Fri 03 May 2024 - Capital modelling often requires modelling using volatility assumptions that are not derived consistently with the modelled exposure.
For example:
The goal of this talk is to outline some simple rules that capital modellers can use to adjust volatility parameters for changes in volumes in a quantitative, mechanical manner, rather than relying on expert judgment. It covers:
There is some technical content, but the aim is to present the issues in an accessible way that does not require any prior capital modelling expertise.
Neil is a Principal at LCP, where he works primarily on capital modelling and validation, advising insurance companies across the personal lines, commercial lines and Lloyd's spaces. Prior to joining LCP, he held a range of roles within the insurance industry, covering all aspects of the capital modelling process, including parameterisation, modelling and validation.
Neil’s recent experience includes providing assurance on validation quality, and advising clients on model changes, improvements to validation processes, and model use. He has frequently presented on capital and validation topics at actuarial conferences, and is a member of the IFoA’s General Insurance Capital Research Group.
Adam is an Associate Consultant at LCP, with experience across capital, validation, reserving and risk management. He recently supported LCP’s “Risk Function of the Future” thought leadership report, which involved interviewing CROs across the market to understand how the risk landscape may evolve, and how risk teams need to evolve in turn. Prior to joining LCP, he worked at Probitas 1492 as a Capital Modelling Analyst.
Jade is an Analyst at LCP. Her experience covers internal model validation, reserving, and reinsurance modelling. She also supports LCP’s Analytics modelling, including helping develop software to assess reserve risk, and analyse trends in reserve deteriorations. She is also co-Chair of the London Market Student Group.
| Members | Book for free |
| Non-members | £45 |