Grzegorz Darkiewicz

FPSAPL

Senior Consultant

Warsaw, PL

Grzegorz is a consultant with the Warsaw, Poland, office of Milliman. He joined the firm in 2011.

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Experience

Grzegorz specializes in risk management, ALM and life insurance. He has almost ten years of actuarial experience—more than seven years in the industry and two and a half years of university research. Prior to joining Milliman, he obtained a Ph.D. in Applied Economics at Catholic University of Leuven, and he worked in the risk management department at KBC Group and KBC Asset Management in Belgium.

Grzegorz was involved in a wide range of projects in ALM, risk management, and asset management, covering highly technical aspects of market consistent valuation, risk measurement, and stochastic analysis.

His expertise includes:

Risk management and Solvency II
Market Consistent Embedded Value
Asset-Liability Management
Replicating portfolios
PROPHET modeling (deterministic and stochastic)
Economic Scenario Generators
Interest rate modeling
Valuation of structured products

Grzegorz is fluent in English and Dutch (Flemish).

Publications and Presentations

Grzegorz is an author and coauthor of several scientific papers published in international journals, including Insurance: Mathematics and Economics and Journal of Risk and Insurance.

Professional Designations

Fellow, Polish Society of Actuaries, Poland
Holder of Financial Risk Manager certificate (by Global Association of Risk Professionals)

Education

MSc, Mathematics, University of Warsaw, Poland
Ph.D., Applied Economics, Catholic University of Leuven, Belgium

Publications

Read their latest work

Article

IFRS 17 hedging: A case study on an Italian segregated fund

03 June 2025 - by Aldo Balestreri, Grzegorz Darkiewicz, Matteo Fruzzetti, Ken Qian

As many life insurance companies are struggling with volatility due to IFRS 17, we show how to mitigate the problem for products under the variable fee approach.

Article

Dynamic lapses following an increase in interest rates

28 March 2025 - by Aldo Balestreri, Alessio Brancolini, Grzegorz Darkiewicz, Franck Ludwig, Abraham Mapelli, Dr. Sven Wagner

We examine dynamic lapses in Germany, France and Italy, following the increase in interest rates in recent years.

Article

Consistent equity risk-neutral valuation under climate stress tests

02 February 2024 - by Sophian Mehalla, Grzegorz Darkiewicz, Michał Krzemiński, Céline Francony

With a proper granularity of modeling, shocks prescribed by European regulators related to climate transition risk can be applied to estimate ALM impacts.

Article

Alternative assets for life insurers

16 December 2022 - by Clement Bonnet, Grzegorz Darkiewicz, Josh Dobiac, Russell Ward

Alternative assets can serve as attractive investments for insurers with long-term and relatively illiquid liabilities.

Article

Challenges and opportunities for CEE insurers in the “Brave New World” of higher interest rates

06 December 2022 - by Grzegorz Darkiewicz, Ed Morgan

The radical change in the interest rate environment has many implications for CEE insurers, presenting challenges and opportunities not seen for years.

Article

Developing climate risk scenarios for Solvency II ORSA

12 October 2022 - by Grzegorz Darkiewicz, Diana Dodu, Michał Krzemiński, Daniele Zinicola

European insurers face challenges in the assessment of transition risks on assets for climate risk scenarios under Solvency II ORSA.

Article

A smart approach to the validation of stochastic dynamic ALM models

11 October 2022 - by Grzegorz Darkiewicz, Ed Morgan

The fast evolution of reporting measures such as MCEV, Solvency II and IFRS 17 sometimes requires the use of stochastic dynamic ALM models.

Article

Alternative asset classes: Why and what to model, and considerations for risk management

16 February 2022 - by Hervé Andrès, Alexandre Boumezoued, Grzegorz Darkiewicz, Rikiya Ino, Daren Lockwood, Fiona Ng, Russell Ward

Challenges for companies in the alternative asset space include building an internal model and accounting for regulatory treatment for capital set aside.

Article

Neural network calibration of the DDSVLMM interest rates model, and application to weights calculation

29 November 2021 - by Pierre-Edouard Arrouy, Paul Bonnefoy, Alexandre Boumezoued, Yousra Cherkaoui Tangi, Grzegorz Darkiewicz, Sophian Mehalla

We present a calibration technique for one complex risk neutral model, relying on neural networks and significantly reducing computational time.

Article

Setting discount rates under IFRS 17: Getting the job done - Paper 3: Some practical considerations for reference portfolios

01 June 2021 - by Pierre-Edouard Arrouy, Charles Boddele, Grzegorz Darkiewicz, Russell Ward

While setting the overall discount rate under IFRS 17 might seem overwhelming, we give some practical considerations to get the job done.

