Life & Pensions Nordics
8 June 2010, Stockholm

08:20 Registration and refreshments

08:50 Chairman’s opening remarks

09:00 KEYNOTE REGULATORY PANEL
Regulatory progress and ongoing technical issues for Solvency II: getting it right by 2012
• CEIOPS consultation papers
• Issues to be addressed in QIS 5
• Selecting a risk-free rate: are swaps a real alternative?
• The question of illiquidity premium
• Ensuring the principle of proportionality is maintained
• Compatibility with IFRS 4?

Moderator: Aaron Woolner, Editor, LIFE & PENSION RISK MAGAZINE
Malin Björkmo, Director, Supervision of Life Insurance Companies, Pension Funds and Investment Funds, FINANSINSPEKTIONEN
Jan Parner, Deputy Director General, FINANSTILSYNET
Hely Salomaa, Chief Advisor, Prudential Supervision, FIN-FSA

10:00 Integrating economic capital with Solvency II: effectively implementing internal models
• Comparing alternative approaches for building internal models
• Replicating portfolios as a tool for capturing risk factors spanning asset and liabilities
• Aggregating market, credit, and insurance risk types though scenario projections
• Meeting the challenges of implementing a robust enterprise ECAP process
• Leveraging an enterprise risk framework for asset allocation purposes

Andrew Aziz, Executive Vice President, Risk Solutions, ALGORITHMICS

10:40 Morning break

11:10 KEYNOTE
Learning the lessons of recent volatility: asset allocation strategies for 2010 and beyond
• Assessing the affect of recent volatility on asset allocation strategies
• The changing role of equities in insurers and pension funds’ portfolios
• Opportunities offered by different asset classes
• The impact of a reduced risk capacity: how do we now recoup losses?

Bjarne Graven Larsen, Chief Investment Officer, ATP

11:50 MCEV: is more consistency needed?
• What is “market consistency” in principle and in practice?
• Where is market consistency under challenge and why?
• Assessing the impact of market consistency on insurers during the downturn
• What is the future of market consistency? What are the alternatives?

John Hibbert, Director, BARRIE & HIBBERT

12:30 Lunch

13:30 Liability modelling: a case study from the Danish pension sector
• Which models for which purposes?
• Choice of model types
• The practical use of models
• Involving non executive directors
• Are the models the masters?

Peter Melchior, Deputy Chief Executive Officer, PKA

14:10 Exploring investment opportunities offered by credit markets for long-term investors
• Comparing credit and equities
• To what extent is the current implied default rate a reflection of a lack of liquidity?
• Managing tail risk
• Are the potential returns worth the risk?

Janne Saarikko, Executive Vice President, MANDATUM LIFE

14:50 Afternoon break

15:20 Managing and utilizing the threats and possibilities posed to your portfolio by a rising rate of inflation
• Defining inflation: do all kinds of inflation pose a threat?
• Managing asset inflation, headline and/or core consumer price inflation
• Strategies for managing a structural pickup in overall inflation

Staffan Hansen, Chief Investment Officer, SPP LIVFÖRSÄKRING

16:00 Risk Roundtable
The role of the risk manager
• Solvency II and good risk governance
• The role of the board
• Who should the CRO report to?
• Building a culture of risk awareness

Moderator: Aaron Woolner, Editor, LIFE & PENSION RISK MAGAZINE
Hakan Ljung, Chief Actuary, Chief Risk Officer, SKANDIA LIV
Lars Oswald Dahl, Head of Risk Management, STOREBRAND
Peter Melchior, Deputy Chief Executive Officer, PKA

16:40 Chairman’s closing remarks

16:50 Drinks reception