The ASSA 2018 ERM Seminar

ACTUARIAL SOCIETY OF SOUTH AFRICA  |  Series , ±36 min episodes total time 5 hr 28 min  | 
The ERM Committee is responsible for growing and supporting the role of actuaries in the field of ERM.

The committee identifies and manages areas of research to support the establishment of an actuarial framework for Enterprise Risk Management (ERM) and to develop actuarial methodologies for measuring and managing Financial Risks.

The objectives include:

Formulate views of the South African actuarial profession on matters of concern to the profession in this field to South African institutions.

Co-operate with other Actuarial Society Committees, particularly the Health, Pensions, Short Term Insurance, Long-Term Insurance and Investment Committees to:
- consider issues of joint concern
- ensure a co-ordinated approach in providing guidance to actuaries: and
- formulate an actuarial process to risk assessment

Promote and encourage the development of actuarial skills in financial risk within the actuarial profession in South Africa, including recommendations to the ASSA Education Committee.

Maintain contact with the appropriate Committee(s) of the International Actuarial Association and develop and maintain contact with AFIR (the Financial Risk Section of the International Actuarial Association);

Liaises with other professional bodies on enterprise and financial risk related issues. e.g. IRMSA, PRMIA and GARP; and

Provides input to regulators on enterprise and financial risk management issues. This includes the implementation and management of the Basel 2 Accord for banks and Solvency Assessment and Management (SAM) for insurers.

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02

Keynote Speaker - Sithembile Mbete

Sithembile is a political analyst and lecturer in the Department of Political Sciences at the University of Pretoria where she lectures International Relations (IR) and South African politics. Sithembile joined the University of Pretoria from The Presidency of South Africa where she was a researcher in the secretariat of the National Planning Commission. Her work in this regard was focused on public service reform and anti-corruption policy. She contributed to the drafting of the National Development Plan. Prior to this she worked as a political researcher at IDASA (Institute for Democracy in Africa) where she was responsible for Parliamentary monitoring and political analysis. Her IR research interests include foreign policy, global governance, middle powers, the United Nations, and decolonising IR theory. Her Political Science research interests include elections and political parties. She has published on the Economic Freedom Fighters’ (EFF) performance in the 2014 elections in the Journal of African Studies and done media commentary on both the 2014 and 2016 elections in South Africa.
04

Update from CERA

Janette Larney (FIA, FASSA, CERA)
She is a senior lecturer at the Centre for Business Mathematics and Informatics of the North-west University. She chairs the Global CERA Review Panel and serves as course leader for ASSA's C100 Applied ERM coursenette Larney (FIA, FASSA, CERA)
05

What do Boards and Board Risk Committees expect from the ERM Function?

Panel: Fagmeedah Peterson-Cook, Herman Bosman and Louis von Zeuner

Fagmeedah Petersen-Cook is an actuary with extensive credentials in the pensions and investments industry. Until 2016, she was the Chief Investment Officer at the Eskom Pension and Provident Fund. Fagmeedah was appointed to the board of the Government Employees Pension Fund (GEPF), to bring her expertise to the oversight of the investment activity of the PIC. She serves on the boards of Telkom (where she chairs the investment committee), ABSA Financial Services, and Pepkor Holdings Ltd (previously Steinhoff Africa Retail), where she is a member of the audit and risk committees, as well as Bankmed (where she chairs the audit committee. Fagmeedah brings Enterprise Risk Management skills and multi-generational planning techniques to the boardroom. Fagmeedah, an avid cricket enthusiast, is the lead independent director of the Western Province Cricket Association

Herman Bosman (B.Com LLB LLM (cum laude), CFA) is the Chief Executive Officer of RMB Holdings (RMH) and Rand Merchant Investment Holdings (RMI), having joined the companies in April 2014. Before this, he was Chief Executive Officer of Deutsche Bank South Africa (2006 - 2013) and Head of Corporate Finance at Rand Merchant Bank (2000 - 2006). Herman serves on the boards of FirstRand, Hastings plc, Discovery, and OUTsurance. He is chairman of Endeavor South Africa and is on the Board of Governors at the University of Johannesburg.

