GIRO Conference 2023: online programme

This session is a follow-up to the speakers’ session from the 2022 General Insurance Spring Conference. Here they will cover some of the recent discussion points and conclusions, covering topics such as:

• recent changes in market risk including inflation, interest rates, and correlation between market risk and insurance risk
• external models including economic scenario generators, cyber models, and climate change in natural catastrophe models
• risk metrics, alignment with plan, and one-year risk

Ajay Chhabra, James Toller, and Girinker Aggarwal, Members of the Capital Research Group

In this session, James McIlwaine uses his experience as the lead actuarial developer of the Insurance Development Forum (IDF)/Oasis Risk Explorer to explore how open-access data and spatial sampling can be used to build simple catastrophe models. He will also look at how free-to-use tools can be used to close the protection gap in low and middle-income countries.

He will cover the basic components of catastrophe models and how they’re set up, before introducing what parametric insurance is and why it’s useful. Additionally, he will provide a live demo of the tool and a few of its uses. The Risk Explorer is a free, online, open-source risk modelling platform designed to educate non-expert users in the basic components of catastrophe modelling and parametric insurance. The tool is able to model worldwide tropical cyclone risk as well as a number of other perils.

James McIlwaine, Maximum Information

UK flood insurance is currently based on risk-reflective pricing mechanisms, with highest risk homes subsidised through Flood Re. The current Flood Re solution provides affordable residential flood cover, supported by levies on home insurers.

Flood Re ceases operating in 2039, after which all homes currently subsidised are likely to revert to risk-reflective pricing, becoming unaffordable for many. While risk-reflective pricing and the current Flood Re solution both have their drawbacks, there are other options.

This session examines strengths and weaknesses of 2 insurance pricing extremes – fixed tariff and fully risk-reflective – along with the current Flood Re solution. It also considers how flood insurance pricing operates in different markets around the world, including issues such as the:

• availability, affordability, and take-up of flood insurance
• extent to which the insurance industry can incentivise flood risk mitigation
• public’s perception of flood risk and insurance given the backdrop of climate change and increased frequency of extreme events

Richard Stock, Hymans Robertson, Laura Evans, Flood Re, and Marcus Schofield, Marcuson Consulting

There is widespread interest in machine learning (ML) and widespread interest and concern in transparency of these techniques and fairness to customers. How can we address these concerns while maximising the value and opportunity of these approaches?

This session will address key questions such as:

• what are the challenges and opportunities to using ML?
• how can we be more transparent in our use of ML?
• how can we create more stable machine learning techniques?
• how can we use ML efficiently as part of our wider pricing process?

This session will include a presentation on new techniques and enhancements and practical guidance on how they can be implemented as part of streamlined pricing processes.

This will be a high-level session rather than a technical one. It should be of interest to actuaries at all levels with an interest in ML including senior actuaries and team leaders interested in maximising use of ML in pricing and analytics.

Neil Chapman and Rachael McNaughton, WTW

Disaster risk financing (DRF) is a small but rapidly growing space where parametric insurance products are used to provide protection for people in the developing world. Within this arena, START Ready is a new and unique financing mechanism that uses advanced planning so that funding can be rapidly released when needed most.

START Ready is now in its second year of operation, and after much hard work has secured (re)insurance to make more efficient use of the funds available.

DRF has the potential to revolutionise the way we respond to humanitarian crises, but it has many challenges. In this session, the speakers will reflect on the experiences of 2 actuaries supporting START Ready on their journey: one sitting on the governance committee and another supporting START on procuring insurance. The session will:

• provide an overview of the DRF space
• outline real examples of the policies, payouts, and risk pools
• discuss how we can overcome the current lack of data and models
• discuss how the skills from the cat modelling and insurance world can be used to improve DRF
• outline how actuarial skills and analysis are supplemented by those from wider skills and in-country
• experience in supporting well informed decisions

Andrew Jinks, Government Actuary's Department and Rachel Haldane, Start Network

Claims and actuarial are 2 teams that often end up working together but finding a middle ground between the 2 perspectives can be a challenge.

