Swiss Risk and Insurance Forum

15 - 16 May 2017

Location: Rüschlikon/Zurich, Switzerland

About the event

The Swiss Risk and Insurance Forum - Asset-Liability Management for Long-Term Insurance Business

The Swiss Risk and Insurance Forum brought together experts from academia, the insurance industry, regulatory bodies and consulting companies to discuss (typically technical) topics that are relevant to the insurance industry. The main objective is to provide a platform on which people from academia can interact with those involved on the more practical side of the insurance industry. This facilitated the knowledge transfer in both directions helping enrich the research agendas of the academic institutions and enabling those dealing with practical matters to partake in the newest academic developments.

The Steering Board and Organizing Committee of the Swiss Risk and Insurance Forum consists of H. Albrecher (University of Lausanne), P. Embrechts (ETH Zurich), D. Filipovic (EPFL Lausanne), P. Koch-Medina (University of Zurich), and Stephan Schreckenberg (Swiss Re).

About this year’s event

During the past decades major changes have taken place in the way risk is assessed and managed in the insurance industry. This is witnessed by the emergency of economic solvency regimes such as Solvency II and the Swiss Solvency Test and by the development of accounting standards that are closer to an economic view. One of the key changes has been the identification of the risk of a mismatch between assets and liabilities as one of the most critical risks insurers writing long-term business are exposed to. Insurers are liability-driven financial intermediaries and their investment activity needs to be guided by its purpose which is to ensure that claims can be met as they fall due. That is, the liability structure is the benchmark for a successful asset liability management of an insurer.

However, determining the liability benchmark and managing to it is anything but straightforward in practice and there are a variety of undesirable and unavoidable risks that, given their current type of businesses, insurers are forced to accept and manage. At the same time, this leads to interesting academic and practical questions. It is the purpose of this conference to gather views from both academia and the industry, on how to address the resulting challenges from a theoretical and practical perspective. We also touched on regulatory issues related to Solvency II and the Swiss Solvency Test, whose standard formula is now being revised.

Participation by invitation

H. Albrecher, University of Lausanne; P. Embrechts, ETH Zurich; D. Filipovic, EPFL Lausanne; P. Koch-Medina, University of Zurich; Stephan Schreckenberg, Swiss Re


15 May 2017


Arrival, registration


Welcome and introductory presentation


Module 1: Valuation


Coffee break 


Module 2: Products


Coffee break 


Working sessions for modules 1 & 2 in two separate groups


Break, hotel check-in, free time




16 May 2017


Module 3: Investments


Coffee break


Module 4: Models




Working sessions for modules 3 & 4 in two separate groups


Coffee break


Wrap-up session

This event may be broadcasted live, photographed, filmed and /or recorded. A summary of the event, pictures and/or a video of the event in which you may appear may be posted and made available on Swiss Re’s and the Swiss Re Institute's internal and external websites and in printed materials.