Louis von Zeuner completed 32 years’ service at Absa, ending his career as deputy group chief executive officer from 2009 until 31 December 2012. He has extensive business experience, including experience in audit, risk and capital matters, particularly in the financial sector. He currently serves on a number of boards as a non-executive director, including MMI Holdings, Telkom, Transnet and Afgri. He is also actively involved in sport in South Africa, serving on the boards of Cricket South Africa and SA Rugby
06

Stable weak approximation at work in ruin probability calculations

Mario Giuricich - AIFMRM (The African Institute for Financial Markets and Risk Management, UCT)
He completed his Bachelor of Business Science (Actuarial Science) in 2012, his Master’s in Mathematical Finance in 2013, and submitted his PhD in July 2018. Mario maintains strong ties with his Actuarial Science background. He lectured undergraduate Actuarial Science courses from 2014 to 2018 and continues to tutor and mentor for the South African Actuarial Development Programme (SAADP). Mario’s interests include: running, swimming, birdwatching and exploring new, exciting places
07

Models, mistakes and mayhem

Kavi Pather (Partner at EY) and Idelia Hoberg

Kavi has worked extensively across the industry for more than 10 years. His clients include almost all the short-term insurers of size in the South African market and several large players on the African continent. He has served as a statutory actuary for four short-term insurance licenses in the South African market, is the appointed actuary for a Kenyan general insurer and serves on the board of a large South African Life Insurance Group. He has specialised in the application of actuarial expertise to the industry including reserve valuations, pricing and product development, capital modelling, economic scenario generators, Solvency II and SAM projects, and, more recently, IFRS17. He has extensive experience in model risk management and model validation and has designed a model validation framework as part of the IMAP process. Kavi has also consulted on risk management frameworks, ERM and ORSA over the past 5 years to a large portion of the local market

Idelia started out at EY in Zurich in 2011 and, after various consulting projects with Allianz, moved over to the Risk function at Allianz Group in 2014 and later, in 2016, took on a role of Capital Steering Lead for Life and Health business in the Corporate Finance function of Allianz Group. Idelia set up the internal and technical provision model governance and validation frameworks at Allianz Group. She also worked on the roll-out for the life biometric and business risks as part of the Allianz’s IMAP submission. Within her last role with Allianz she challenged and refined the methodology for the Return on Risk Capital metric and set up processes to embed it into the subsidiaries. Her expertise includes model governance and validation, risk capital calculation, optimised capital allocation, capital management/steering, economic risk capital, product development and risk management processes. She is a Chartered Enterprise Risk Actuary and Fellow of the IFoA
08

Approach to Model Risk in Machine Learning environment

Simon Greenberg - Head of Independent Validation Unit at ABSA Group Limited
He is a “roundabout actuary”. After giving up exams and doing an MSc in Statistics, he decided to finish the exams after all. Unfortunately, by then, he was so comfortable in banking that moving back into a traditional actuarial role was not an option.
Simon is the Head of Independent Validation Unit at ABSA Group Limited. He is passionate about Model Risk in general and the changes in Model Risk management that will be brought about by technological advances, automation and greater data availability
09

Hidden state and parameter estimation using particle filtering

Andrew Soane, AIFMRM
He is a first year PhD student at the African Institute of Financial Markets and Risk Management (AIFMRM), at UCT. He completed his MPhil in Mathematical Finance at AIFMRM in February, 2018, and prior to that he completed a Bachelors in Business Science, in Actuarial Science, from UCT. As part of his Masters degree, he completed a minor dissertation entitled "Latent State and Parameter Estimation of Stochastic Volatility/Jump Models via Particle Filtering". This project looked at simultaneous estimation of hidden states and parameters in various classes of asset price models. He enjoys playing and watching football in his spare time, and winning at poker
10

Cyber Panel : Ask the CISO?

Zaid Parak (Discovery), Kerissa Varma (Old Mutual) and Julian Ramiah (Liberty)

Zaid has over 20 years of IT experience across a wide range of disciplines, including Networking, Infrastructure, Development, Architecture, Security and working knowledge of Risk management with audit exposure. Has driven multiple enterprise wide security programs, projects and implementation of security capabilities. He has also lead and managed large security operations functions, providing security services across all security domains.
As the Group CISO for Discovery, Zaid is a is accountable for all Information and Cyber security at a group level and is responsible for setting the security strategy and vision by developing and implementing a group-wide security programme.

Kerissa started her Information Security and Risk Management career at Telkom, after a four year bursary to study an IT (Hons) degree specializing in Software Engineering in Malaysia. She went on to work in various business sectors including banking, transportation and telecommunication. Her exposure varies from setting up information security practices and teams from the ground-up for a highly cyber-targeted organization to running large security projects for an international bank. She joined Old Mutual in January 2016, and is currently heading up IT, Information Security and Resilience risk in the CISO’s office at Old Mutual

Julian Ramiah is the Chief Information Security Officer - Liberty Holdings Limited.
He continues to disrupt and innovate himself and his career. He is humbled to have contributed to the Financial Services, Government, Army & Special Forces, Insurance and Private Health Care Sectors – functioning strategically & tactically. The latter 15 years being deliberate in the Information Security, Cyber, Data Governance & Privacy arena. His skills, knowledge and experience spans across the various domains of Business, IT, Information Security, Governance, Risk & Compliance.

9 episodes