from the National Vulnerability Database (NVD). Our results show that disregarding vulnerability-driven excitation leads to a significant overestimation of endogenous contagion. We further simulate cyber-pandemic scenarios, where an insurer faces a surge in attacks with a limited response capacity. By exploring different mitigation and response strategies, we identify conditions under which the insurer remains not overwhelmed and quantify the effectiveness of the proposed reaction measures.

From Text to Actuarial Modelling: The Role of NLP and LLMs in Cyber Risk Assessment

Fri, 31 Jul 2026 12:56:27 +0000

Cyber risk has become one of the main challenges facing the insurance industry today. For the seventh consecutive year, cyber risk has been ranked as the Number 1 concern for the insurance sector, ahead of climate risk by France Assureurs in the Prospective Mapping Report 2025. As an emerging risk, it is characterized by scarce historical data, high claim heterogeneity, and the occurrence of extreme events with major financial impacts. To address these challenges, this research explores the potential of textual data as a novel source of actuarial information. The Privacy Rights Clearinghouse (PRC) database, which has recorded thousands of data breach incidents since 2005, provides a key foundation for analysis. Prior work by Kher, Lopez and Rapior (2023) demonstrated that textual incident descriptions can be leveraged through Natural Language Processing (NLP) and neural networks to assess claim severity even in the absence of quantitative information. Using the updated PRC 2025 extraction, this study extends the analysis by mobilizing Artificial Intelligence and Large Language Models (LLMs) to structure and exploit unstructured text, thereby improving the actuarial modelling of cyber claims. The main methodological steps include:

A comparative analysis of PRC databases (2019 vs 2025), data harmonization, and the application of Extreme Value Theory to characterize cyber loss severity;
The classification of incidents using machine learning algorithms;
Severity modelling through sequential neural networks (LSTM), which outperform classical models (logistic regression, SVM, random forests, XGBoost), particularly for high-severity claims (starting at the 95th–99th percentiles of the severity distribution);
The generation of synthetic incident descriptions using LLMs to enrich training datasets and simulate extreme scenarios;
The evaluation of model robustness and the contribution of synthetic data to improving predictive effectiveness.

Results confirm the significant contribution of NLP and Deep Learning to cyber risk quantification. While traditional models remain suitable for moderate losses, LSTM architectures prove more effective at identifying and characterizing severe claims. The integration of feature extraction through regular expressions, and the use of generative LLMs further enhance model accuracy and robustness. Beyond its technical dimension, this workshop illustrates that exploiting textual data represents a strategic opportunity for the insurance sector: it enables richer claim databases, faster and more accurate loss assessment upon incident notification, and improved prudential anticipation (Solvency II, ORSA). Ultimately, this approach highlights the complementarity between actuarial expertise and data science, fostering a deeper understanding of cyber risks and strengthening the resilience of the insurance industry in the face of rapidly evolving digital threats.

Quantifying Stressed Scenarios of Cyber Loss Processes with Dynamic Dependencies

Fri, 31 Jul 2026 12:44:03 +0000

This talk generalizes the classical Cramer Lundberg model for the cumulative loss process, by allowing contagion as well as dynamic dependencies between the frequency and the severity components of the risk. This framework is particularly useful for cyber insurance portfolio or credit portfolio, which exhibit complex clustering features. Although more accurate, this model induces theoretical challenges in the computations of risk valuations. Hence we propose a general methodology for calculating diﬀerent quantities (expectation, covariance..) related to these cumulative loss processes with dependencies. As an illustration, we quantify systemic exposures and design stress tests that assess cyber portfolio resilience under extreme scenarios. In particular, we derive closed-form formulas for the expected surplus under two stress scenarios: (i) an excess of claims in the portfolio and (ii) a massive disclosure of critical vulnerabilities. By quantifying the impact of these scenarios, our framework oﬀers insurers practical tools for cyber risk stress testing, portfolio management, and regulatory compliance.

