Agenda

Agenda

Optimizing Insurance ALM and Investments | Agenda

Agenda timing is in HKT/SGT

08:4509:00

Registration

09:00 - 10:00

09:0010:00

Overview of Insurance ALM

09:00 - 09:45

  • Objective of ALM
  • ALM framework
  • Key methodologies and measurements
  • ALM Governance
  • Understanding what an ALCO is
Fiona Chau

Director, Actuarial Services

KPMG

Life actuary focusing on impact of regulatory changes. She was involved in helping the HK regulator and industry in designing HK RBC.

Dave Lin

Manager, Risk Consulting

KPMG Advisory (Hong Kong) Limited

Life actuary specialising in IFRS 17 and risk based capital.

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Measuring and Managing Market Risks

09:00 - 10:00

  • Measuring standalone risks
    • Interest rate risk (duration, convexity, principal component analysis)
    • Other market risks (FX, equity delta, gamma, EQIV, IRIV, spread)
  • Measuring combined risks via an economic capital framework or scenario analysis
  • Managing market risks via derivatives
    • General principles
    • Case Study 1: Simple 1-to-1 hedging vs delta-one derivatives
    • Case Study 2: Portfolio level market risk hedging via delta-one derivatives
    • Case Study 3: Tactical capital reduction hedging via options.
    • Case Study 4: Strategic and dynamic option-based hedging.
Richard Chan

AXA HK and Asia Head of ALM

AXA

Richard Chan is the AXA HK and Asia Head of ALM, where he is responsible for AXA’s ALM and Solution functions in 7 jurisdictions including China, HK and Thailand. His main responsibilities include setting strategic asset allocation and running the hedging programs. Before joining AXA, Richard was the Capital and Investment Actuary in Prudential Hong Kong, and headed the Capital Management, ALM and Investment functions at different points in time. Further before, Richard was the Chief Risk Officer of Aviva HK. He is a Fellow of the Society of Actuaries, a CFA charter-holder and an FRM charter-holder.

11:1511:15

End of Day 1

09:00 - 10:00

09:0010:00

Measuring and Managing Liquidity Risks

10:15 - 11:15

  • How to measure liquidity risks
  • What to consider when managing liquidity risks
  • Perspectives to view liquidity risks
  • Case Study
Aaron Sanders

Liquidity Risk Practice-Lead

QRM

Aaron Sanders is the Liquidity Risk Practice Leader at QRM. His efforts have been central to the firm’s success over the past decade in assisting its clients to navigate through the ever evolving requirements within liquidity risk management. 

He has consulted with QRM clients around the world and is frequently asked to present at industry conferences, as well as in front of regulatory bodies and financial firms. He carries a BA in Economics from the University of Chicago.

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Strengthening strategic planning with stress testing

10:00 - 11:15

  • Developing a strategic plan
  • Assessing the risks of the plan
  • Enhancing the plan with dynamic strategies
  • Creating contingency plans
Brian Rhoads

Insurance Practice Leader

Quantitative Risk Management

Brian Rhoads is the Insurance Practice Leader for Quantitative Risk Management (QRM) in Chicago.  Brian consults with insurance companies on the design, implementation and application of financial modeling processes for ALM, capital management, market risk management, and financial planning.   Prior to QRM, Brian served as the interest rate risk manager for Allstate Financial, and as a senior pricing analyst for Allstate Insurance.  Brian has been serving global financial institutions for over 23 years, holds a master’s degree in Financial Mathematics from the University of Chicago, and is a CFA charterholder. 

