Tigran Kalberer

MA, DAV, SAV

Principal & Consulting Actuary

Zürich, CH

Tigran is a principal and the regional head of Milliman's life and non-life insurance practices in Switzerland and Germany. He joined the firm's Zurich office in 2012.

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Experience

Tigran has more than 25 years of industry experience.

Tigran specializes in strategic advice around the business model, Solvency II, Swiss Solvency Test (SST), risk management, internal models and market-consistent financial reporting.

Tigran has served as a member of a Swiss government commission on potential failures of the Swiss insurance supervision, which resulted in a total reform of the regulatory approach, notably a new, Solvency II-compliant solvency regime, the SST. His project experience encompasses:

M&A due diligence
Documentation and validation of internal models
Evaluating strategic options in difficult business environments
MCEV implementation, support and review
Risk-measurement projects, including Solvency II and SST-implementations, typically involving internal models and advanced modelling, such as replication portfolio techniques
Risk management implementation, including governance, organization, responsibilities and risk procedures
Implementation of market-consistent financial reporting frameworks (market-consistent embedded value)
ALM projects, de-risking of the balance sheet
Mergers and acquisitions due diligence projects
Product design for modern life insurance products

Publications and Presentations

Tigran is the author of numerous scientific articles.

He regularly publishes articles in Switzerland's leading financial newspaper, NZZ. He also edited a book, Variable Annuities, Risk Books, 2009, which is the current standard textbook on VAs and is endorsed by the SOA for actuarial students.

Professional Designations

Member of the German Actuarial Association
Member of the Swiss Actuarial Association

Education

Master's degree in mathematics, University of Cologne, Germany

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Publications

Read their latest work

Article

Milliman Climate Change Reporting Barometer

02 March 2024 - by Fanny Pouget, Jeremy Payen, Joanne Buckle, Adél Drew, Sinéad Clarke, José Silveiro, Aldo Balestreri, Tigran Kalberer, Menno van Wijk

We expect the gap to close between European (re)insurers, disclosures, and TCFD recommendations as a new format for sustainability reporting starts in 2025.

Article

Capital allocation for stochastic simulation approaches

21 July 2014 - by Tigran Kalberer

Overview of a new main-risk-factor-based approach to required capital allocation.

Article

Using leakage as a control variate

09 December 2013 - by Tigran Kalberer

A new control variate approach that works within existing simulation frameworks to reduce the variance in valuations of insurance liabilities.

Article

Searching for the right proxy approaches to life

30 January 2013 - by Tigran Kalberer

Selecting and implementing a proxy approach to calculate the solvency capital requirement under Solvency II.

Article

Is Life really difficult?

06 December 2012 - by Tigran Kalberer

How to ensure an adequate proxy approach to Solvency Capital Requirement Calculations.

Tigran Kalberer

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Experience

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Read their latest work

Milliman Climate Change Reporting Barometer

Capital allocation for stochastic simulation approaches

Using leakage as a control variate

Searching for the right proxy approaches to life

Is Life really difficult?

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Tigran Kalberer

Experience

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