The speakers will unpack the role of working within claims as a claims actuary, answering:

• what differences are there in the way that claims and actuaries think?
• where might claims benefit most from an actuary’s input?
• what can actuaries do to better their understanding of the challenges that claims face with understanding actuarial information?

The speakers will also share their research into using analytics to better understand claims experience, including:

• using an ‘index of case reserving strength’ to quantify and better understand changes in case reserving
• using machine learning with individual claims data to efficiently identify and quantify the impact of specific known claims initiatives, and identify and investigate unexpected changes in claims experience

Charlie Stone and Melissa Tam, LCP

This talk will explore actuarial professionalism and the impacts of the code, using real life implications to provoke discussion. There will also be an update from the IFoA on professional issues.

Richard Chalk and Sonal Shah

Using open-source software to build a capital model is a problem that has not been widely tackled across the industry. The majority of capital models are built in proprietary software and can be relatively ‘black box’ in their nature.

This engaging session will:

• journey through how a panel member with no coding experience built a capital model from scratch, primarily using ChatGPT
• show, flipping the switch, how much insight into capital modelling can be gleaned by simply posing the right questions to ChatGPT
• showcase the results of this experiment in an easy-to-build, user-friendly dashboard to give the audience an understanding of the speakers’ approach
• discuss the potential enhancements and improvements we aim to make in our next steps and what a potentially exciting roadmap could look like

Oliver Grossman and Isabelle Williams, LCP

In its ‘boiling the ocean?’ workshop at GIRO Conference 2022, the Climate Change Reserving Working Party explored how climate change would impact the work of reserving actuaries. The working party surveyed current attitudes and approaches and unpacked key questions for reserving actuaries.

The changes to come will be far-reaching, complex, and increasing over time, reflecting the changing physical environment, society’s transition to a low-carbon global economy, and developments in climate litigation.

The working party will share output from its 3 main workstreams, which are:

• climate litigation case studies: landmark legal cases expected to shape the future litigation and liability landscape
• heat map tool: how to identify and assess exposures and vulnerabilities within your reserving (and underwriting) portfolios: proof-of-concept applications to property and directors and officers classes
• communications: how actuaries might describe uncertainty in year-end reserving exercises and statements of actuarial opinion

The profile and urgency of the challenge for reserving actuaries has increased since last year, with continuing wildfires, record-breaking heatwaves, fast-moving developments in climate litigation, and the high-profile withdrawal of reinsurance capacity in major peril-regions. Also, the new TAS 100 includes an explicit reference to climate change.

This workshop is aimed at general insurance reserving practitioners and will not assume an in-depth knowledge of climate change.

James Orr, PRA - Bank of England; Alex Marcuson, Marcuson Consulting and Josie Durley, Nephila

An introduction to some different ethical frameworks, using case studies and discussion, to think about why it can happen that 2 people can come up with contradictory solutions to a problem while both (correctly) claiming they are acting ethically. This will then be applied to various work situations.

Richard Winter

The presentation will identify the 10 most serious geopolitical risks facing the world right now and the consequences should any of them come to pass.

Dr Timothy Less, Centre for Geopolitics at the University of Cambridge

Solvency II was implemented at the start of 2016 following 15 years of thorough consultation. However, practical issues with its application came to light. In addition to this, the Treasury Select Committee carried out an inquiry on the possible modifications to Solvency II post Brexit. The working party’s initial scope focused on carrying out a practical review of the Solvency II regime to help guide these modifications.

On 17 November 2022, the government announced its final proposals and the reformed Solvency II regime will be known as ‘Solvency UK’.

The renewed working party scope was to gain a clarity on the changes and possible market impact of moving from Solvency II to ‘Solvency UK’ on the non-life sector.

This talk will present the working party’s findings and additional points to consider in transitioning to Solvency UK

Amrita Pattni, Guy Carpenter

As expert modellers, pricing actuaries over the last few years have been keen to upskill in various coding languages and study alternative modelling algorithms for predicting claims experience, especially in personal lines insurance.

This is all well and good in an analytical, research, and development environment. But what if you want to implement all this knowledge into live pricing?