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Read their latest work

Article

IFRS 17 hedging: A case study on an Italian segregated fund

03 June 2025 - by Aldo Balestreri, Grzegorz Darkiewicz, Matteo Fruzzetti, Ken Qian

As many life insurance companies are struggling with volatility due to IFRS 17, we show how to mitigate the problem for products under the variable fee approach.

Article

Dynamic lapses following an increase in interest rates

28 March 2025 - by Aldo Balestreri, Alessio Brancolini, Grzegorz Darkiewicz, Franck Ludwig, Abraham Mapelli, Dr. Sven Wagner

We examine dynamic lapses in Germany, France and Italy, following the increase in interest rates in recent years.

Article

Consistent equity risk-neutral valuation under climate stress tests

02 February 2024 - by Sophian Mehalla, Grzegorz Darkiewicz, Michał Krzemiński, Céline Francony

With a proper granularity of modeling, shocks prescribed by European regulators related to climate transition risk can be applied to estimate ALM impacts.

Article

Alternative assets for life insurers

16 December 2022 - by Clement Bonnet, Grzegorz Darkiewicz, Josh Dobiac, Russell Ward

Alternative assets can serve as attractive investments for insurers with long-term and relatively illiquid liabilities.

Article

Challenges and opportunities for CEE insurers in the “Brave New World” of higher interest rates

06 December 2022 - by Grzegorz Darkiewicz, Ed Morgan

The radical change in the interest rate environment has many implications for CEE insurers, presenting challenges and opportunities not seen for years.

Article

Developing climate risk scenarios for Solvency II ORSA

12 October 2022 - by Grzegorz Darkiewicz, Diana Dodu, Michał Krzemiński, Daniele Zinicola

European insurers face challenges in the assessment of transition risks on assets for climate risk scenarios under Solvency II ORSA.

Article

A smart approach to the validation of stochastic dynamic ALM models

11 October 2022 - by Grzegorz Darkiewicz, Ed Morgan

The fast evolution of reporting measures such as MCEV, Solvency II and IFRS 17 sometimes requires the use of stochastic dynamic ALM models.

Article

Alternative asset classes: Why and what to model, and considerations for risk management

16 February 2022 - by Hervé Andrès, Alexandre Boumezoued, Grzegorz Darkiewicz, Rikiya Ino, Daren Lockwood, Fiona Ng, Russell Ward

Challenges for companies in the alternative asset space include building an internal model and accounting for regulatory treatment for capital set aside.

Article

Neural network calibration of the DDSVLMM interest rates model, and application to weights calculation

29 November 2021 - by Pierre-Edouard Arrouy, Paul Bonnefoy, Alexandre Boumezoued, Yousra Cherkaoui Tangi, Grzegorz Darkiewicz, Sophian Mehalla

We present a calibration technique for one complex risk neutral model, relying on neural networks and significantly reducing computational time.

Article

Setting discount rates under IFRS 17: Getting the job done - Paper 3: Some practical considerations for reference portfolios

01 June 2021 - by Pierre-Edouard Arrouy, Charles Boddele, Grzegorz Darkiewicz, Russell Ward

While setting the overall discount rate under IFRS 17 might seem overwhelming, we give some practical considerations to get the job done.

Grzegorz Darkiewicz

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Experience

Read their latest work

IFRS 17 hedging: A case study on an Italian segregated fund

Dynamic lapses following an increase in interest rates

Consistent equity risk-neutral valuation under climate stress tests

Alternative assets for life insurers

Challenges and opportunities for CEE insurers in the “Brave New World” of higher interest rates

Developing climate risk scenarios for Solvency II ORSA

A smart approach to the validation of stochastic dynamic ALM models

Alternative asset classes: Why and what to model, and considerations for risk management

Neural network calibration of the DDSVLMM interest rates model, and application to weights calculation

Setting discount rates under IFRS 17: Getting the job done - Paper 3: Some practical considerations for reference portfolios

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CHOOSE A LOCATION AND LANGUAGE

Grzegorz Darkiewicz

Read their latest work

IFRS 17 hedging: A case study on an Italian segregated fund

Dynamic lapses following an increase in interest rates

Consistent equity risk-neutral valuation under climate stress tests

Alternative assets for life insurers

Challenges and opportunities for CEE insurers in the “Brave New World” of higher interest rates

Developing climate risk scenarios for Solvency II ORSA

A smart approach to the validation of stochastic dynamic ALM models

Alternative asset classes: Why and what to model, and considerations for risk management

Neural network calibration of the DDSVLMM interest rates model, and application to weights calculation

Setting discount rates under IFRS 17: Getting the job done - Paper 3: Some practical considerations for reference portfolios

CHOOSE A LOCATION AND LANGUAGE