Actuarial sciences

Non-life, Life & Pensions and Regulatory Support Services

Tailor-made deliverables

Design of clear and innovative tailor-made deliverables

Up-to-date models and methods

Use of the most up-to-date and suitable statistical models and methods

Regulatory environment

Compliance with the surrounding regulatory environment

1.1 Non-life

A priori

Based on a portfolio of insurance policies, prediction of the claims experience for the different risk classes.

Phase I : Exploratory analysis

  • Selection of the explanatory variables on the basis of independence tests, colinearity analysis, etc.
  • Descriptive analysis of selected explanatory variables

Phase II : Modelling of claims experience with different models

  • Generalized Linear Models, Generalized Additive Models
  • Machine learning methods : Trees, Random Forest, Gradient Boosting Method

Phase III : Selection of the optimal model and resulting predictions

A posteriori

Application of the credibility theory, which consists in reassessing the amount of an individual’s premium on the basis of his or her own claims experience.

  • Bayesian credibility
  • Linear credibility
  • Full credibility
  • Markovian credibility
Calculation of technical provisions for claims incurred but not reported (IBNR)
  • Deterministic Provisioning Methods : Chain Ladder, London Chain, Projected Case Estimate, Taylor Separation and Bornhuetter-Ferguson
  • Stochastic Provisioning Methods : Mack method, Generalized Linear Models

1.2 Life and pensions

Modelling of mortality rates, survival probabilities and death probabilities
  • Discrete Stochastic Models : Lee-Carter, Cairns–Blake–Dowd
  • Continuous Stochastic Models : affine models such as Hull and White, Feller and Cox-Ingersoll-Ross

This type of work can be part of life annuity pricing or design of longevity/mortality-indexed derivatives.

Control of the adequacy of calculations related to DB pension plans with the accounting standard IAS 19

Phase I : check of the assumptions

  • discount rate
  • salary increase rate
  • social security ceilings
  • mortality rate
  • turnover
  • retirement age

Phase II : check of the defined benefit liability

  • DBO
  • Assets

Phase III : check of the annual charge of the plan

  • pension expense (service cost, interest cost, interest income, etc)
  • actuarial gains and losses

1.3 Regulatory support

Solvency 2