11:1511:15

End of Day 2

09:00 - 10:01

09:0010:00

Insurance Portfolio Optimization Under Economic and Regulatory Capital Constraints

10:15 - 11:15

  • Balancing Capital Regimes
  • Optimization Framework
    • Objectives
    • Decision Variables
    • Constraints – ALM, Economic, Investment
  • Case Study
    • Full Balance Sheet Analysis
      • Assets
      • Liabilities – Fair Value, IFRS17
    • Efficient Frontier
    • SAA Optimizations
      • Regulatory Capital Overlay
      • Economic Capital Overlay
      • Combination Overlay
    • Balance Sheet Sensitivities to Risk/Return
Vinaya Sharma

Actuary and Managing Director

QRM

Vinaya Sharma is an Actuary and Managing Director at QRM. He has been involved in a variety of roles ranging from actuarial modeling to client management and business development for financial institutions and insurance companies around the globe. Prior to joining QRM, he helped lead his employer’s Enterprise Risk Management initiative and was active in the Society of Actuaries Risk Management Task Force. He is a Fellow in the Society of Actuaries, a Chartered Enterprise Risk Analyst, and holds the PRM designation from PRMIA.

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Strategic Asset Allocation and Optimization

10:15 - 11:15

  • Background: Asset-only SAA methodologies
  • How to modify the asset-only SAA methodologies for insurance ALM use
  • Special considerations for participating products and universal life products
  • Understanding the different asset classes and which are not affected by IFRS17, RBC, and IFRS9 regulatory changes (Private Equity, Private FI, and Infrastructure)
  • Setting up the assumption and understanding how to model them to ensure optimization
  • The common KPIs that needs to be optimized under IFRS17: (CSM, VNB, Income Volatilities, and Reserves)
Olivier Trecco

Client Portfolio Management, NIM Solutions

Natixis Investment Managers International

Olivier Trecco is a Client Portfolio Manager at Natixis Investment Managers Solutions. He is dedicated to Insurance clients. Prior to joining Natixis Investment Managers, Mr Trecco was a director with Natixis CIB, working on advisory solutions for institutional clients. He worked before that for the French Insurance Regulator, the ACPR, on the European negotiations leading to the finalization of Solvency II.

Mr Trecco is a graduate from both the Institut d’Etudes Politiques de Paris (Sciences PO) and the Paris School of Economics.

11:1511:15

End of Day 3

09:00 - 10:00

09:0010:00

Stochastic Modeling for IFRS17

10:15 - 11:15

  • Understanding the IFRS17 Discount Rate and how it should reflect the liquidity characteristic of liability
  • Adding the liability liquidity premium to ESG investment returns used to project the liability cash flows
  • Using the discount rate for discount liability cash flows back to the valuation date, to ensure that the equivalent martingale measure and market consistent arbitrage-free properties of the valuation are preserved
  • Calibrating the ESG with locked-in Discount Rate (for business with mutualisation and without mutualisation)
  • Other market variables required in the ESG calibration process
  • Common approximation methodologies to determine TVoG and financial risks in IFRS17 if  the use of a stochastic model is not available
Jonathan Lau

Associate Director, Actuarial Team

KPMG HK

Jonathan is an Associate Director in the KPMG HK actuarial team. He has spent many years working in stochastic modelling and market risk modelling as he has worked in Moody’s Analytics Economic Scenario Generator sales team and was the Head of Market Risk for Legal & General in the UK. He moved to HK 3 years ago to join KPMG HK and has advised HK insurers on interest rates and ESGs in preparation for IFRS 17 and HKRBC.

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Approach to Transition

10:15 - 11:15

  • Full retrospective approach
  • Modified retrospective approach
  • Fair value approach: Looking at P&L vs OCI (Other Comprehensive Income)
  • Choosing your approach
  • Case Studies
Steve Cheung

Associate Partner

EY Actuarial & Insurance Advisory Services Hong Kong

Steve Cheung is Associate Partner and Consulting Actuary of the EY Asia Pacific Actuarial & Insurance Advisory Services, based in Hong Kong. He is the fellow member of the Society of Actuaries. Steve is the EY Global IFRS 17 technical panel member and sub-group leader. During his actuarial consulting experience, he has helped clients in Asia Pacific in implementing various financial reporting bases, including IFRS 17, USGAAP, Purchase Price Allocation, and Embedded value. Steve has also helped different clients in the region on IFRS 17 subledger system implementation, deterministic/ stochastic actuarial modeling to align with the client’s reporting requirements.

