Tag Archives: Alexandre Boumezoued

Alternative mortality and longevity stress calibration considerations

In recent Consultation Papers, the EIOPA proposed an alternative calibration of the Standard Formula mortality and longevity stresses. In this paper, Milliman’s Alexandre Boumezoued proposes two alternative and complementary views to the EIOPA’s final technical set of advice on the mortality and longevity shock calibration: a prospective approach in the spirit of one-year calculations and a retrospective analysis based on historical data from corrected mortality tables.

Modeling the future of COVID-19

There is still much uncertainty about the current COVID-19 outbreak. Modelers are trying to anticipate the future of this pandemic based on relevant parameters driving its evolution. To this aim, the current scientific literature is a core source of information. However, in a context of exponentially increasing numbers of publications, an exhaustive manual analysis remains out of reach.

In this paper, Milliman consultants illustrate the potential and the challenges of using Bidirectional Encoder Representations from Transformers (BERT), a Natural Language Processing (NLP) framework, to automate the task of gathering input information and assisting experts for COVID-19 studies.

Individual claim reserving models: Adding value

Individual claim models (ICMs) is an emerging area of research and practice which uses individual claim level data to estimate loss reserves. Evolution in technology with respect to efficient data collection, storage and analysis has made ICMs more accessible. ICMs are most effective as a complement to existing models in a loss reserve analysis. Milliman consultants Alexandre Boumezoued and Jeff Courchene offer some perspective in this article.

Milliman wins two InsuranceERM awards with latest European insurtech offerings

Milliman is pleased to announce that it has won two 2018-2019 InsuranceERM Awards for the firm’s insurtech offerings. Milliman Mind, a cloud-based platform that automatically converts Excel spreadsheets to more powerful models, was named “Best end-user computing risk management solution,” while Milliman CHESS™ (Cloud Hosted Economic Scenario Simulator), a cloud-based economic scenario generator (ESG) web application, has won in the “Best ESG software” category. Both insurtech products demonstrate the firm’s ability to solve important industry problems by pairing Milliman’s subject matter expertise with innovative thinking and solutions.

“Model risk is a unique and rapidly developing area of Enterprise Risk Management, thanks in part to the implementation of Solvency II and the focus on internal model validation,” said Pierre Miehe, director of the Milliman Mind teams. “Milliman Mind manages this risk by automatically converting Excel models into more powerful and robust C# models—allowing firms to continue to benefit from the ease of Excel model design, while improving efficiency, accuracy, and collaboration. We believe this is a powerful and valuable tool for both life and non-life insurers, and we’re thrilled it has been recognized by InsuranceERM as the best end-user computing risk management solution.”

InsuranceERM UK & Europe awards 2018-2019 are the most prestigious in the rapidly changing area of risk and capital management in the insurance sector. Senior industry experts from across Europe and the UK served as judges for the awards.

“More and more, insurers are looking for economic scenario generator (ESG) software that is not only rapid, but intuitive and user-friendly,” said Alexandre Boumezoued, one of the product leaders for Milliman CHESS. “As a cloud-based web application, Milliman CHESS can quickly run multiple, complex calibrations and intensive simulations while simultaneously ensuring instant deployment and maintenance of the solution—all via a web browser. This power and ease of use can greatly increase efficiencies for insurers, and we’re pleased to be recognized by InsuranceERM.” The Milliman CHESS team is led by Alexandre Boumezoued, Pierre-Edouard Arrouy, and Paul Bonnefoy in Paris.

Milliman actuaries offer perspectives at the 31st International Congress of Actuaries

Chief economist Peter Praet of the European Central Bank (ECB) made some remarks that received a lot of attention earlier this month at the 31st International Congress of Actuaries (ICA) held in Berlin. Praet outlined the ECB’s response to different phases during the steady decline of short- and long-term interest rates and added that low interest rates create challenges for many business models of insurance companies. Praet revealed ahead of a policy meeting later in the month that discussions in this meeting would be key in determining when to end ECB’s bond-buying program.

Praet made these statements during a session at the ICA on the future of the low interest rate environment. Milliman’s Ken Mungan, in that same session, moderated a panel on the macroeconomic aspects and impacts on the insurance sector, which included Praet, Stephen O’Hearn, global insurance leader for PricewaterhouseCoopers, and Klaus Wiener, chief economist of the German Insurance Association.

Masaaki Yoshimura of Milliman’s Tokyo office, who is president of the International Association of Actuaries, opened and closed the event. Over 100 countries were represented and there was a record number of attendees, with just under 3,000 participants, including more than 50 Milliman consultants.

The event covered a variety of content encompassing all areas of actuarial work, and there were a number of perspectives about that work—including from insurance actuaries, regulators, consultants, and academics. This year, there was a strong focus on potential changes to the industry due to technology and the risks this could introduce to companies and to policyholders. Actuaries were encouraged to think carefully about these emerging risks.

Milliman was well represented, with eight consultants speaking on various topics relevant to the global attendees.

Milliman speakers and their topics were:

• Alexandre Boumezoued. “Individual Claims Reserving: Opportunity as a Challenge.”
• Zachary Brown. “Improving Actuarial Communication.”
• Joanne Buckle and Chris Bristow (Institute and Faculty of Actuaries). “Life Long Learning in the IFoA.”
• Joanne Buckle and Didier Serre. “Alternative Payment Models for High Cost Creative Therapies.”
• Naoufal El Bekri. “Mortality Tables Update Through Multi-Population Models: Application to Longevity Risk Transfer and Shock Computation.”
• Tigran Kalberer. “Architecture of Internal Models.”
• Allen Klein. “Long-Term Drivers of Future Mortality.”
• Allen Klein. “Underwriting Around the World: An Update.”
• Noriyuki Kogo. “Predicting Incidences of Acute Myocardial Infarctions: Are Big Data and Machine Learning Algorithms Useful for Predictive Models?”
• Bridget MacDonnell. “Recovery and Resolution Plans in Banking and Insurance.”
• Pat Renzi. “New Developments in Insurance IT.”

The future of (individual) reserving

In most cases, the current reserving practice consists of using methods based on claim development triangles for point estimate projections and capital requirement calculations. Taking advantage of the information embedded in individual claims data is a promising alternative to address the need for more accurate models within the reserving practice. This white paper by Milliman’s Laurent Devineau, Fabrice Taillieu, and Alexandre Boumezoued examines the innovative opportunities offered by alternative individual reserving models and the main challenges with their implementation.