Alexandre Boumezoued

Alexandre has led the development of scientific solutions and consulting services over a range of different risk modelling areas, including Economic Scenarios Generators (ESG), asset-related risks, mortality and policyholder behavior, and Economic Capital Models. He has led the expansion of ESG services with the Milliman Economic Scenario Generator (Best ESG Software by Insurance ERM). In the past few years, he has driven the development of AI-based solutions in the areas of claims processing automation, control systems for actuarial models, actuarial and financial narrative reporting production, chatbot assistants for general and actuarial tasks, and sentiment analysis. He has worked on the following Economic Capital Model projects:

• Review and implementation of improvements of the sovereign spread risk model
• Review and proposals for improvement of the equity risk premium model
• Design of the economic capital model for spread and default risks, including the Dynamic Volatility Adjustment methodology, and their aggregation
• Improvement of the Least Square Monte Carlo proxy model validation
• Production of benchmark estimates of Internal Model outcomes (market and life risks) for Internal Model and Standard Formula companies
• Review and improvement of the mortality, longevity, and pandemic risk models
• Review and improvement of the aggregation methodology within different Internal Models
• Implementation of a number of improved models for life and financial risks
• Review and improvement of the stochastic inflation modelling within the P&C Internal Model for premium and reserve risks
• Validation of the reinsurance counterparty default risk and the aggregation methodology for a Partial Internal Model
• Review and validation of the market risks modelling and the Nested Simulations Methodology of an Internal Model
• Review of the solvency ratio projection process

His consulting experience on ESGs includes:

• Support to the justification of ESG-embedded parameters to auditors and regulators
• Implementation and validation of ESGs (Risk Neutral and Real World)
• Improvement of operational and compliance processes for economic scenarios production
• Enhancement of data quality used for ESG calibration
• Support for model choices and development

He has worked on the following projects related to mortality modeling:

• Modelling the impact of heat waves on mortality
• Enhancing the data quality for general population mortality estimates
• Implementing SIRD-type models for pandemic severity forecasting
• Implementing a number of improved models for longevity, mortality, and mortality CAT risks
• Retreating pandemic mortality within mortality series and other historical patterns
• Analysing cause-of-death mortality differentials by socio-economic groups for the Society of Actuaries
• Reviewing frequency and severity components of a pandemic model, including the spread mechanisms within the spatial model, analysis of model sensitivity, and proposal of modeling simplifications