2022 Presentation Summaries

DEMYSTIFYING THE ASSA DESIGNATIONS

Michelle Abrahams, Conrad Backeberg

Presentation

October 26, 2022, 2:15 PM – 2:45 PM

Relevant practice area: Professional Matters      

Suggested audience knowledge level:  Intermediate / Foundation

Abstract

In an era where titles and roles and what actuaries do have become topical in the media, understanding what the actuarial designations offered by ASSA means to the individual is pivotal to ensuring consistency about the public understanding of the actuarial profession.

The panel will address:

  • The ASSA qualification roadmap for the ASSA actuarial designations and the importance of transferring membership when requirements are met. (Michelle Abrahams)
  • An introduction to the competency framework and what level of competency can be expected of an ASSA designation holder (Conrad Backeberg)

Purpose

The intention of the panel is to raise awareness about when it is appropriate to use the title, Actuary and to give insight into how to get to that point. The additional goal of the discussion is to create an understanding that there are potential key competencies in terms of skills and abilities actuaries should be able to perform when they have attained specific actuarial designations.

Intended Outcome

ASSA members have an understanding of their actuarial identity in terms of their designations, when they are exposed to topical discussions where there may be misconceptions – the consistent message about the profession will prevail.


SUSTAINABILITY : ENHANCING THE RELEVANCE AND IMPACT OF EMPLOYEE BENEFITS FOR CURRENT AND FUTURE GENERATIONS

John Anderson

Pre-Recorded Oral Presentation

Relevant practice area: Retirement Matters      

Suggested audience knowledge level:  Intermediate 

The primary objective of a retirement fund is to provide sufficient income to members at retirement. This requires a long-term approach to investing, securing an adequate real rate of return and navigating the various risks and opportunities presented over a number of decades.

Regulation 28 of the Pension Funds Act requires trustees of retirement funds to consider a range of issues when designing an appropriate investment strategy, including environmental, social and governance issues. More recently, the FSCA issued Guidance Note 1 of 2019 on the sustainability of investments and assets in the context of a retirement fund’s investment policy statement. The note provides guidance on the FSCA’s expectations for compliance with Regulation 28 and disclosure and reporting requirements for retirement funds on sustainability factors.

One of these factors is in relation to climate change.

Science has shown a direct link between human-made green-house gas emissions and global warming. Indeed, at present the average global temperate has increased by 1.1 degrees Celsius above pre-industrial (1850-1900) levels. Global initiatives aim to limit warming to well below 2 degrees Celsius, given the severe implications on global economies and humanity beyond these levels. The recent floods in KZN are an example of the implications to the economy and livelihoods of such events – and events like this will become more frequent and severe as global temperatures increase, especially if they exceed 2 degrees Celsius above pre-industrial levels.

The presentation demonstrates the long-term implications of climate change on retirement fund returns – with every 1% per annum return impact translating to an impact in retirement income of 28%. It also sets out key areas trustees should focus on the manage the risks and opportunities presented, including the practical implications for trustees in implementing the Task-force for climate-related financial disclosures (TCFD).

Although there are some challenges in implementing the TCFD there have been recent improvements in company disclosure standards as well as the increasing data available to monitor ESG risks. It is therefore important that trustees be proactive and work together with their asset consultant, multi-manager and asset managers in embedding the latest practices in their investment strategies. This is because other sustainability factors such as biodiversity and inequality risks will be next on the agenda and likely to follow a similar approach to how the TCFD framework has been adopted globally. It is therefore important that trustees have an approach to incorporate sustainability factors into the running of their fund using TCFD as a start.

In conclusion, the presentation highlights how the sustainability agenda around the world is rapidly moving, with key issues linked to risks and returns affecting long-term investment returns. Despite this, a recent World Bank report has highlighted that there is still a significant catch-up required by funds in Southern Africa in relation to managing sustainability risks, opportunities and disclosure compared to international best practice. Funds that are proactive in aligning to international best practice will serve their members well over the long run and also ensure that they meet the high standards required in meeting their fiduciary duties.

Outcomes:
1. an understanding of what sustainability is
2. an understanding of the impact of ESG issues on employee benefits
3. an understanding of where the current gaps are
4. practical considerations on how to address these gaps

 


A REVIEW OF THE SOUTH AFRICAN ADOPTION OF BASEL, IMPACT ON LENDING PRACTICES OF BANKS AND SUBSEQUENT IMPACT ON SOCIETY AND WEALTH OF ORDINARY SOUTH AFRICANS

Vincent Anthonyrajah, Musa Malwandla

Presentation

October 26, 2022, 1:15 PM – 2:15 PM

Relevant practice area: Banking

Suggested audience knowledge level:  Advanced

A review of the South African adoption of Basel, impact on lending practices of banks and subsequent impact on society and wealth of ordinary South Africans

We (Vincent Anthonyrajah and Musa Malwandla) will review the South African adoption of the Basel guidelines and assess the impact on South African bank lending practices, the impact on society and the wealth of ordinary South Africans.

The paper will investigate whether the regulatory capital framework resulted in banks moving away from lending practices that encourage wealth creation (mortgages) to consumption focused loans (personal loans).

The paper will build on existing analysis by Malwandla that showed evidence that over the past 15 years, South African’s rent more and own less. Furthermore, there has been a material increase in indebtedness in expensive personal loans, which have been used for consumption. It will also look at work by Malwandla that showed how this shift in lending practices had a negative impact in South Africa’s GDP growth.

The paper will analyse whether increased unrest in South Africa and worsening social cohesion are functions of the fact more South Africans have not been able to purchase homes yet have been locked in expensive personal loans. The dangers here are that recent legislation in Regulation 28 is making it easier for savers to access their savings. We question whether this will lead to more deterioration in savings and a sense of ownership in the economy.

Finally, the paper will assess whether policy changes should be made in order to reverse some of these changes, and whether policy changes could drive a more competitive home loan market. The risks and limitations of any suggested policy changes will be considered.


MICRO-INSURANCE – WHY NOT YET MACRO?

Melusi Baloyi, Jeanine Wilson, Jasmin van Schalkwyk, Nabeelah Kolia, Mcebisi Dhlamini

Facilitator: Francois Hugo

Presentation

October 27, 2022, 8:30 AM – 9:30 AM

Audience knowledge level: Foundation

Indication of whether presenters will be virtual or in person:  Facilitator:  In-person.  Rest: some virtual, some in-person.

Abstract / bullet-point description of your topic, including 4-8 practical outcomes that attendees can expect to benefit from.

The microinsurer “business case” says that financial inclusion will be facilitated by simple products which would in turn allow for lower and more proportionate regulatory requirements.

The panel which consists of microinsurer practitioners and heads of actuarial control will explore whether this business case needs to be re-evaluated:  Whether the limitations on product and its design supports financial inclusion and whether the regulatory concessions on governance (GOM vs GOI) and solvency calculations (FSM vs FSI) are sufficient / have unintended consequences.

Examples of questions that will be addressed include:

  • Does allowed product suite address insurance needs of segment intended to be included?
  • Do the limitations on product design have unintended consequences?
  • What are the problems with the simplifications for determining technical provisions and capital requirements
  • Is the minimum of R4m excluding participation?
  • Is it still simple in the context of IFRS17?
  • Are the restrictions on investments justified?

SECURE IN RISK: DIVERSIFICATION WITH A LIFE ANNUITY, A NEW ASSET CLASS TO ENHANCE RETIREMENT INCOME

Martiens Barnard

Presentation with Paper

October 26, 2022,11:15 AM – 12:15 PM

Relevant practice area: Retirement          

Suggested audience knowledge level:  Advanced

 

How much better could you live in retirement if you diversify to secure your primary retirement risks? Stated differently, how much longer can you maintain a reasonable standard of living by changing the way you approach risk when you retire?