The speakers in this session will showcase how actuaries and data scientists can collaborate to produce market leading pricing algorithms. They will celebrate diversity in pricing teams, leveraging their own experiences (from actuaries in the business and data scientists), elements of research around data-driven culture, and parts of the Actuaries’ Code.

Topics discussed will range from the tech stack to team structure and everything else in-between.

Kristina Hegarty, Tom Beckett, Paul Shannon, Hastings Direct

Effective enterprise risk management should ensure ongoing review and improvements to existing risk frameworks by creating an emerging risk sub-framework to account for emerging risk identification and to identify, assess, quantify, represent, and communicate these types of risks and their associated uncertainties so that firms can minimise the strategic shocks associated with emergencies that arise from these types of risks.

This webinar provides key insights into key global geopolitical issues and explores how risk functions can contribute to more effective decision-making in their firms on this key issue.

Lawrence Habahbeh, HedgeGenomics

This workshop will explore the different methods that can be used to value the equity of a non-life insurer for the purposes of determining a target share price.

These methods are being typically adopted by sell-side equity analysts working within equity research houses for the purposes of buy, hold, and sell recommendations.

Topics include:

• simple multi-year models to project the financials (P&L, balance sheet, cashflow) of a company
• simple multi-year models to project the required capital and solvency ratios
• advantages and disadvantages of each of the equity valuation methods
• explanation of how the above are interrelated
• discussion of top-down versus ground-up models and how to reconcile the 2
• how company financials, solvency, and share price projections respond to multi-year scenarios

Richard Shaw, Consultant

Building relationships and communicating effectively is a skill like any other. It can be learned, developed, and fine-tuned. In this session, we will highlight and explore simple adjustments that will allow you to be more effective and more productive in your meetings, conversations, and professional relationships.

Sarah Hanson, Interactifs UK Limited

In the ever-expanding world of data science, machine learning, and AI, actuaries have access to unprecedented modelling power and opportunities for efficiency in their work.

But could actuaries be responsible for the next big data privacy scandal? Is following the letter of the law enough when it comes to AI? Just because you can, does it mean you should?

Using real examples and case studies, the Data Science Community – Professionalism, Regulation and Ethics Working Party explores the ethical use of these tools and talks through some of the regulatory and professional obligations actuaries should consider before embracing them.

Murray Lidgitt, Hymans Robertson; Hazel Davis, Sabre

Ben Kemp, Chief Executive Officer (Interim)

The Ogden discount rate is crucial for insurers and reinsurers for pricing and reserving for UK bodily injury claims. This year, the Ministry of Justice issued a call for evidence on the possibility of introducing a dual or multiple rate. This coupled with the deadline for the new rate to be announced in 2024 is causing many CEOs, CFOs, and chief actuaries to query what the rate should be now and for year-end, and whether it will be a single or multiple rate.

The working party will share:

• insights on the call for evidence
• expectations for the future direction of the discount rate including scenario estimates
• results of its comprehensive survey of the industry

Andrew Corner, PwC; Mohammad Khan, PwC; Grant Mitchell, Soteria Insurance

This session will provide a wide-ranging and thought-provoking discussion of the social impact of the insurance industry. These include the:

• positive contributions already delivered
• areas where we potentially fall short
• opportunities to make a greater positive impact

Steven Fisher, Rachel O’Connell, Mathilde Haran, Jamie Brennan, Richard Winter, Insurance as a Force for Social Good Working Party

Deep neural networks have become an important tool for use in actuarial tasks. This is due to the significant gains in accuracy provided by these techniques compared to traditional methods and the close connection of these models to the generalised linear models (GLMs) used in industry.

In this work Old Mutual Insure:

• presents a novel method for enforcing constraints within deep neural network models
• shows how these models can be trained
• provides example applications using real-world datasets

Old Mutual Insure calls its proposed method ICEnet to emphasise the close link of its proposal to the individual conditional expectation (ICE) model interpretability technique.

Ronald Richman, Old Mutual Insure

Marcus will explore the maths behind the games we love to play, and why we love to play them. Spanning millennia, countries, and cultures, he will explain how maths and games have been integral to human psychology and culture. And he’ll also offer a few mathematical strategies to give you an edge when you next play.

Dr Marcus du Sautoy