Agenda

Sunday, May 6
11:30 a.m. – 12:00 p.m.
12:00 p.m. – 12:05 p.m.

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.

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.

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.
1:45 p.m. – 2:45 p.m.

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.

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.

Each presenter will take a few minutes to sum up some of the key points they want to make.

Session Coordinator(s)

Facilitator(s)