In the session, it will be shown that income failure from a living annuity can be deferred by as much as a decade, and even more when harnessing risk in an efficient manner by hedging the primary retirement income risks.

Practical outcomes:

The presentation can reshape the way they think about asset classes

Audience members can reassess their own retirement plans

It can also spur product development ideas

The presentation will showcase new ways to communicate existing problems


CROSS SUBSIDIES IN RETIREMENT FUNDING – WHERE TO DRAW THE LINE?

Andrea Bezuidenhout, Warren Matthysen, Natasha Huggett-Henchie, Joanna Combrink

Presentation

October 26, 2022,10:15 AM – 11:15 AM

Relevant practice area: Retirement Matters         

Suggested audience knowledge level:  Intermediate

Cross-subsidy is a fundamental risk management and risk spreading approach that is used widely in the actuarial profession and financial services industry. Although it is widely accepted that cross-subsidies apply, and should be applied, in almost all areas of actuarial practice, discretion and judgement are required to determine the extent and appropriateness thereof. The interests of different generations of policyholders need to be balanced, as well that of different stakeholders.

In the retirement funding industry there has been a move away from cross subsidisation in products and solutions, in favour of individualisation. Both in the pre-retirement space with the move from defined benefit to defined contribution funds and in retirement with the development of products such as living annuities.

The presenters will debate whether less cross-subsidy has in fact benefitted members in their outcomes at retirement and during retirement and where to draw the line when it comes to cross-subsidisation, specifically with reference to:

  • Smoothing of investment returns – do the pro’s outweigh the con’s?
  • Fees and risk benefits – should members only pay for benefits and services that are directly applicable to them? What are the inherent cross-subsidies in current structures and are they appropriate?
  • Flexibility – is there value in offering more member choice when it comes to retirement funding – both pre-retirement and in retirement? Members often have investment choice and flexible contributions in their funds and at retirement can choose between life an living annuities, but do these added options really add value?

As a staring point, the presenters will use practical examples to showcase different outcomes in each case and the put forward opposing arguments for debate. The audience will be provided opportunities to weigh in and participate in the debate, using different platforms.

The aims of the session include:

  • A refresher on actuarial practice and discretion in retirement funding solutions for those who aren’t directly involved in developing such solutions.
  • To consider the benefits and pitfalls of cross-subsidy for retirement funds.
  • To encourage debate and promote understanding of the implications of these issues on product development, product management and advice.
  • To consider the importance of appropriate governance and management of products by actuaries and advisors to maintain a relationship of trust between consumer and the industry.
  • To consider ways in which to promote a better understanding of products by members, in line with TCF principle 2.

VALUE BASED CARE: THE END OF LIFE

Pieter Botha, Mufaro Chiwara

Presentation

October 28, 2022,08:30 AM – 09:30 PM

Relevant practice area: Healthcare          

Suggested audience knowledge level:  Intermediate

Pieter explored the medical scheme claim costs of 25 000 decedents for a period of 2 years prior to their dates of death. The profile of end-of-life healthcare costs given various characteristics (demographic factors) and trajectories of dying (cancer, frailty, organ failure, sudden death) at various proximities to death were analysed. These yielded very interesting insights and patterns into how costs develop as the date of death nears. Average costs per decedent were upward of R450 000 across the 2 years, with particularly high-cost cases costing schemes upwards of R10m.

Mufaro’s work at Alignd, where they have developed an end-of-life cancer benefit (managed care bundled product) covering both in-patient and out-patient care, with a strong focus on multi-disciplinary care with the patient and their needs at the very centre of the care offering. The Alignd benefit aims to maximise quality of life at the end of life, in a cost-effective manner, emphasising the importance of palliative care, good communication, pain management and effective discharge/admission planning. The Alignd benefit thus operasionalises a palliative value based solution in the SA medical scheme environment – groundbreaking stuff!

The way in which end-of-life care is currently being funded and incentivised in the medical scheme environment is highly inefficient, overly costly, and frequently outcomes are poor. This is an area ripe for disruption and a fundamental paradigm shift towards value-based care offerings and interventions aimed at rewarding quality, not quantity. Breaking the existing barriers present a win-win-win that includes major scheme savings, improved patient outcomes and experience, and fair reimbursement for providers. Alignd’s experience provides portable learnings on how to shift our paradigm of thinking to one in which value is at the forefront, and highlights the various factors at play in enabling value based care.

After the presentation, attendees will:

– Understand the profile and cost of end-of-life care in the medical scheme universe

– Appreciate the various trajectories of dying and how they contribute to costs at the end of life

– see the inefficiencies that exist in the funding of and delivery of end-of-life care

– Appreciate the need for and value that can be unlocked from multi-disciplinary teams

– Understand value-based care and reimbursement

– Understand where and how this can be implemented in the fee-for-service landscape

– Be inspired to innovate, collaborate, and to change the world – breaking barriers and shifting paradigms! 🙂


DID YOU DIE A GOOD DEATH? A CASE STUDY ON MEASURING THE VALUE OF PALLIATIVE MANAGED CARE PROGRAMS.

Martin Coxon

Presentation

October 28, 2022, 09:30 AM – 10:30 AM

Relevant practice area: Healthcare          

Suggested audience knowledge level: Intermediate

Managed care in South Africa has started the transition from focussing solely on cost to a value-based approach. Alignd has launched a value-based care program aimed at improving the palliative care landscape for patients, providers and funders alike. The performance of the program during 2021 will be used as a case study to demonstrate a framework for measuring the value of managed care programs.

The presentation will start by unpacking the key elements of the program and illustrate how value-based care differs from traditional managed care.

Next, we will highlight the issues plaguing the measurement of value in the industry and contrast two methodologies for that can be employed in a value measurement project.

Lastly, we will propose a step-by-step framework to consider when measuring the impact of value-based care

Practical Outcomes for the Audience:

1.Development of the concept of value-based care.

2.Gain an understanding of the key issues that should be considered when evaluating a value-based care program.

3.An introduction to case matching – which is rarely utilized within the actuarial space and borrowed from operations research and data science practices.

4.A framework that can be employed by audience members should they need to measure the value of care.


SA3 BREAKFAST SEMINAR – WHAT’S IN YOUR HANDS?

Wilhelm de Wet

Presentation

October 27, 2022, 07:15 AM – 08:15AM

It is easy to feel overwhelmed by all the daily challenges we face as South Africans. We are faced with challenges at Eskom, in education, with our water supply and potholes in our roads, as well as corruption wherever we turn.

We often ask ourselves, “But what can we as ordinary citizens of this beautiful country do?” We would like to address this question in our session and hopefully challenge each and everyone in attendance to look for opportunities close to home where you can be the difference someone else is looking for.

This presentation is a follow-up to the session we had four years ago about the incredible story of Bonnievale’s rural community building the Jakes Gerwel Technical School and, in doing so, creating a blueprint for our country to build on.

SA3 has been instrumental throughout this process, and we will not only be sharing some updates on the school, but also share news about other actuaries who got involved and are now seeing miraculous happenings in their communities.


CRYPTOCURRENCIES: FAD OR FAB?

Gerrit Dreyer

Presentation

October 28, 2022, 09:30 AM – 10:30 AM

Relevant practice area: Investments       

Suggested audience knowledge level: Intermediate

Cryptocurrencies have attracted a large following since their inception. Many exchanges now exist where these assets can be traded. The total value of cryptocurrencies held by individuals and institutions, based on traded values, is now close to US$3 trillion. On the other hand, many large traditional asset managers, institutions and individual investors have chosen not to be exposed to such assets.

The market of cryptocurrencies has experienced rapid growth in the number of different currencies. This paper will provide a broad overview of the market by categorising them by type and function.

The paper will then explore the role and uses of specific types of cryptocurrencies, discussing several actual and potential applications. By illustrating these use-case studies we suggest that there may be use and value to some cryptocurrencies, in particular those that are needed to support useful applications.