Parametric Policies: From Product Design to Actuarial Pricing

Fri, 31 Jul 2026 11:49:07 +0000

Parametric insurance is emerging as one of the most innovative developments in the insurance industry, driven by climate change, new technologies, and the increasing availability of data. Unlike traditional indemnity-based solutions, parametric policies provide automatic payouts triggered by predefined parameters, enabling faster recovery and new forms of risk protection. This presentation explores the full lifecycle of a parametric insurance product, from product design and trigger definition to actuarial pricing and basis risk management. Particular attention will be given to the relationship between event and loss, the role of data and technology (satellites, IoT, AI), and the challenges actuaries face in developing robust and sustainable parametric solutions. The presentation also discusses how parametric insurance can support climate resilience by addressing acute and chronic physical risks, while highlighting the evolving role of the actuary in a data-driven and increasingly technological insurance market.

Direct Impacts of Climate Change on Mortality in France

Fri, 31 Jul 2026 11:43:27 +0000

Climate change has major implications for population health. In France, the 2003 heatwave caused nearly 15,000 deaths, and similar events are expected to become more frequent and severe in the coming decades. This study assesses the direct impact of climate change on mortality in metropolitan France. We combine open-source data from INSEE (individual death records since 1990, including date and municipality) and Météo-France (daily mean temperatures across thousands of points nationwide), together with INSEE’s historical population estimates. These sources allow daily estimates of mortality risk accounting for local temperature exposure. Extensive preprocessing of the INSEE death records was required to identify and correct anomalies and ensure consistency with national population estimates. On these validated data, we first reveal a significant temperature effect on mortality by examining residuals from models excluding temperature. Using generalized additive mixed models (GAMMs), we then incorporate temperature as a covariate. This approach captures non-linear effects while limiting overfitting, crucial when dealing with numerous explanatory variables and rare temperature extremes. Finally, combining INSEE population projections with IPCC climate scenarios, we estimate the expected direct impacts of future climate change on mortality across France.

Climate Risks in Insurance: Risk Mapping, Pooling, and National Schemes in Several EU Countries

Fri, 31 Jul 2026 11:38:09 +0000

This workshop offers a comprehensive approach to climate hazard modelling with a focus on the development of risk maps. It also includes an analysis of the regulatory challenges faced by insurance stakeholders on this topic.

The workshop first part presents the fundamental mapping methodologies on hazards based on the available databases and tools (internal, open-source, and commercial models), as well as the contribution of external data sources. A case study from an insurance company will illustrate the practical application of these methods.

The workshop second part addresses regulatory aspects, detailing the operation of the Nat Cat (Natural Catastrophe) schemes in France and the United Kingdom, the challenges of pooling climate risks in pricing, and the potential evolution toward a European Nat Cat framework. Any issues related to managing cross-border zoning will also be discussed.

This workshop is intended for professionals in insurance and risk modelling, as well as anyone interested in the management and regulation of natural disasters. It provides a comprehensive overview of the methods, tools, and challenges associated with pricing and covering climate-related risks.

The Role of Actuaries in AI and AI Governance

Fri, 31 Jul 2026 11:21:10 +0000

Artificial intelligence is no longer a future risk for the insurance industry, it is a present operational reality. Yet the governance frameworks designed for classical models are structurally inadequate for AI systems that operate continuously at scale, behave adversarially, and propagate errors across fragmented value chains. This presentation makes three arguments. First, that the risk characteristics of modern AI map more closely onto cybersecurity governance paradigms than onto traditional model risk frameworks. Second, that AI governance responsibility is structurally fragmented, cutting across multiple internal functions and multiple regulatory regimes simultaneously, with no single framework and no single organisational actor currently owning the full picture. Third, that the actuarial profession, trained in model validation, embedded in the regulatory architecture through a signed and auditable opinion, and positioned across the full insurance value chain, is a natural candidate to bridge this gap. The presentation concludes with an honest assessment of where the profession stands today, acknowledging both the genuine strengths actuaries bring to AI governance and the gaps in curricula, risk literacy, and European professional coordination that must be closed. The central argument is not that actuaries are uniquely qualified. It is that they are uniquely positioned, and that the difference is the profession's responsibility to address.

