Groupe Consultatif Actuariel Européen and Institut des Actuaires Summer School Programme June 2013 Lyon, France

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1 Groupe Consultatif Actuariel Européen and Institut des Actuaires Summer School Programme June 2013 Lyon, France Sunday 23rd afternoon 19h00 Tour of the old town of Lyon, jointly with the IAA's AFIR/ERM PBSS Life Colloquium and the Summer School participants. Joint Welcome Cocktail for the Colloquium and the Summer School attendees Monday 24th Joint plenary sessions for the Colloquium and the Summer School: 9h00 9h30 Welcome Address by Gérard Collomb Major of Lyon City Introduction by Thomas Béhar, François Bonnin Institut des Actuaires, Kurt Wolfsdorf IAA, Karel Goossens Groupe Consultatif Actuariel Européen, 9h30 10h30 Speaker Gabriel Bernardino, chairman of EIOPA 11h00 13h00 Round table «Risk management» with the following speakers: Bernard Spitzchairman of FFSA (French Federation of Insurance Companies), Bruno Rousset chairman of Groupe APRIL, Eric Lombard chairman of BNP Parisbas Cardif, representatives of IAA, Groupe Consultatif Actuariel Européen and Institut des Actuaires 13h00 14h30 Lunch 14h30 15h15 Plenary session «Longevity and mortality model risks in the valuation and risk management of long term insurance contracts» 15h15 16h30 Round table «Quantifying plan sponsor covenant within the HBS» with the following speakers: Craig Turnbull Barrie & Hibbert, Simon Willes Gazelle, Gary Hibbard BP, Agnès Canarelli FFSA 16h30 17h00 Coffee break 17h00 18h00 «Application of ERM principles to pensions» Chinu Patel Consulting actuary 20h30 23h30 Joint Gala dinner for attendees of the Colloquium and the Summer School Tuesday 25th 9h00 9h45 Plenary session: «From benefits to guarantees: looking at risk transfers in life annuity and pension products» 9h45 10h30 Plenary session: «Central clearing of derivatives» 11h00 11h45 «Increasing of health expenditure: ageing is it or will it be a major factor?» Isabelle Durand Zaleski URCEco 11h45 12h30 «Techniques for handling extreme events in the context of portfolio construction and risk management» Malcolm Kemp Nematrian 12h30 14h00 Lunch Afternoon Social activities jointly with the Colloquium

2 Wednesday 26th 9h00 9h45 Plenary session: scientific Conference 9h45 10h30 Plenary session: scientific Conference 11h00 11h45 «Modeling for financial strategies in SII models: four strategies and their impacts» Manuel Pringault Optimindwinter 11h45 12h30 «Practical implementation of an LSMC approach in the framework of ORSA in savings contracts» Marc Julliard Optimindwinter 12h30 14h00 Lunch 14h00 14h45 «Solvency II and the magic behind the 99,5% limit : economic and actuarial perspective» Pierre Miehe and Romain Durand 14h45 15h45 Solvency 2: point of progress: Current results and developments Siegbert Baldauf 15h45 16h15 Coffee break 16h15 17h45 «Measuring the performance in Solvency II and in other standards» Thomas Béhar and Baptiste Bréchot (CNP) 17h45 18h30 Closing session of the Summer School and the Colloquium, and Awards

3 SUMMER SCHOOL CV s Siegbert Baldauf is co project manager of the Solvency II project of Groupe Consultatif. He is an actuary working mainly in life insurance business. He is responsible actuary for the life insurance companies ERGO Lebensversicherung AG und Victoria Lebensversicherung iag n Germany. As an experienced actuary he worked across tariffing, accounting and economic valuation. He is chairing the Solvency II working group of DAV from the outset. Thomas Béhar, 43, Fellow Actuary of the Institut des Actuaires (Actuaire Agrégé), is Group Chief Actuary of CNP Assurances, 14th world insurer and he is the President of the Institut des actuaires, the French association of actuaries. Thomas Béhar began his career in the French Insurance Supervisory Commission (CCA). He joined in 2002 CNP Assurances where he was successively Head of Planning and Control Direction, France Accounting director and, since 2011 Chief Group Actuary. He has chaired the Institute of Actuaries from 2006 to 2010 and since He is the Solvency 2 Project Sponsor of the Groupe consultatif actuariel européen. He was part of the Executive Committee of the International Actuarial Association (IAA) from 2010 to He is a member of the Insurance and Reinsurance Stakeholder Group of the European insurance and occupational pensions authority (EIOPA IRSG). Baptiste Bréchot, 33, Actuary of the Institut des actuaires, is in charge of the actuarial standards at CNP Assurances, 14th world insurer. Following an experience of two years in AXA France, Baptiste previously worked as an IFRS expert for the French insurance association (FFSA) and at CNP Assurances. Agnès Canarelli is the actuary in charge of technical issues related to life insurance at the Fédération Française des Sociétés d'assurance (FFSA). Agnès is also in charge at the FFSA to follow changes of prudential regulation in respect of pensions either within the scope Solvency II or IORP II. Previously Agnès worked 11 years at AXA on supplementary pension plans and subsequently became the actuary of the Caisse des Dépôts in charge to implement in 2005 the French Public Service Additional Pension Scheme (RAFP). The RAFP is a fully funded scheme with 4.7 million beneficiaries and 1.7 billion euros premiums per annum). Romain Durand is currently CEO of ACTUARIS International, an international actuarial software & consultancy leading provider. He has been active for more than 30 years in the (re)insurance industry, in various assignments such as Vice President Marketing at NORWICH UNION FRANCE, Chairman and CEO of BALOISE FRANCE, member of the Executive committee of SCOR GROUP and head of Life reinsurance operations, and COO of MATMUT GROUP in France. He joined ACTUARIS in Romain Durand is a graduate of the HEC business school; he has a degree in political sciences of Sciences Po Paris and a degree in economics of the University of Paris. He is a fellow of the Centre des Hautes Etudes d Assurances, and a member of the French Institute of Actuaries.

