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Curriculum vitae of Dr Hansj¨rg Furrer o

Personal data Hansj¨rg Furrer o Eintrachtstrasse 13 CH-8820 W¨denswil a Switzerland Phone: +41 52 213 9317 (home) +41 31 327 1958 (office) Fax: +41 31 327 9101 e-mail: Hansjoerg.Furrer@finma.ch url: www.math.ethz.ch/∼hjfurrer Date of birth: 30 August 1968 Place of birth: Schlatt ZH

Employment Jul 2010 to date Swiss Financial Market Supervisory Authority FINMA: Head of Quantitative Risk Management - Division Insurance • implementation and further development of the Swiss Solvency Test SST • approval of internal risk models Swiss Life: Group Chief Actuary • evaluating the adequacy of policyholder reserves • reviewing the pricing assumptions • monitoring the firm’s solvency by ensuring that the correct set of rules and regulations are applied • member of the following committees: Board of Directors (BoD) risk committee, BoD audit committee, Group Executive Board’s risk committee. • member of two SIA1 committees on risk-based supervision (Solvency II, Swiss Solvency Test SST) Swiss Life: Head of Actuarial Controlling & Insurance Risk • implementation and further development of the Swiss Solvency Test SST • engaging in the developments of the Solvency II-project. Coordination of the corresponding initiatives across Swiss Life’s EU business units. • developing market-consistent liability models, including the valuation of embedded options and guarantees.

Apr 2008 – Jun 2010

Feb 2004 – Dec 2008

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Swiss Insurance Association.

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Employment (continued) Oct 2002 – Jan 2004 RiskLab2 : Quantitative analyst (part-time) • research into quantitative risk management. Assessing the usability of VaR (Value-at-Risk) for Hedge Funds • investigating capital charge requirements for operational and credit risk under Basel II. Swiss Re Life & Health Zurich: Pricing and marketing actuary • preparing reinsurance proposals • working closely with client managers and participating in client meetings. Swiss Re Life & Health Southern Africa Ltd., Johannesburg. Member of the Actuarial Development team: • tracking and analyzing the experience of specific portfolios • managing actuarial students/staff in own area of expertise, including mentoring and knowledge transfer. Swiss Re Life & Health Zurich: Pricing actuary • developing actuarial models and technical support for all types of business. Acting as a centre of expertise for nonproportional reinsurance covers • proposing pricing schemes and preparing reinsurance contracts • organizing a client seminar on unit-linked life insurance products • leading the “E-BULK”-project with the objective to standardise the data transfer between the cedents and Swiss Re.

Apr 2002 – Sep 2002

Mar 2001 – Mar 2002

Mar 1998 – Feb 2001

Research institute concentrating on applied research in the area of integrated risk management for insurance and finance. RiskLab is sponsored by the Swiss Federal Institute of Technology Zurich (ETHZ), Credit Suisse, Swiss Re and UBS.

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Education Oct 2002 – Dec 2003 ETH Zurich/University of Zurich: Studies of Master of Advanced Studies in Finance. Summa cum laude. Diploma thesis on The term structure of interest rates as a random field. Applications to credit risk. Final SAA exams (Swiss Association of Actuaries). ETH Zurich: Teaching assistant and work on doctoral thesis. Dissertation under the supervision of Prof. Dr. P. Embrechts: Risk Theory and Heavy-Tailed L´vy Processes. e ETH Zurich: Study of mathematics, specialising in probability theory. • Diploma under the supervision of Prof. Dr. P. Embrechts: Risikoprozesse gest¨rt durch Diffusion. o • Walter Saxer Versicherungs-Hochschulpreis for diploma thesis. Gymnasium in Winterthur, Matura Typus C. Secondary school in Elsau. Primary school in Schlatt ZH.

2000 1993 – 1997

1988 – 1993

1983 – 1987 1981 – 1983 1975 – 1981

Computer/System Skills
A S-Plus, Matlab, Mathematica, MS Excel, MS Access, MS Word, L TEX.

Selected Publications Embrechts, P., and Furrer, H. J., and Kaufmann, R. (2008). Different kinds of risk. Handbook of Financial Time Series, Eds. Andersen, T. G., Davis, R. A., Kreiss, J. P., and Mikosch, T. W¨ thrich, M. V., and B¨ hlmann, H., and Furrer, H. J. (2007). Market-Consistent u u Actuarial Valuation. Springer EAA Lecture Notes. Embrechts, P., and Furrer, H. J., and Kaufmann, R. (2003). Quantifying Regulatory Capital for Operational Risk. Derivatives Use, Trading & Regulation. Volume 9, No. 3, 217 - 233. Also available on www.bis.org/bcbs/cp3comments.htm Embrechts, P., and Furrer, H. J. (2003). VaR, Stress Testing and Related Risk Management Techniques for Hedge Funds. Managing the Risks of Alternative Investment Strategies, edited by L. Jaeger. Embrechts, P., and Frey, R., and Furrer, H. J. (2001). Stochastic Processes in Insurance and Finance. Handbook of Statistics (North Holland) Vol. 19, 365–412. Furrer, H. J. (1998). Risk processes perturbed by α-stable L´vy motion. Scand. Ace tuarial J. 1, 59–74.

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Selected Talks Nov 2007 May 2007 Mar 2007 Feb 2007 Leonhard Euler and Financial Risk Management. Swiss Life internal presentation. Experience with the Swiss Solvency Test, Versicherungstreff, K¨ln. o Economic Capital Modeling, Fortis Chair, Brussels. Risk-based Solvency Requirements, Conference on Recent Developments in Financial and Insurance Mathematics and the Interplay with the Industry, Oberwolfach, Germany. Risk Measurement in a Solvency Model, Insurance and Pension Risk Conference, London. The Swiss Solvency Test for Life Insurance Companies, 4th Conference in Actuarial Science and Finance, Samos. From Solvency I to Solvency II, Annual General Meeting of the Swiss Association of Actuaries, Lausanne. Swiss Life’s Experience in the SST Field Test 2004, Risk Management Seminar, Riga.

Dec 2006 Sep 2006 Sep 2006 Apr 2005

Teaching and professional activities Spring terms 2008, 2010: Since Aug 2009: Lecture on “Market-consistent actuarial valuation”. ETH Zurich, Jointly with Dr. M. W¨thrich. u Board member of the Swiss Association of Actuaries.

Languages • German: • English: • French: • Italian: native language fluently (Certificate Grade B in the Examination for the Certificate of Proficiency in English, Cambridge University) very good good

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