Rethinking the Need for Insurance Guarantee Schemes

Wed, 29 Jul 2026 09:04:51 +0000

Insurance Guarantee Schemes (IGS) are increasingly central to European and global insurance policy discussions, particularly in the context of recovery and resolution frameworks. This presentation synthesizes recent analyses from EIOPA, the World Bank, IFIGS, and the European Commission, reviewing the key arguments for and against IGS, summarizing critical design choices, and highlighting open questions. The discussion also connects IGS to broader policy issues, such as the natural catastrophe (NatCat) protection gap.Evidence shows that IGS can play a vital role in safeguarding policyholders and maintaining confidence in the insurance sector, especially during insurer insolvency. Policymakers note that well-designed IGS contribute to financial stability and facilitate orderly resolution, with structures ranging from ex-ante (pre-funding) and ex-post (post-funding) to hybrid models. International experience underscores the importance of mandatory membership, clear coverage limits, and close coordination with supervisory authorities. Quantitative studies suggest that target fund sizes of 1–2% of gross written premiums are generally adequate, with risk-based contributions as a future objective. However, the diversity of insurance products and national frameworks across Europe complicates harmonization. Minimum harmonization—establishing common principles while allowing national flexibility—appears to be the most practical approach.Several unresolved issues remain. The necessity for IGS is less evident in markets with robust solvency regulation (e.g., Solvency II), where default risk is already low. The home/host country principle is contentious: home-country models may not sufficiently protect cross-border policyholders, while host-country approaches risk regulatory overlap and complexity. Pre-funding poses challenges for life insurance and pension products, where capital may be tied up for decades, and contagion risk—where the failure of a large insurer could destabilize the market—remains a concern in concentrated markets. It is essential to assess whether alternative solutions could address policyholder protection more effectively.Beyond prudential regulation, IGS can support the availability and reliability of NatCat insurance coverage. The most resilient systems combine dedicated NatCat pools, clear claims protocols, and strong public-private partnerships. Nonetheless, challenges persist regarding funding sufficiency, harmonization, and adaptation to increasingly severe climate risks. IGS should be tailored to the essential nature of the insurance products in scope, and in some cases, alternative structures may be more efficient.This presentation aims to share recent findings, stimulate discussion within the actuarial community, and address open questions regarding the diverse needs, optimal scope, and funding models for IGS.

Transforming financial reporting with GenAI: empowering actuaries to deliver deeper insights faster

Tue, 28 Jul 2026 13:11:00 +0000

Financial reporting is becoming more challenging, with increasing model complexity, greater explanatory requirements, and shorter delivery timelines. This presentation demonstrates how GenAI can meet these challenges by transforming the way actuaries prepare and deliver expert-domain reports.

Through practical, step-by-step explanations, participants will learn how to design a GenAI-powered reporting solution. Key topics include structuring data for GenAI readiness, embedding actuarial and financial domain intelligence, applying advanced prompt engineering for precise outputs, and managing flexible PowerPoint templates to tailor communication for different audiences. In addition, we will demonstrate how a companion chatbot, powered by the same core GenAI system, helps actuaries drill into specific analyses and request visualizations that deepen understanding.

Real-world case studies will showcase automation of IFRS 17 executive-level communications and validation reports for stochastic economic scenarios, also used for IFRS 17 valuation. Beyond efficiency gains, we will discuss how GenAI enhances understanding of financial figures, sharpens analyses, and strengthens the actuaries’ role.

Attendees will leave with actionable insights to integrate GenAI into their reporting workflows to achieve faster delivery, higher quality, and greater strategic value in actuarial practice.

Spectral Bootstrap for Non-Parametric Simulation of Multivariate Extreme Events. Application to Risk measure estimation

Tue, 28 Jul 2026 13:01:56 +0000

Inference in extreme value theory relies on a limited number of extreme observations, making estimation challenging. To address this limitation, we propose a non-parametric bootstrap procedure, the multivariate extreme spectral bootstrap, relying on the spectral representation of multivariate generalized Pareto-distributed random vectors. Unlike standard bootstrap methods, our approach preserves the joint tail behaviour of the data and generates additional synthetic extreme data, thereby improving the reliability of inference. We demonstrate the effectiveness of our procedure for the estimation of tail risk metrics, under both simulated and real data. The results highlight the potential of this method for enhancing risk assessment in high-dimensional extreme scenarios.