Key argument of the paper

  • The paper addresses the question of whether crypto assets have value, beyond speculative value.
  • The paper does this by analysing the properties and uses of various DLT networks, and considers whether these networks are value-adding.
  • The paper concludes that crypto assets do have value beyond speculative value due to their role in DLT networks, and due to DLT networks being useful and value-adding.

Other points covered in the paper

  • A background on the evolution of blockchain networks from the Bitcoin network to Blockchain 3.0.
  • As an Appendix, background on the details surrounding how blockchain networks work.
  • The relationship between DLT networks and crypto assets is described, and an argument is made for the need of the crypto asset to operate a DLT network.
  • Properties of DLT networks and crypto assets are discussed in detail, including a description of how these properties over improvements over existing technologies.
  • Examples of current uses of DLT networks and the value they add are provided.
  • The factors influencing the value created by DLT networks are described and analysed.
  • The main valuation methodologies for crypto assets were described in brief and the advantages and drawbacks of the methods were discussed.
  • The drawbacks of DLT networks and the main arguments against the use of DLT networks are presented.
  • Further areas of research are identified.

Practical outcomes of the presentation

  • Understand what blockchain networks and DLT networks are, and how they have come about.
  • Understand the useful properties that DLT networks have which lead to DLT networks being reasonable solutions to certain problems.
  • Understand the type of problems DLT networks are well-suited to solving.
  • Be able to give an overview of current uses of DLT networks and how DLT networks are adding value in these fields.
  • Understand the drivers of the value created by DLT networks as well as the risks involved in adopting DLT networks as a solution.
  • Understand and evaluate the appropriateness of the main valuation methodologies which are used to value crypto assets.

A FRESH LOOK AT THE ASISA STANDARD FOR THE CLASSIFICATION OF COLLECTIVE INVESTMENT SCHEME PORTFOLIOS

Joao Frasco

Presentation

October 27, 2022, 3:00 PM – 4:00 PM

Relevant practice area: Investments / Life Insurance

Suggested audience knowledge level:  Advanced

 This paper considers the current ASISA standard for the classification of regulated Collective Investment Scheme (CIS) portfolios

It offers some recommendations on how this could be improved to meet the objective of making portfolios more comparable for users of this information (advisers and their clients / investors)

It does this by considering the objective of having a classification standard, as provided by ASISA

It considers several different traditional methods that may be considered as appropriate when considering whether portfolios are similar or different

It then introduces various machine learning techniques that may be more up to the task of highlighting the similarities and differences between portfolios

This should highlight various machine learning methods and techniques, as well as the application of those to the task

It concludes with some thoughts and recommendations on how the classification system could be altered to better meet the objectives of the standard

We hope this is considered by ASISA and the FSCA, and the broader investment fraternity


INFRASTRUCTURE: THE ALTERNATIVE INVESTMENT CASE

Peru Govindasamy, Johan Human, Ndabe Mkhize, Michael Tichareva

Presentation

October 28, 2022,11:00 AM – 12:00 PM

Relevant practice area: Investments       

Suggested audience knowledge level: Intermediate

 

  • There have been proposed changes to Regulation 28 to include a specific allocation and disclosure for infrastructure investments which cuts across other asset classes. Investments of up to 40% of fund assets will be permitted into infrastructure.
  • In addition, there has been significant development in wheeling agreements where Eskom’s distribution capabilities are leveraged through offtake generation agreements with private sector entities. There has been one licence granted, and more are in the pipeline.
  • With the above in mind, there is increased interest in infrastructure as an important part of SA’s economic growth. The Asset Owners Forum of South Africa has been launched, which is an initiative of retirement funds to mobilise their investments into infrastructure. It is especially supportive of smaller funds that do not have sufficient capacity of their own. It is chaired by Ndabe Mkhize and the GEPF is a signatory to the forum.

The Infrastructure Fund of the DBSA is one of the tools earmarked by the Asset Owners Forum to deploy funding, and possibly structure investments where government underwrites the first tranche of investments (thereby reducing the risk). This panel discussion will have the key role players (asset allocators, and asset deployers) in the room to discuss this initiative.

Key Outcomes:

– How are infrastructure investments structured?

– How can institutional investors (incl. retirement funds) get involved pragmatically and prudently?

– What are the possible and probable roles of government in this class of investment?

–  What are the latest Reg 28 rules relating to this class?


NEW RISK ON THE BLOCK
CLIMATE RISK AND SUSTAINABILITY: A CRASH COURSE FOR ACTUARIES

Pamela Hellig

Pre-Recorded Oral Presentation

Relevant practice area: ERM    

Suggested audience knowledge level:  Foundational 

Increasingly volatile weather patterns and their very real consequences indicate that climate change is no longer an abstract prophesy. It is not a question of “if”, but “where next?”, “how bad?” and “what can we do now?”.

The effects of climate change are expected to have wide-ranging impacts on health and mortality, physical assets, financial markets, and even insurability; all of which are primary elements of the pensions and insurance industries. In addition, key stakeholders (company boards, consumers, shareholders, regulators and governments) are increasingly expecting the industry to consider and address the potential impact of climate risk.

Therefore, as distant as these issues may sometimes seem, actuaries can no longer ignore climate-related risks, and should seek to understand them in the same way as other major risks, such as interest rate risk and mortality risk. This is especially true given that this risk affects both sides of the balance sheet, and its double materiality: it is not just climate-related impacts on insurers that can be material but also impacts of insurers on the climate – or any other dimension of sustainability.

The objective of this presentation is to serve as an introduction for actuaries seeking to understand:
•the main concepts of climate risk and sustainability that are relevant to actuaries; and
•the impact they may have on actuaries’ work.

It is hoped that this presentation will stimulate interest in climate change, serve as a platform for audience members to identify areas of further study, and equip them to start the conversation around how climate risk should be accounted for in their business.

Practical outcomes for the audience:

Primary outcomes:
•Make the link between economics and sustainability, exploring concepts such as ecological economics and the plurality of values, and the impacts of different development paradigms.
•Understand relationships between climate-related issues and strategy, risk management, modelling and reporting.
•Based on international trends, understand next steps actuaries can take to start understanding and managing climate risk in terms of regulation, risk management, reputation risk and revenue opportunities.

Secondary outcomes:
•Learn about the evidence of human-made climate change and its physical and transitional impacts on the financial world.
•Understand the primary stakeholders and the parties and structures that influence climate risk and sustainability globally (e.g. the UN, NGOs, TCFD and financial regulation).
•Learn about intergenerational issues, including how short-term thinking for long-term problems has led to climate change.


DO ACTUARIAL STUDENTS LEARN BY DOING? WE DID! AND HERE’S WHAT DEVELOPING A VIRTUAL VAC WORK PROGRAMME TAUGHT US

Pamela Hellig, Previn Pillay, Soshan Soobramoney

Presentation with Paper

October 26, 2022, 1:15 PM – 2:15 PM

Relevant practice area: Professional Matters      

Suggested audience knowledge level:  Foundational

Phenomena such as the great resignation, extensive brain drain and a troubled education system have made skills shortages a significant risk in South Africa. The actuarial profession is not immune to this risk.

The authors hypothesise that augmenting formal actuarial coursework with experiential and work-integrated learning opportunities during university years will create graduates who are better equipped to effectively apply their skills in the workplace.

Currently, experiential learning in South African actuarial training at university level consists mainly of vacation work programmes that cannot accommodate all students, lack consistent structure and purpose, and often do not provide adequate professional supervision. The authors investigate best pedagogical practices relating to experiential learning, exposing what can be done to create effective vacation work opportunities for all interested students. It is proposed that such measures would make students feel connected to the Profession and become more employable, confident and well-rounded.

