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General Information About the Workshop

The Workshop is a regular event that has already been staged at the European University at St. Petersburg for a number of years (previously known as «St. Petersburg Spring School in Risk Management, Insurance, and Finance»). The main objective of the Workshop is to disseminate knowledge and results of latest research in the area of Risk Management, Insurance, Finance, and related fields. The target audience is academics, students and practitioners from Russia and other countries of the former Soviet Union, although participants from the rest of the world are very welcome to join the Workshop as well. The working language of the Workshop is English.

St. Petersburg Spring Workshop on Risk Management, Insurance, and Finance 2018

The Workshop dates are March 1–3, 2018. Participants requiring a visa to Russia must register before January 9, 2018. Other participants must register before February 12, 2018. To register, please send your name, affiliation and contact information to Ms Lina Terekhina. The Workshop is free to partake in, i.e., there is no participation fee.

The Programme

March 1st, 2018  

Risk measurement and modelling under Solvency II by Professor Rocco Roberto Cerchiara, Università della Calabria, Italy


  1. The calculation of SCR: standard formula with simplification, standard formula, standard formula with USP, partial internal model and full internal model.
  2. Undertaking Specific Parameters under Solvency II.
  3. Partial and Internal Models:
    a) Aggregate Loss Distributions, Extreme Value Theory and Risk Measures. 
    b) The calculation of the Aggregate Loss Distribution using Monte Carlo Simulation and Fast Fourier Transform.
  4. Analysis of the underwriting cycle using a Piecewise Linear Dynamic System under the ORSA requirements.

March 2nd, 2018 

Life Insurance by Lauri Saraste, LocalTapiola Life, Finland


  1. Life insurance products. What are the normal products, how to deal with long maturity products, why guaranties are tricky, how to manage with customer behavior, what are the issue in Europe with Life products.
  2. ALM in life insurance. What are the important steps with the Strategic asset allocation (SAA), how capital allocation and hedging needs to be taken into account, what are important drivers with ALM.
  3. Solvency II framework in life insurance. Valuation, VaR-measures, relationship with the market, processes.
  4. Managing the business. What do the different functions (actuary, risk management, investment, etc.) try to achieve, with what measures can life insurance be monitored, how all this can be used for better business decisions.

March 3rd, 2018  

Economical Scenario Generators and Applications by Alexey Botvinnik, Conning Germany GmbH, Köln


Part 1. ESG section.

  • Tools needed to build an ESG;
  • How to construct a good model (using equity modeling as an example);
  • Introduction to interest rate models;
  • Real world modeling and validation;
  • Risk neutral modeling and validation;
  • Q&A.

Part 2. Applications section.

  • Modeling investments using ESG output;
  • Building an integrated company model;
  • Risk management using stochastic projections;
  • Strategic Asset Allocation (SAA): Case Study;
  • Q&A.

The Organising Committee


Ms Lina Terekhina
Department of Economics
European University at St. Petersburg
6/1А Gagarinskaya Street,
St. Petersburg, 191187

E-mail: [email protected]

Phone/fax: +7 (812) 386-7632

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