ASTIN Masterclass Webinar - Model Risk Management

ASTIN Masterclass Webinar - Model Risk Management

Model Risk Management – The Quest for a Unifying Approach by Andrew Smith

In this webinar, Andrew will introduce his Masterclass on Model Risk Management. We will preview the first episode in the 8-part series and then delve further into the main take-aways covered throughout the Masterclass, such as: underwriting model risk; reserving model risk; investment model risk; and, model risk management processes. We will close with a Q&A session for the audience. If you are working in Risk Management, you should attend this webinar!

Modern financial businesses rely on thousands of models to support decision-making from pricing and reserving through risk and capital to management bonuses and shareholder decisions. These models sometimes fail. Forecasts prove to be inaccurate, or decisions supported by models may turn out to be unwise. What can we do about this? We cannot eliminate the possibility that the future turns out differently to a model prediction. However, we can ensure that assurance we give on models is both truthful and statistically meaningful. We can reverse stress-test models by feeding them awkward simulated data until they break down. We can choose between harsh validation tests that reveal model weaknesses, or we can apply powerless validation methods where a green light is a foregone conclusion. We can foster a culture where people who become aware of model shortcomings are heard rather than silenced. This ASTIN Masterclass uses a series of examples to highlight quantitative approaches to model risk management, using examples related to underwriting risk, stochastic reserving and the modelling of asset price changes. Andrew offers tips for actuaries pressured into expressing undeserved confidence in risky models, together with tips better to support decision making in the context of uncertainty.


Andrew Smith
Andrew Smith is an assistant professor in the School of Mathematics and Statistics at University College Dublin and an Honorary Fellow of the Institute of Actuaries. Before he moved to Ireland in 2017, he gained 30 years of insurance experience, specialising in stochastic modelling, including fifteen years as a partner in a major consulting firm.


Eric Dal Moro
Eric Dal Moro is Group P&C Chief Actuary at Baloise. Eric has over 20 years of experience in reserving and risk management. Prior to Baloise, he worked in the consulting industry both in Paris and Zurich, and also for AXA in France, Japan and Italy and SCOR in different functions. He also gained some good experience in credit and surety pricing when working at Swiss Re. Eric has been serving as the Chairman of ASTIN Board of the International Actuarial Association since 2022 and between 2014 and 2017 and is an active researcher within the global actuarial community.

Brian Fannin
Brian Fannin has been an actuary for over 20 years. The data lack sufficient credibility for him to give a more precise estimate. Brian has been an Associate of the CAS since 2002 and a Certified Specialist in Predictive Analytics (CSPA) since 2017. He has worked in a variety of roles in commercial insurance, both primary and excess, here in the US as well as Europe, London and Asia. He has taught various workshops and seminars on R and is the author of the book “R for Actuaries and Data Scientists”, published by Actex. He currently works for Milliman, supporting their Arius loss reserving software.

These webinars are complimentary and anyone can register using either time slot below  We do encourage you to join the ASTIN Section to view Andrew's complete Model Risk Management Masterclass as well as other ASTIN Masterclasses.  

June 26, 2024
Session 1: 10:00 - 11:15 CEST
(click here to check your local time)
    June 26, 2024
Session 2: 18:00 - 19:15 CEST
(click here to check your local time)