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Grzegorz Darkiewicz headshot

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

Read their latest work

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.
Article

Setting discount rates under IFRS 17: Getting the job done—Paper 2: Setting the approach

10 February 2021 - by Pierre-Edouard Arrouy, Charles Boddele, Grzegorz Darkiewicz, Russell Ward, Freek Zandbergen, Sihong Zhu
This paper is part of a series covering the overall process for discount rates under IFRS 17, specifically the number of steps required to set a discount rate.
Article

ALM Metrics Survey 2020

06 November 2020 - by Georges Abbey, Alex Bryant, Clement Bonnet, Jessica Crowson, Grzegorz Darkiewicz, Paul Fulcher, Rikiya Ino, Ed Morgan, Freek Zandbergen, Sihong Zhu
This year’s asset liability management (ALM) Metrics Survey seeks to understand the current international practice in a variety of representative markets in terms of the approaches and the metrics used in ALM by global life insurers and discusses what might be considered best practices and how this might evolve in the future.