Alexander Aeberli

Senior Manager

EY APAC FSO Business Consulting, Actuarial & Insurance Advisory Services

Alex is an Actuarial Senior Manager in EY Australia’s Actuarial & Insurance Advisory Services team. He has been working on IFRS 17 related topics for the past six years and he has contributed to EY’s various responses to the IASB on previous Exposure Drafts on IFRS 17. He is currently working with several Life insurers, General insurers, and Reinsurers in Oceania on a wide range of topics related to IFRS 17 including addressing data, systems, and process questions. Prior to moving to Australia, Alex has worked with clients on IFRS 17 topics in Switzerland, Germany, South Korea, India, Taiwan, Mainland China, Singapore, and Hong Kong. He was supporting EY’s Korea practice on the first ever IFRS 17 implementation project in Seoul during 2016.

Alex is a member EY’s Oceania IFRS 17 Steering Committee, a member of EY’s APAC IFRS 17 Steering Committee, and a member of EY’s Global IFRS Insurance Technical Panel. He is the functional owner of EY’s Global IFRS 17 technical & operational implementation network.

Alex is a qualified actuary with the Swiss Actuarial Association and has over 7 years’ of international work experience.

11:1511:15

End of Day 4

09:00 - 10:00

09:0010:00

How to work together and move forward

09:00 - 10:00

  • What are factors to consider when working with each other
  • How to help one another with changes coming to maximize profit and growth
  • Case study
Henry Cheung

Partner

Deloitte Consulting, Actuarial Service

Henry is a Partner in the life Insurance practice of Deloitte Actuarial based in Hong Kong. He joined the firm in 2011 after working in ING Hong Kong and BOCG Life Insurance, and overall has around 15 years’ working experience. He has worked in various positions in corporate actuarial throughout his career.

He has first hand experience and expertise in IFRS 17 implementation challenges and technical advisory faced by insurers. In the past 3 years, he was full time leading a flagship IFRS 17 implementation project in a multinational life insurer to advise the data management, CSM calculation and posting requirements for sub-ledger solution.

Ophelia Au Young

Partner

Deloitte Consulting, Actuarial Service

Ophelia is a Partner of Deloitte’s Life Insurance Practice. She has more than 18 years of experience in life insurance.  She has worked with clients solving a range of business problems over her 13 years of consulting experience, ranging from M&A, Embedded Value, Appointed Actuary Reporting, actuarial modelling and operating model.  In the past two years, she has worked with a number of insurers on the implementation of IFRS 17, ranging from technical interpretations to data and system implementation.

She served as the Chief Actuary of AIA Taiwan prior to re-joining Deloitte Actuarial in late 2016 where she took charge of product and sales campaign pricing and financial reporting.

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

How does IFRS17 apply to Insurance ALM?

09:00 - 10:00

  • Implications of IFRS17 on Insurance ALM and investments
  • What are the regulatory changes made that will impact balance sheets
  • How to optimize investments with new IFRS17 regulations
Henry Cheung

Partner

Deloitte Consulting, Actuarial Service

Henry is a Partner in the life Insurance practice of Deloitte Actuarial based in Hong Kong. He joined the firm in 2011 after working in ING Hong Kong and BOCG Life Insurance, and overall has around 15 years’ working experience. He has worked in various positions in corporate actuarial throughout his career.

He has first hand experience and expertise in IFRS 17 implementation challenges and technical advisory faced by insurers. In the past 3 years, he was full time leading a flagship IFRS 17 implementation project in a multinational life insurer to advise the data management, CSM calculation and posting requirements for sub-ledger solution.

Ophelia Au Young

Partner

Deloitte Consulting, Actuarial Service

Ophelia is a Partner of Deloitte’s Life Insurance Practice. She has more than 18 years of experience in life insurance.  She has worked with clients solving a range of business problems over her 13 years of consulting experience, ranging from M&A, Embedded Value, Appointed Actuary Reporting, actuarial modelling and operating model.  In the past two years, she has worked with a number of insurers on the implementation of IFRS 17, ranging from technical interpretations to data and system implementation.

She served as the Chief Actuary of AIA Taiwan prior to re-joining Deloitte Actuarial in late 2016 where she took charge of product and sales campaign pricing and financial reporting.

11:1511:15

End of course

09:00 - 10:00