This paper describes the untapped potential in the South African actuarial vacation work landscape. We investigate whether, by improving these offerings to be more focused, streamlined and goal-oriented, measurable value could be added for all stakeholders:

Students could become more attractive to and build relationships with potential future employers. They could form views of which practice areas appeal to them, enabling more proactive career management.

Employers, by building relationships with students, could spot talent and assess potential employees in much more depth than the traditional interview process allows. They could also benefit from the reduced time it would take graduates to acclimatise to working life.

Practising actuaries, by supervising students, could benefit from developing their normative and organisational skills.

Collaboration to create experiential learning opportunities could reinforce communication channels between the industry, universities and the Profession.

Practical outcomes for the audience:

Understand the current vacation work landscape and objectives of various stakeholders by reviewing the results of an industry-wide survey (capturing views of employers, students and universities) and interviews with key individuals in the profession.

Learn what is being done in other professions and contexts globally to prepare university students to add value to employers from day one.

Understand lessons learnt from the Actuaries In the Making (AIM) virtual vacation work programme case study, a fully virtual, scalable vacation work model for actuarial students designed and piloted by the authors in 2022.

Explore how actuarial students can become more empowered to develop themselves, promote the profession and find new ways to address societal problems.


SLEEP, WEARABLES AND THE FUTURE OF UNDERWRITING

Nicole Kriek, Matan Abrahams

Presentation

October 26, 2022,11:15 AM – 12:15 PM

Relevant practice area: Life Insurance    

Suggested audience knowledge level: Foundational

Insurers worldwide are grappling with the ever increasing pace and volume of data available in many markets. This includes both the availability of new data fields and the potential use of a wider variety of data sources leading to changes and enhancements to both underwriting and how insurance products are constructed, sold and managed. Automated underwriting and using different (better) rating factors with the potential to accurately track risk and improve mortality and morbidity if optimised, are at the forefront of many of these emerging changes.

This presentation considers the impact and implications of sleep patterns as a new rating factor for life insurance products. Recent developments in sleep science have highlighted that sleep may not only be one of the three pillars of health but the foundation on which the other two pillars, exercise and healthy eating are built. Ultimately impacting all causes of mortality and linkages to dread diseases.

Historically, accurate and independent data on sleep patterns were not available. But sleep data is now readily available and reliable with the improvements to the accuracy and cost-effectiveness of modern wearables. This offers insurers access to consistent and reliable data which provides an accurate view on the sleeping patterns of policyholders over time.

Sleep is also one of the easier patterns to improve and could yield significant value in both absolute longevity and the quality of the last years of life if optimised. This combination of biological importance, availability, trackability of data, general scientific consensus on the impact and importance of sleep and the potential benefit to consumers make it one of the most interesting and exciting potential new rating factors to be considered.

As part of our presentation, we will also showcase the software platform, that ElevateLife uses, to provide insight  regarding the information captured from wearables to guide their underwriting decisions. We consider the impact that this could have on the underwriter’s role and potentially move from a moderator and risk manager to a mentor who simultaneously improves policyholders’ health and reduces the cost of claims for the insurer.


AN ANALYSIS OF THROUGHPUT IN THE ACTUARIAL SCIENCE PROGRAMMES AT SOUTH AFRICAN UNIVERSITIES

Nabeelah Kolia

Presentation

October 27, 2022, 4:00 PM – 4:30 PM

Relevant practice area: Transformation

Suggested audience knowledge level:  Foundational

Given my work done during my time at ASABA it has become clear that the throughput from first year Actuarial Science to final year Actuarial Science results in a larger number of EE candidates either dropping out of university or changing degrees. In order to meet the ASABA objective of ensuring that the Actuarial profession in South Africa is representative of the demographics of South Africa I feel that we need to understand what is causing these candidates to drop out of Actuarial Science. Whilst this is the catalyst for me wanting to write this paper, the results will be of interest to various stakeholders including employers, specifically those who hire graduates, the universities and the Actuarial Society of South Africa. In addition, as transformation is not something that should be the responsibility of just one body or group of people, the profession as a whole should have an interest in the reason transformation is being hindered at the university level.

My paper is intended to be an update and an extension of the paper done by Dave Strugnell and Shivani Ranchod which was presented at the 2016 convention and was titled “Scaling the steepest peak: an analysis of throughput in the UCT Actuarial Science programme” and I will engage with them to understand the analysis that went into their paper.

I would be happy to provide more information as needed


A NATION BEHAVING BADLY OR THE EMERGENCE OF NEW RISK FACTORS IN PANDEMIC PRICING DIFFERENTIALS?

Koop Lubbinge, Louis Rossouw

Presentation

October 28, 2022,12:00 PM – 12:30 PM

Relevant practice area: Life Insurance    

Suggested audience knowledge level: Foundational

The South African experience of the COVID pandemic exposed the anomaly of experience in the insured lives vs the South African population. We demonstrate the excess death comparison of the population vs the insured lives from both a relative and additional mortality perspective across certain variables, showcasing the analytic techniques used to derive the comparison. We interrogate the outcomes and the implications for future pandemic pricing and uncertainty. We include a comparative overview of how the South African experience differed from that of insured markets with similar insurance structures to South Africa, notably the United Kingdom and provide high level thoughts of the way forward for future pricing differentials globally.


GREEN TAXONOMY, TCFD AND ORSA – WHAT DO THEY MEAN FOR AN INSURER?

Neha Junglee, Lindy Schmaman

Presentation

October 26, 2022, 11:15 AM – 12:15 PM

Relevant practice area: Short Term Insurance     

Suggested audience knowledge level:  Intermediate

On 1 April 2022, South Africa’s first Green Finance Taxonomy was published by the Taxonomy Working Group chaired by National Treasury, as part of South Africa’s Sustainable Finance Initiative. Non-life insurance is categorised within the macro-sector as “Enabling activities, system resilience and innovation”.

The Sustainable Finance Initiative1 defines the SA green Taxonomy as: “an official classification or catalogue that defines a minimum set of assets, projects, and sectors that are eligible to be defined as “green” or environmentally friendly. It supports emerging national policy and voluntary private sector initiatives toward sustainable finance by reducing costs and uncertainty in classifying a core set of green activities.”

Insurers and reinsurers globally are facing regulatory pressure to start demonstrating the extent to which their activities are directed at funding economic activities identified as environmentally sustainable in their green finance taxonomy. An example include disclosing key performance indicators relating to sustainability – ratios which have been proposed by EIOPA. Although not mandatory yet here, the SA green finance taxonomy provides a basis on which to do this.

Insurers have a critical role in transitioning, both in terms of the role they play in the risk financing space i.e supporting risk mitigating products for green activities and in terms of the role they play in how they invest their assets under management.

It is important that this is recognised and driven at the highest level and is inherent in their strategy going forward.

Practical outcomes for the audience:

1.Raise awareness of climate related developments globally, in SA and the sector

2.Overview of the green taxonomy and what it means for the short-term insurance sector (role in risk finance) and long-term insurance sector (assets under management).

3.Understand the extent to which TCFD, Green Taxonomy and ORSA are interlinked.

 

Reference:

1:https://sustainablefinanceinitiative.org.za/wp-content/downloads/SA-Green-Finance-Taxonomy-1st-Edition-Final-01-04-2022.pdf

2:https://www.eiopa.europa.eu/sites/default/files/publications/advice/eiopa-21-184-sustainability-non-financial-reporting-advice-art8-taxonomy-regulation.pdf


NATURE-RELATED RISKS & OPPORTUNITIES IN AFRICA: AN EMERGING FOCUS FOR ACTUARIES

Kelvin Massingham, Rob Bailey

Presentation

October 28, 2022,11:00 AM – 12:00 PM

Relevant practice area: Enterprise and Financial Risk Management

Suggested audience knowledge level: Foundational

The presentation will make the case for the importance of Africa’s natural capital, and the vital role of financial institutions (FIs) in protecting the continent’s vast natural assets. We argue it is critical African FIs and the actuarial community consider nature- and climate-related risks and opportunities in parallel. We consider:

Africa’s (and South Africa’s) economic health is reliant on its environmental health

– Half of global GDP is dependent on the health of natural ecosystems and biodiversity. Africa’s reliance is more extreme – over 60% of GDP is attributable.