Beyond Boundaries: How CERA Shapes the Future of Actuaries

Tue, 28 Jul 2026 12:55:37 +0000

The CERA designation was first introduced in 2007 in the U.S. by the Society of Actuaries (SOA) as an actuarial qualification in Enterprise Risk Management (ERM). In 2009, 14 actuarial associations worldwide established the CERA Global Association (CGA) and signed a treaty to launch CERA (Chartered Enterprise Risk Actuary) as a globally recognized credential. Today, the CGA counts 25 Award Signatories among its members, and more than 7,500 CERAs, about 10% of qualified actuaries around the world, are active in over 70 countries, including most of the countries of Europe.

This lecture will be presented by two prominent board members of the CERA Global Association, who represent AAE member associations. The focus of this presentation will be on the added value of the CERA designation for actuarial professionals, with a rapidly changing world, in which new risks are constantly being identified and technology is developing rapidly.

The CGA has conducted a survey of CERA holders to assess the current situation and will also present short pre-recorded video messages from CERAs in various European countries discussing the practical impact of holding the CERA credential.

The CGA Board members will provide updates on the status of actuaries working in ERM in their respective countries. They will also discuss both the challenges of further expanding the reach of the CERA designation and the broader goal envisioned at its creation: enabling actuaries, grounded in ERM, to play an active role not only in the traditional fields of insurance and pensions but also in the so-called “Wider Fields,” covering a broad range of social and economic domains for the benefit of the public.

Actuaries and Operational Risk Management

Tue, 28 Jul 2026 12:51:04 +0000

This presentation, based on the AAE Discussion Paper “Actuaries and Operational Risk Management - 2025 edition”, explores skills and techniques actuaries can bring to operational risk management. We argue that actuaries are well placed to assist in this area of risk management (as in other areas). We set out desirable skills for individuals involved in this field and map these against skills that actuaries may have. We review how operational risk fits into insurer own risk and solvency assessments and pension fund own risk assessments. We explore a range of related topics such as ways of capturing the wisdom of experts, quantitative techniques commonly applied to operational risk measurement and management, operational risk stress testing disciplines, how best to cope with limited data and how best to set operational risk appetite. We also discuss how to promote operational resilience and a healthy operational risk culture.

Tables d'expérience en prévoyance - Enjeux et analyse actuarielle face aux risques

Tue, 28 Jul 2026 09:13:50 +0000

Derrière ces risques lourds en prévoyance, se cachent des engagements financiers de long terme, souvent complexes à suivre, parfois sur ou sous-estimés, et toujours sensibles. Pour anticiper ces événements et calibrer au mieux les risques prévoyance les actuaires peuvent s’appuyer des outils statistiques sur-mesure : les fameuses tables d’expérience. Mais comment les bâtir ? Avec quelles données ? Et surtout, pourquoi les faire certifier ? Car au-delà des chiffres, il y a des choix méthodologiques, de la rigueur, une responsabilité. Dans cet épisode des Voix de l'actuariat, la collection de podcasts proposée par l'Institut des actuaires, nous allons plonger au cœur de ce travail d’ingénierie actuarielle qui conjugue technique et stratégie avec Grégoire Tournon, et son invitée, Sandra Urgesi, Senior Manager chez Addactis.

