Lecture series "Actuarial Modelling Club"
 

Spread Risk in Balance Sheet Valuation and Projection: Options and Guarantees

Marcel Smith, MavenBlue

As a major risk driver and source of income, spread risk is often overlooked when it comes to the risk neutral valuation of the options and guarantees and the real-world projection for e.g. asset liability management, capital planning or ORSA calculations. In this talk, we will discuss taking the spread risk into account for both valuation and projection.

MavenBlue kindly invites participants to drinks and sandwiches after the presentation!

 
About the speaker

Dr. Marcel Smith FRM is a principal consultant and one of the founding partners of MavenBlue. Marcel has headed investments and risk at several insurance companies in the Netherlands and abroad and is an expert in financial risk management, asset liability management, product development, operations research, quantitative modelling and parallel computing.

When

• Tuesday, 17 February 2026, 17:00 (approx. 1 hour)

Where

• Freihaus Lecture Hall 8 - Nöbauer Hörsaal,
  Freihaus building, 2nd floor, yellow area (campus map),
  TU Wien, Wiedner Hauptstrasse 8-10, 1040 Vienna (google maps)

• or online participation (details)

Registration

• Registration form

For on-site participation, registration is mandatory (regardless of whether a confirmation of attendance is requested).
For online participation, registration is necessary for confirmation of attendance is requested.
Everyone is welcome to attend the lecture; membership at an actuarial association is not required.
There is no participation fee.

CPD - Continuing Professional Development

Attendees will receive 1 CPD point from the Actuarial Association of Austria (AVÖ). The confirmation of attendance (registration required) will state the duration of participation for CPD recognition by other national actuarial associations.

AMC - Actuarial Modelling Club

This talk is part of the "Actuarial Modelling Club" lecture series. These events aim to create a discussion forum for actuaries, where current topics are presented and debated. They also offer students - particularly those in financial and actuarial mathematics - valuable insights into practical applications and opportunities for personal networking.

You are welcome to contact the AMS organisers with topic suggestions.

AMC Organisers

The AMC lecture series is organized by the Research Unit Financial and Actuarial Mathematics (FAM) of TU Wien in cooperation with members of the Actuarial Association of Austria (AVÖ):

Julia Eisenberg** (FAM @ TU Wien),
Karin Hirhager* (austrion Life Insurance),
Reinhold Kainhofer* (Wiener Städtische),
Andrea Rauter* (B&W Deloitte),
Uwe Schmock** (FAM @ TU Wien) und
Christina Ziehaus*/** (Generali)

* Members of the Education and Professionalism Committee of AVÖ
** Fully Qualified Actuary of AVÖ

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