– However, economic growth demands on Africa’s forests, land and marine areas threaten to further accelerate erosion of natural assets.  We are breaching safe planetary boundaries.

– Natural ecosystem processes are non-linear – destabilisation can quickly occur once a tipping point is reached.

 

Climate and nature are distinct but inextricably linked

– The climate crisis in Africa is unfixable without adequate focus on nature. Nature risks amplify climate risks and vice versa.

– All net-zero pathways require large-scale GHG removal. Natural assets appear the most affordable and immediately available solution and increase resilience to extreme weather events.

 

FIs face significant nature-related risks and opportunities and hence are critical in ensuring a nature-positive future

– Company performance, financial assets and the ‘real’ economy is intertwined with nature. Nature is material: by 2050, nature-related impacts on primary commodities could see aggregate agricultural profits for FIs drop by 40%.

– Significant physical, transition and systemic risks exist, especially in agricultural and secondary sectors.  Biodiversity loss is one of the most severe risks for the next decade. Nature-related risks cascade – wider risks to tax revenues and supply chains will greatly amplify the impact to FIs.

– However, opportunities – shifting demand, nature-positive products and competitive advantage in responding to policy & regulatory changes offer substantial upside.

– FIs must direct capital towards nature-positive activities. Clients must be influenced to measure, report and act. The financial sector must further push for nature-related risk to be disclosed and measured.

 

TNFD is being embraced by Africa’s financiers and being actively piloted

– A global, market-led initiative shifting financial flows toward nature-positive outcomes, the TNFD delivers a standard framework of nature-related risk management and disclosure.

– We will share our emerging TNFD pilot results from leading African FIs including FirstRand/Sanlam

-Further opportunities for engagement on nature and biodiversity exist to financiers, including through the African Natural Capital Alliance.


IS CHINA INVESTIBLE? AN ASSESSMENT OF THE MERITS OF INVESTING IN CHINA POST THE REGULATORY TIGHTENING AND IN A WORLD OF RISING GEO-POLITICAL RISK.

Brian Mushonga

Presentation

October 28, 2022,12:00 PM – 12:30 PM

Relevant practice area: Investments       

Suggested audience knowledge level:  Intermediate

Practical outcomes. Readers will draw the following conclusions:

  1. China’s regulatory tightening is focused on curtailing monopolistic practices, improving social welfare, enhancing national security, improving consumer protection, and reducing financial risks, objectives that have driven regulatory and policy interventions elsewhere in the world.
  2. China’s regulatory tightening is largely consistent with the country’s objectives to reduce inequality and achieve sustainable and socially responsible economic growth.
  3. China’s regulatory standards are more compatible with those in many developed markets post the regulatory tightening.
  4. China’s recent crackdown on the internet sector is not without precedent (in its intent) and follows US anti-trust action against dominant technology companies, starting with AT&T in the 1970s, Microsoft in the 1990s and more recent scrutiny of Google, Facebook, Amazon and Apple. For its part, the European Commission has, over the last two decades, imposed fines in the tens of billions on technology companies and sought remedies in respect of anti-competitive practices.
  5. There is little evidence in the recent regulatory interventions that suggest the Chinese government has discarded its broad policy objectives around quality growth and social stability.
  6. The size of China’s economy in a global context and the size of its middle class means it is increasingly difficult for investors to overlook China.
  7. On a medium term view, China offers investors attractive risk-reward opportunities.

China’s regulatory tightening has led to significant market volatility and elicited widespread commentary in the financial press. Increasingly, investors in Chinese markets have been forced to confront the all-important question: Is China investable?

To adequately answer this question, it is important to consider the current regulatory tightening cycle across three dimensions:

  1. The background to the regulatory tightening – was there need for regulatory intervention?
  2. Comparisons with other jurisdictions – is China’s regulatory out of kilter with regulation elsewhere in the world?
  3. Potential impact of regulation on China’s long-term growth, entrepreneurship, and innovation.

Between 1980 and 2020, China’s achieve real GDP growth of 10.1% CAGR in US$ terms.

However, China’s unprecedented economic growth has come at a cost:

– damage to the environment.

– widening income inequality.

– poor working conditions.

Left unchecked, these are issues that could have eventually led to social instability.


THE USE OF ALTERNATIVE DATA IN LIFE AND HEALTH RISK ASSESSMENT – INTERNATIONAL EXPERIENCE

Adam Musnitzky, Doug Rix

Presentation

October 26, 2022, 10:15 AM – 11:15 AM

Relevant practice area: Life Insurance    

Suggested audience knowledge level: Foundational / Intemediate

As the quantity and quality of alternative data expands, insurers are keen to test and learn.

Our presentation will weigh up the pros and cons of the use of alternative data in risk assessment with a specific focus on physical activity (e.g. steps, running, cycling) measured by METs (metabolic equivalents). To do that, consideration is given to the credibility of data, it’s predictive ability, as well as the level of anti-selection under each of the following scenarios:

– Replace traditional underwriting with METs

– Replace selected clinical info with METs

– Augment traditional underwriting with METs

– Using METs for dynamic underwriting (assessing and rewarding health activities)

We will cover real world examples of different opportunities currently in the global market and provide guidance and an analysis on how to better triage alternative data opportunities in the underwriting journey.

Practical outcomes:

  1. An appreciation of the world of alternative data for risk assessment.
  2. Gain an understanding of the key considerations in evaluating the use of alternative data in risk assessment.
  3. Ability to spot opportunities and pitfalls.
  4. A feel for real world examples.
  5. An understanding of how to safely incorporate new alternative data in an underwriting journey.

THE PSYCHEDELIC REVOLUTION IS IN FULL SWING. ARE WE READY?

Wynand Neethling

Presentation

October 27, 2022, 3:00 PM – 4:00 PM

Relevant practice area: Healthcare          

Suggested audience knowledge level: Foundational

 

The psychedelic medicine revolution

– legalisation of psychedelic medicine globally gaining traction

– mental health pandemic -> psychedelics showing promise

– “drug” vs “medicine” vs “substance” -> semantics?

– health funding implications

– philosophy of treating illness vs philosophy of increasing wellbeing

– authorised practitioners -> medical training vs relevant experience

– right to self-elevate

– societal implications

– half-truths in psychedelics marketing

– medical tourism

– job creation and tax benefits

– future state?

Practical outcomes:

– increased awareness of nuances surrounding subject

– considerations for healthcare pricing

– wider public interest considerations

– access to further resources and updates

– call to action: inform yourself!


UNEMPLOYMENT, DISABILITY AND SUICIDE – QUANTIFYING THE MENTAL HEALTH RISK TRIANGLE IN THE VORTEX OF A PANDEMIC.

Michael Prodehl, Lesego Mohlabeng

Presentation

October 27, 2022, 4:00 PM – 4:30 PM

Relevant practice area: Life Insurance    

Suggested audience knowledge level:  Intermediate

The pandemic has hammered home the human propensity to underestimate large and unpredictable risks.  Mental health conditions have long loomed as one of these risks, with the pandemic exacerbating their direct and indirect impact on claims incidence.  The industry is aware of both mental health conditions and economic downturn as a significant contributor to the incidence of disability income, but significant work has yet to be done on the effect of a pandemic being added to the mix. (The SARS pandemic of 2003 indicating significant correlation between the long-term effect of pandemics and suicide rates).