SCR - L’airbag invisible des assureurs pour faire face à une crise

Tue, 28 Jul 2026 09:09:55 +0000

Comment savoir si une compagnie d’assurance est vraiment capable d’absorber une crise ? De tenir ses promesses même en cas de choc majeur ? La réponse se trouve dans un indicateur : le SCR – Solvency Capital Requirement, ou exigence de capital de solvabilité. Derrière ce terme un peu technique, une idée très concrète : l’assurance doit avoir assez de capital pour faire face à l’imprévisible. C’est l’airbag invisible du secteur.On espère ne jamais avoir à s’en servir… mais il doit être prêt à se déployer à tout moment. Alors, à quoi sert réellement le SCR ? Comment est-il calculé ? Et en quoi les actuaires sont-ils les garants de cet équilibre fragile entre prudence et performance ? Pour répondre à toutes ces questions, Grégoire Tournon a eu le plaisir d'accueillir Franck Peka Kadje, conseiller d’études actuarielles à la Direction Actuariat Groupe de Groupama.

Actuariat et ERM - Quand l’expertise sécurise la stratégie

Tue, 28 Jul 2026 05:58:59 +0000

Les risques sont partout. Cyberattaques, crises sanitaires, changement climatique, instabilité financière… Les entreprises, et particulièrement les assureurs, évoluent dans un monde d’incertitudes. Face à cette complexité, une approche s’impose : l’ERM, Enterprise Risk Management ou gestion des risques d’entreprise. Pour explorer ce sujet, Grégoire Tournon reçoit Gildas Robert, partner actuariat et gestion des risques chez Accenture.

Managing Catastrophe Risk: from Geocoding to Pricing

Mon, 29 Jun 2026 09:28:47 +0000

Milliman’s Matt Chamberlain, a Principal and Consulting Actuary from Milliman’s San Francisco office, is a specialist on pricing natural catastrophe exposed property insurance, having worked extensively on evaluating catastrophe models and assessing their fitness for purpose. In this webinar, we explore:

An overview of catastrophe modelling, including a model’s life cycle
Understanding geocoding
How to enrich internal data using external data
Specific considerations for flood and hail risk

Temporada de Huracanes: Tendencias, Incertidumbre y Gestión del Riesgo Hidrometeorológico

Mon, 29 Jun 2026 08:14:22 +0000

Prevenir es la mejor estrategia ante un huracánMás allá de las lluvias y los vientos, los huracanes representan riesgos reales para personas, hogares y comunidades. En este contenido conocerás su comportamiento, niveles de impacto y recomendaciones clave para actuar antes, durante y después de su llegada.Anticiparte no es opcional: es la mejor forma de protegerte.

CERA insights on the daily practice of Risk Management

Thu, 11 Jun 2026 15:27:42 +0000

Interviews with Ernst Visser, Sinéad Cronin, and Darshan Purmessur on the daily practice of risk management as part of the CERA presentation by Ron Hersmis and Stephen Wilcox at the European Congress of Actuaries 2026.

Bewertung eingebetteter Optionen - ein Replikationsansatz

Mon, 08 Jun 2026 09:50:03 +0000

From a financial mathematics point of view, German building savings contracts are complex financial instruments. In particular the valuation of embedded options places specific demands on actuaries due to the dynamic interactions between these multiple options and the partial lack of financial rationality of the contract holders. To date, German building societies use various models for the risk valuation of embedded options in building savings contracts. For this work, the concept of the replication portfolio, which has been used in life insurance for some time, was transferred to building savings contracts and implemented in a Jupyter Notebook framework. A specific cash flow approach and filtering algorithms were developed to deal with the problems arising in a standard approach. Initial test results on the contract portfolio of Bausparkasse Schwäbisch Hall AG are very promising. Further research and development work is required for practical application, but the authors believe that in the long term the approach has the potential to develop into a standard for the (risk) assessment of embedded building savings options. Furthermore, the developed concept might be helpful for other applications not restricted to German building societies.

Entwicklung eines bauspartechnischen Simulationstools - ein Erfahrungsbericht

Mon, 08 Jun 2026 09:41:56 +0000

Bausparkassen sind gesetzlich verpflichtet ein Simulationsmodell zur Sicherstellung der kollektiven Liquidität zu nutzen. Die Debeka hat ein solches Modell selbst implementiert und von einem Wirtschaftsprüfer untersuchen lassen. In dem Vortrag werden die verschiedenen Aspekte dieser Entwicklung dargestellt und aus technischer, aufsichtsrechtlicher und fachlicher Sicht beleuchtet.