Agenda | SOA

Sunday, May 6
11:30 a.m. – 12:00 p.m. Registration
12:00 p.m. – 12:05 p.m. Introduction Moderator(s): Suhrid Swaminarayan, FSA, FIA Presenter(s): Christian Curran; Alasdair Johnston; Daniel Mark Schobel, ASA; Hal Warren Pedersen, ASA Session Coordinator(s) Facilitator(s)
12:05 p.m. – 12:15 p.m. Economic Scenario Generator (ESG) Foundational Concepts Presenter(s): Suhrid Swaminarayan, FSA, FIA What is an ESG and what is it used for? (Pricing, regulation, economic capital, hedging, asset management and risk management) Introduction: The Real world versus risk-neutral model dichotomy Session Coordinator(s) Facilitator(s)
12:15 p.m. – 1:15 p.m. Risk Neutral Modeling Presenter(s): Daniel Mark Schobel, ASA Market data Model calibration Validation (model fit, martingale test) Example: Application of a risk-neutral model to product pricing Session Coordinator(s) Facilitator(s)
1:15 p.m. – 1:45 p.m. Break
1:45 p.m. – 2:45 p.m. Real World Scenario Generation Presenter(s): Christian Curran; Alasdair Johnston Moving from valuation to projection of economic variables - motivation and models Model dynamics–how models used for projection behave differently to those used for valuation Target setting–what data to leverage and how to set assumptions for projecting economic variables Model calibration and validation Session Coordinator(s) Facilitator(s)
2:45 p.m. – 3:45 p.m. Expert Judgement in Calibration and Pitfalls Presenter(s): Hal Warren Pedersen, ASA Risk-neutral and real world use case examples building on previous sections. An overview of the challenges with model calibration Selecting models for different purposes e.g. time horizons or moments of distribution Challenges with analyzing and using market data Ensuring models are fit-for-purpose; implications of using the wrong model or poor model calibration Session Coordinator(s) Facilitator(s)
3:45 p.m. – 4:00 p.m. Wrap-Up Each presenter will take a few minutes to sum up some of the key points they want to make. Session Coordinator(s) Facilitator(s)