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) .