4 Gary Hibbard works for BP plc where he has carried out a number of global HR and Finance roles, primarily in the area of reward and pensions/benefit covering strategy, policy, governance and operations, over the last 15 years. He currently specializes in the people and pensions aspects of Mergers & Acquisitions work. Gary is an actuary by profession. He is the current chair of the Pension and Benefits Committee of the International Actuarial Association and is particularly active in pension accounting circles. He is a member of the UK Actuarial Profession s Pensions Executive Committee and sits on or chairs various committees of the UK Profession. Marc Juillard who graduated from ISFA in Lyon is a qualified member of the Institut des Actuaires. Marc also has a degree in risk management : ERM expert CERA. Marc is responsible for the R & D department of Optimind Winter. He teaches financial models to Euro Insurance Actuarial Institute (EURIA) and actuarial mathematics at the University of Paris 1. Co author of Financial Models in Insurance (2nd edition) has also written several articles with Frédéric Planchet particularly on issues related to Pillar 1 and 2 of Solvency 2. Malcolm Kemp is Managing Director of Nematrian Limited, a company that provides consultancy services to the financial services sector and develops intellectual property. He is a leading expert in risk and quantitative finance, with over 30 years experience in the financial services industry. Prior to founding Nematrian, Malcolm was Executive Director and Head of Quantitative Research at Threadneedle Asset Management and before that was a partner at Bacon & Woodrow in their investment consultancy practice. Malcolm holds a first class honors degree in Mathematics from Cambridge University and is a Fellow of the Institute and Faculty of Actuaries, a Chartered Enterprise Risk Actuary and an Adjunct Professor at Imperial College Business School, London where he teaches courses in Enterprise Risk Management. Pierre Miehé as Deputy CEO, Pierre MIEHE is responsible for the ACTUARIS International range of software and is providing advice to insurance and reinsurance companies on all actuarial and strategic fields. Formerly consulting actuary in Ernst & Young, Pierre joined ACTUARIS in 2001 to head the software and the non life consulting departments, and since 2010 helps on the development of the international strategy. Specialized in the Solvency II project, he has been a member of the CEIOPS & Institute of Actuaries best estimate commission, and has helped several organisms for European lobbying. Pierre is also administrator of the French Institute of Actuaries, president of the GTSA (French working group on actuarial standards), member of the ACTUARIS International Scientific Committee, member of the editorial board of L actuariel (a French specialized actuarial publication) and of The European Actuary. Pierre MIEHE is a graduate of l ISFA, the Actuarial School of Lyon, and is a member of the French Institute of Actuaries.

5 Chinu Patel Co author of "Entity wide risk management for pension funds" and "Actuaries and discount rates". Leader of European actuaries working party on security in pension schemes. Author of chapter on longevity risk management in "Good governance for pension schemes". Specialties :Governance frameworks for joined up decision making, risk strategy, risk monitoring, structuring and implementing risk solutions, board level communications in a decision friendly context. Frédéric Planchet is actuary, Professor at Institut de Sciences Financière et d'assurances (ISFA) and expert consultant. He works mainly on mortality / longevity modelisation and on the use of financial models in the insurance business. Manuel Pringault is graduated from the ISUP, associated member of the Institute of Actuaries, He is a manager in the Optimind Winter group. For its managerial functions, he is led to supervise different types of profiles, as consultants in charge of actuarial studies and actuaries consulting, on issues related to Pillar 1 of Solvency II. Moreover, he coordinates and presents inter and intra companies training related to the realization of prospective models in insurance and contributes to publishing activities of the Optimind Winter group. Craig Turnbull is a Managing Director at Moody s Analytics. He had been with Barrie & Hibbert for 11 years prior to the company being acquired by Moody's Analytics in At Moody's Analytics he continues to lead the development of the company¹s global insurance and pensions products and services in areas such as economic scenario generation, asset liability modeling and consultancy in economic capital and hedging. A Fellow of the Institute of Actuaries, Craig has been actively involved in the development of global principal based regulatory capital assessment implementations and has been a member or adviser to actuarial professional working groups in this area throughout the world. His risk management research papers have featured in publications such as the British Actuarial Journal and US Contingencies. Craig led the opening of Barrie & Hibbert¹s US operations in He is currently based at Moody's Analytics' Edinburgh office. Simon Willes MA (Oxon) is Chairman of Gazelle a leading firm of independent employer covenant assessors in the UK. Simon has wide experience of advising some of the larger UK pension schemes on covenant assessment and in negotiating mitigation for covenant detriment in major corporate transactions. He recently advised the trustees of the Cable & Wireless Worldwide scheme in respect of public takeover by Vodafone. Simon has developed the first quantitative model for assessing covenant risk as a monetary value and is in the process of introducing this to the UK pensions market.