With mental health conditions touted as one of the next most significant direct and indirect risks faced, we set out to:

  • Investigate the correlation between high unemployment and suicide rates in the presence of a pandemic
  • Share practical developments underway to build frameworks and tools at mitigating the risk posed and
  • Use the data mined from the above to demonstrate, more robust models that can be built to better quantify this unpredictable risk and its future impact on profitability, particularly with regard to disability income products.

BOOTSTRAPPING THE CAPE-COD METHOD FOR RESERVE RISK ESTIMATION

Ronald Richman, Karen Muyengwa, Nikita Harilal, Rowald Van Der Walt

Presentation with Paper

October 26, 2022, 1:15 PM – 2:15 PM

Relevant practice area: Short Term Insurance     

Suggested audience knowledge level:  Intermediate

Abstract: Methods for estimating the reserve risk of incurred but not reported provisions are usually based on the assumption that these provisions were calculated using the chain ladder method. Thus, in practice, these methods relate to various ways of quantifying the prediction error of the chain ladder estimates, often the bootstrap procedure of England and Verall (2011) for Mack’s chain ladder method. On the other hand, IBNR estimates are often quantified using exposure-based methods such as the Bornhuetter-Ferguson or Cape Cod methods. We define bootstrap procedures for the Cape Cod method, show how these can be applied and how the results compare to more established methods used in practice. We consider which of the methods are more appropriate for use in reserve risk estimation under Solvency II and accounting estimates in the context of IFRS 17, with a focus on stability and realism of the results. Finally, we provide R code to reproduce these methods on representative data.

Keywords: Incurred But Not Reported (IBNR), bootstrapping, Cape-Cod, Chain ladder, Bornhuetter-Ferguson, reserving, IFRS 17, uncertainty estimation, reserve risk

Practical Outcomes:

  1. Appreciate the mechanics of the Cape-Cod reserving method.
  2. Understand how to perform Cape-Cod bootstrap.
  3. Appreciate the pros and cons of the different bootstrap methodologies.
  4. Understand the use of the methodology under IFRS 17 and considerations under SAM.

LASSO REGULARISATION WITHIN THE LOCAL GLMnet ARCHITECTURE

Ronald Richman

Presentation with Paper

October 26, 2022,10:15 AM – 11:15 AM

Relevant practice area: Short Term Insurance     

Suggested audience knowledge level:  Intermediate / Advanced

Deep learning models have been very successful in the application of machine learning methods, often out-performing classical statistical models such as linear regression models or generalized linear models. On the other hand, deep learning models are often criticized for not being explainable nor allowing for variable selection. There are two different ways of dealing with this problem, either we use post-hoc model interpretability methods or we design specific  deep learning architectures that allow for an easier interpretation and explanation.This paper builds on our previous work on the LocalGLMnet architecture that gives an interpretable deep learning architecture. In the present paper, we show how group LASSO regularization (and other regularization schemes) can be implemented within the LocalGLMnet architecture so that we receive feature sparsity for variable selection. We benchmark our approach with the recently developed LassoNet of Lemhadri et al. [11].

Outcomes

– Introduction to explainable models, such as the LocalGLMnet

– Understanding of regularization techniques within machine learning

– Consideration of how variable selection can be done in a rigorous manner

– Understand which telematics factors contribute to policyholder identifiability


MIND THE GAP – SAFELY INCORPORATING DEEP LEARNING MODELS INTO THE ACTUARIAL TOOLKIT

Ronald Richman

Presentation with Paper

October 28, 2022,09:30 AM – 10:30 AM

Relevant practice area: Life Insurance / Data Science       

Suggested audience knowledge level:  Intermediate / Advanced

Deep neural network models have substantial advantages over traditional and machine learning methods that make this class of models particularly promising for adoption by actuaries. Nonetheless, several important aspects of these models have not yet been studied in detail in the actuarial literature: the effect of hyperparameter choice on the accuracy and stability

of network predictions, methods for producing uncertainty estimates and the design of deep learning models for explainability. To allow actuaries to incorporate deep learning safely into their toolkits, we review these areas in the context of a deep neural network for forecasting mortality rates.

Outcomes

  1. Gain insight into some of the aspects of machine learning models that require special focus when used in an actuarial context
  2. Understand applications of these models in a large scale mortality modelling task
  3. Be introduced to new methods for uncertainty quantification
  4. Understand methods for producing inherently interpretable machine learning models

THE “BIG SHORT” VS THE “BIG SICK” – WHAT TWO SYSTEMIC SHOCKS IN TWO DECADES HAVE TAUGHT OUR PROFESSION AND HOW THESE LEARNINGS CAN CONTRIBUTE TO BROADER SOCIETY.

Robertson B, Mampofu Y

Presentation

October 27, 2022, 04:00 PM – 04:30 PM

Just as the world learnt to ride the shock waves created by the 2008/09 banking crisis, the COVID-19 pandemic arrived to reshape politics, society, economies and business yet again. Both have challenged and relied on the actuarial professions to navigate these waters. We explore the response of two separate industries by:

o             Outlining the key learnings from 2008/2009 banking crisis and the pandemic

o             Comparing economic influences in banking and the life/health industries

o             Comparing and contrasting how regulatory actions affected the different sectors

o             Discussing how internal models have been enhanced post the big “S’s”

o             Identifying where decisions would have differed with the knowledge we have now

o             Discussing the management of emerging risks


THE IMPACT OF COVID ON THE GROUP RISK PROCESS – WHAT WE LEARNED AND HOW WE CAN CHANGE TO IMPROVE THE PRODUCT AND MAKE IT MORE RESILIENT

Adriaan Rowan, Nico Smit, Linda Kleynscheldt, Michael Vincent, Peace Mbhazima, Thembi Mavuso

Presentation

October 28, 2022,11:00 AM – 12:00 PM

Relevant practice area: Life Insurance    

Suggested audience knowledge level:  Intermediate / Advanced

The discussion between the panelists aim to give insight into:

-How should the industry incorporate vaccination status for covid, and any other virus, in the pricing and underwriting. How will it impact the scheme and the FCL

-How do claims teams deal with the volatility in claim numbers to ensure timely payment

-How should brokers respond to sharply increased pricing in setting benefit levels and selecting insurers

-Should we expect changes to traditional group risk products, or the discontinuance of certain products

-Do they expect that pricing will return to pre-pandemic levels

 

More topics will be discussed as they develop during the conversation


ACTUARIES MISSING BEHAVIOUR ARE MISBEHAVING

Zaid Saeed, Natasha Silverman, Hamima Mullah, Michel De Laroche Souvestre, Shreya Somera, Lovonne Wessels

Presentation

October 28, 2022,12:00 PM – 12:30 PM

Relevant practice area: Wider Fields        

Suggested audience knowledge level: Foundational

Discovery Vitality was launched as a programme to change behaviour, encouraging clients to become healthier through the application of key behavioural science principles. Through this presentation, the Discovery Vitality Actuarial team will share their knowledge of the theoretical applications and practical learnings surrounding behavioural science, with the aim of making the case for the “Behavioural Science Actuary”.

