Mitigating Model Specification Risk in Reserving, Metrics for IFRS 17, Correlations and Drivers, Capital Allocation and SII One-Year Risk Horizon

Talk given by Dr. Ben Zehnwirth to the Actuarial Society of Hong Kong Wednesday August 28, 2019

The talk is divided into four parts:

  • Part 1: Developing a model which describes the data and provides metrics needed for IFRS 17 - mitigating model specification risk
  • Part 2: Metrics needed by IFRS 17 and additional considerations
  • Part 3: Distinguishing correlations, common drivers and spurious correlations
  • Part 4: Risk capital allocation, One-year reserve risk, Solvency II one-year risk horizon

A link to the talk is provided here: document Hong Kong presentation August 2019 (3.53 MB) .

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