Tangible outcomes that the audience can expect to take out of our presentation:

  1. An understanding of why being cognisant of human behaviour is important as an Actuary
  2. An understanding of the fundamentals of behavioural science and how one could go about changing behaviour
  3. A brief overview of our key learnings via practical examples of this theory within Discovery Vitality
  4. The potential for Actuaries to delve deeper into behavioural science applications in their day-to-day work

DISCOVERY HEALTH’S HOSPITAL CARE RATING

Chanie Suttner

Presentation

October 27, 2022,08:30 AM – 09:30 AM

Relevant practice area: Healthcare          

Suggested audience knowledge level:  Intermediate

Discovery Health’s Hospital Care Rating

By Shirley Collie, Jared Champion, Chanie Suttner, Michael Cohen, Jackie Duvenage

  • In the absence of a South African industry standardised method of comparing the cost, quality experience and safety of healthcare services rendered by hospital to their patients, Discovery Health has developed the “Hospital Care Rating” methodology by leveraging its vast data on hospitals nationwide.
  • The rating allows for members to understand levels of care rendered at the hospitals they visit, and hospitals to compare performance to peers.
  • From the funder’s perspective, these ratings can provide a platform for value-based contracting.
  • The rating is underpinned by 4 categories, namely: mortality rates, readmission rates, patient satisfaction scores and cost efficiency.
  • For all these categories we have applied risk adjustment to compare the outcomes on a like-for like basis across facilities by accounting for the various demographic and clinical features of the hospital admissions.
  • The methodology, adopted from the U.S Centers for Medicare & Medicaid Services-CMS, normalises these measures across hospitals, and provides a single combined rating by taking the average of the four underlying categories.

Practical Outcomes

  • Showcase the power of using existing data and statistical techniques to consolidate individual facility outcomes to an overall industry level
  • How existing international methodologies can be applied and extended to the South African private healthcare industry
  • Demonstrate the effect of public reporting on performance
  • Showcasing the interplay between quality outcomes and provider contracting.

GENDER AND SEXUAL DIVERSITY IN THE ACTUARIAL PROFESSION

Katlego Thaba, Thato Pule, Soshan Soobramoney

Presentation

October 27, 2022, 3:00 PM – 4:00 PM

Relevant practice area: Transformation

Suggested audience knowledge level: Foundational

Over the past few years, the Transformation series at the ASSA Convention has covered a range of topics addressing the following areas of inclusion/diversity: racial diversity, gender diversity and an inclusive environment for multi-nationals and people living with disabilities.

In this year’s convention, it is our intention and proposal to address diversity from a standpoint of sexual orientation and gender identity:

-The intention is to have a panel discussion that brings in members of the LGBTQI+ community from within the actuarial community into a discussion to highlight ways in which they have been made to feel included in the environments they’ve worked in and to highlight areas where more can/needs to be done.

-The discussion will also address how best the wider actuarial community can interact with colleagues from the LGBTQI+ community

-Some of the key discussion points and key outcomes we anticipate addressing at this session include:

o             Is there enough awareness and support shown towards the LGBTQI+ community in the actuarial profession?

o             Are there any challenges/pain-points that members of the LGBTQI+ community have found themselves struggling with/having to overcome from within the actuarial profession?

o             From a practical standpoint, have corporates and the actuarial profession done enough to promote inclusion and diversity around the LGBTQI+ community or is there more that needs to be done?

o             What message would actuarial members of the LGBTQI+ community like to send to the actuarial profession?

We are planning to have a panel that will include members of the actuarial profession that are members of the LGBTQI+ community – we already have confirmation of participation from individuals identifying as transgender and gay, both within the actuarial community.

All in all, this session is intended to reinforce the ways in which inclusion can be further embedded into environments that actuaries operate in, to encourage ways in which gender and sexual diversity can be embraced and to highlight important aspects that every actuary should be aware of when interacting with members of the LGBTQI+ community, especially those within our profession.


A PRACTICAL GUIDE TO DATA SCIENCE RISK MANAGEMENT (WORKSHOP)

Lara Van Heerden, Valerie Du Preez, Patrick Moehrke, Mehul Khandelwal, Delene Nel

Workshop

October 27, 2022,08:30 AM – 09:30 AM

Relevant practice area: Data Science / Life Insurance       

Suggested audience knowledge level:  Intermediate

Overview:

– With the use of examples, we introduce delegates to the new types of risks resulting from data science.

– We provide ways to make sense of apparent ‘black box’ models; and ways to validate certain types of machine learning models.

– We will present participants with pre-run models; based on publicly available data; and provide hands-on examples to interpret these models.

– We will explore industry examples of ethics; professionalism and regulatory principles within the context of data science.

– It is recommended that attendees have some familiarity with Python or R and machine learning, as part of the workshop will involve the participants reviewing and possibly modifying Python code, with delegates being guided through explainability techniques.

– This workshop is aimed at teams that have already embarked on their data science / machine learning journey.

Key outcomes of the workshop:

– To see examples of interpreting machine learning models

– To explore ways in which machine learning models could be validated

– To explore how data management techniques can assist with data science risk management

– To discuss and consider the model risk implications that may arise from using data science techniques

– To discuss industry guidelines and professional standards in the context of data science

– To interact with other delegates; and the presenters in a live session


AIDING PROFESSIONALS TO ACCELERATE THEIR LEARNING JOURNEYS THROUGH THE SUPPORT OF REFLECTIVE COACHING INTERVENTIONS.

Jerry van Niekerk

Presentation

October 26, 2022, 2:45 PM – 3:15 PM

Relevant practice area: Professional Matters      

Suggested audience knowledge level:  Foundational / Intermediate

The Actuarial Society of South Africa (ASSA) strives to develop the knowledge, skills, expertise, and professional qualities of its members, through its Continued Professional Development (CPD) programme. To this end, an outcomes- based continued professional development programme was introduced in 2018.

The outcomes-based approach aims to inculcate life- long professional learning by placing the responsibility for ongoing development in the hands of the individual. The professional development cycle is described as follows:

INSERT Fig. 1   The SOCIETY’s Cycle of Professional Development

Within this cycle, members are encouraged to think about their personal development needs regarding their current and future roles, as well as their areas of work. They then plan appropriate development actions to address the needs, implement these actions, and then reflect on the extent to which the desired learning and development has taken place. Refer the figure below.

INSERT Fig.2   A Personal Development Cycle

The SOCIETY’s Cycle of Professional Development (Figure 1.) embodies the “Diffraction Discussion” which is a confidential reflective discussion between the actuary and a “Diffraction Partner” who is chosen by the actuary. The term “diffraction” is borrowed from physics and is described as “the interaction of waves, in which two approaching peaks combine to make a bigger peak.” The aim of the discussion is to enable self-reflection, on the one hand, and objective feedback from another professional, in order to determine to what extent, the development actions are helping actuaries to meet their objectives.

The SOCIETY implemented a pilot for Reflective Discussions in 2019 and extended this pilot in July 2022 by offering members the opportunity to review their learning processes with the help of an experienced business or reflective coach.

The aim of these discussions was:

  1. a) To draw together the learnings experienced from the previous diffraction discussions, for the participant to gain deep insight to what has been learned and to build a platform encouraging participants to plan their next phase of personal development.
  2. b) For the Reflective Coaches to collate feedback to the SOCIETY (on an anonymous basis)

on the effectiveness of the Outcomes-Based CPD system.

The CPD session at the Actuarial Convention will consist of a Q & A approach which aims to provide insight into the experiences of some members who participated in the pilot, as well as their reflective coaches.


MEET TOMORROW’S PRICING ACTUARY – DIGITALISATION IN COMMERCIAL LINES INSURANCE PRICING.

Hannes Van Rensburg

Presentation

October 26, 2022, 2:15 PM – 3:15 PM

Relevant practice area: Short Term Insurance

Suggested audience knowledge level:  Foundational / Intermediate

Digitisation, automation and the democratisation of data (and computing power) means that the insurance industry is being completely reinvented. In this talk we will consider what this means for the pricing actuary of tomorrow.

Overall, we will argue that we are about to see a complete step change in the role that actuaries play in rating, selecting and targeting insurance risk. Specifically, tomorrow’s pricing actuary will:

–       Embrace and optimise use of disruptive technology: by determining the extent to which new approaches can, and critically *should*, play a part in the pricing process. We will explore the economic value as well as the ethical, moral and legal implications of using disruptive technologies, such as AI, in pricing

–       Experiment with new data sources: previously untapped data sources will allow tomorrow’s actuary to dramatically expand the range of data that informs the rating process. A key part of their role will be experimenting with these new data sources to make informed decisions about their value and trade-offs, as a gate way to integration.

–       Completely automate the pricing of uncomplex risks: we anticipate that pricing of uncomplex risks can, and should, be completely automated. We will consider the role of the actuary in writing automated algorithms, giving a case study on the role out of automated follow-only capacity in the London market.

–       Optimise their time based on risk complexity and value: counter to the above we will argue that pricing of the most complex risks will always require a great degree of human intervention, and that ultimately this will lead to optimisation of actuarial resource around the complexity and value of risk.

–       Focus on risk targeting: we believe there are unprecedented opportunities ahead for the pricing actuary to expand their role to not just price the risks presented, and assess their marginal impact on a portfolio; but also to develop real-time algorithms to target risks that will optimise portfolios and capital.

Our conclusion: we are entering a new era of pricing which will see a complete and very exciting revolution of the pricing actuary’s role.

Outcomes:

– learn about the latest cloud computing technology and how it can be used

– provide insight into automated risk selection, and

– diagnostics useful for measuring its effectiveness

– interactive discussion on social issues surrounding digitisation


LIQUIDITY RISK MANAGEMENT IN BANKING

Matthew Walker, Katie Duggan, Justin Logie

Presentation

October 26, 2022, 2:15 PM – 3:15 PM

Relevant practice area: Banking                

Suggested audience knowledge level:  Intermediate

  • Post the financial crisis, Basel III sought to address the shortcomings and failings of the banking industry by overhauling key risk areas and metrics to ensure banks are sufficiently capitalised and have sufficient buffers in place to survive future crises.
  • Our presentation will focus on Liquidity Risk Management and a bank’s internal liquidity adequacy assessment process (ILAAP). We will start with a recap of the impact the financial crisis had on the banking industry and the resultant liquidity reforms and regulations that were rolled out in the banking industry. This will include the latest updates in the Directives by the Prudential Authority and an analysis of some of the liquidity metrics disclosed by South African banks and management of liquidity through different interest rate cycles.
  • We will then explain the stress testing and liquidity simulation requirements that banks are performing for the Prudential Authority.
  • Lastly, we will provide insights into modelling enhancements and treasury reviews that banks can consider to future-proof their models and enhance their liquidity risk management processes.
  • Outcomes that attendees can look forward to benefitting from include:

o An understanding of how the global financial crisis has informed liquidity risk management in South Africa.

o Knowledge of the principles that should underpin an ILAAP.

o Awareness of the ongoing challenges and requirements faced by banks in complying with the liquidity risk regulations.

o An understanding of the stress testing being performed, and the liquidity simulation requirements set by the Prudential Authority.

o Awareness of the impact of interest rate cycles on the management of liquidity and future modelling enhancements that banks can consider catering for the challenges and ongoing requirements faced.

o Understanding the pitfalls associated with stress tests, and how to consider radical uncertainty in the management of liquidity.


INTEREST RATE BENCHMARK TRANSITION IN SOUTH AFRICA

Matthew Walker, Moritz Zürker

Presentation

October 28, 2022,08:30 AM – 09:30 AM

Relevant practice area: Banking / Investments / Transformation

Suggested audience knowledge level:  Foundational / Imtermediate / Advanced

  • Interest rate benchmarks around the globe, amongst others, the London Interbank Offered Rate (LIBOR), the Johannesburg Interbank Average Rate (JIBAR) and other Interbank Offered Rates (IBORs) are being reformed. Regulators and interest rate benchmark administrators have flagged certain popular benchmarks with expiry dates. These benchmark cessations are part of interest rate benchmark reforms that aim to address safety and soundness risks. Impacted contracts are expected to be transitioned towards Alternative Reference Rates (ARRs).
  • Our presentation will recap interest rate reform activities in the South African market, provide an overview of the current status and explain the next steps that market participants will face. This will include aspects relating to contracts, communication, system transformation and interest rate modelling.
  • We will then outline challenges faced by South African entities to tackle risks arising from the transition to the new ARRs and from the cessation of existing benchmarks.
  • Lastly, we will provide insights into successfully completed or planned initiatives that South African entities can consider to conduct.

Outcomes that attendees can look forward to benefitting from include:

o             Understand why interest rate benchmarks are being transitioned around the globe.

o             Understand the JIBAR Transition Roadmap and transition decisions taken by the SARB, i.e. learn about JIBAR’s cessation milestones and the industry working groups                        established by the SARB.

o             Understand the features and differences of new ARRs compared to legacy benchmarks.

o             Understand transition impacts on contracts, necessary internal and client communication, system transformation requirements as well as modelling aspects related to the                    JIBAR transition.

o             Understand interest rate benchmark transition risks and challenges that South African entities commonly face.

o             Get inspired by good industry practice examples to tackle transition risks and challenges.


THE ACTUARY AS AMICUS CURIAE

Gregory Whittaker

Presentation with Paper

October 28, 2022, 08:30 AM – 09:30 AM

Relevant practice area: Damages             

Suggested audience knowledge level:  Intermediate

ABSTRACT OF PAPER

The role of amicus curiae as a party to litigation is closely linked to promoting constitutional values and protecting the public interest. There is no question that interventions by amicus curiae have played a critical role in aiding the judiciary in many public interest cases. The Actuarial Society of South Africa is prioritizing its focus on advancing issues of public interest and serving a broader spectrum of the populace. However, it has yet to utilize this specific mechanism to manifest this mandate. The Actuarial Society of South Africa can provide a numerical perspective on various rights disputes deriving from the Constitution. In contrast, the courts have asked other professional bodies to join proceedings, such as the South African Institute of Chartered Accountants. Actuarial bodies, particularly those in the United States of America, are actively involved in public interest matters and occasionally join amicus curiae proceedings. Following an exploration of the use of amicus curiae in South African and African courts, this paper seeks to identify a test case where the Actuarial Society of South Africa may join proceedings as a friend of the court. The mechanism and procedure for joining the court as an amicus curiae and the risks and benefits of joining proceedings are examined.

PRACTICAL OUTCOMES

* An understanding of the use of an amicus curiae.

* An understanding of the mechanism and procedure for joining court proceedings.

* Identifying a test case where actuaries can promote and protect the public interest.

* Identifying the risks to the profession such as cost order


CLIMATE RISK | INSIGHTS FOR SHORT-TERM INSURERS TO CONSIDER

Jeanine Wilson

Pre-Recorded Oral Presentation

Relevant practice area: Short Term Insurance              

Suggested audience knowledge level:  Foundational

Devastating floods in KwaZulu-Natal, droughts in the Western and Eastern Cape and considerable variability in water in Gauteng highlight the significant effects of climate change that South Africa is experiencing.
It is clear that climate risk has and is going to have a substantial impact on short-term insurers with an expected increase in weather related claims. Thus, it is not surprising that a climate risk scenario is becoming increasingly popular in ORSA scenarios. Additionally, many insurers are setting up specific committees to focus on climate risk. There is a lot to consider when it comes to climate risk beyond just an increase in expected claims and this presentation aims to provide some insight on this. The presentation will provide some real life stories and consider items such as regulatory risk (risk of not complying with climate change regulation), liability risk (increased claims for those who have experience loss/damage due to climate change) and transition risk. Transition risk covers a number of areas that insurers need to consider including transitioning of their investments to carbon conscious assets and potentially re-pricing their product for carbon heavy assets.

Practical outcomes for the audience:
1. Insight into the impact climate change is having on our country
2. Appreciation for the need for insurers to consider climate risk in their ORSA scenarios
3. Appreciation for the need to take climate risk seriously and consider the short-, medium- and long-term impacts that climate risk will have on their business
4. Insight into the other aspects of climate risk that should be considered and not only the physical risk