EAA Web Session: Stochastic Projection Models in Life Insurance
Announcement from the EAA organiser:
With the increasing need for sophisticated asset liability management and the introduction of new accounting frameworks, the stochastic assessment of risk and value in connection with participating life insurance portfolios has become the industry standard over the last decade. The underlying basis for such an assessment is a cash flow projection model, simulating the way the insurance undertaking is working and reflecting it by projecting balance sheets and P&Ls. Due to the complexity associated with such calculations, model simplifications are required to meet operational and technical constraints. Therefore, it has become an area of actuarial research to develop methodologies that allow stochastic cash flow models to achieve results of adequate accuracy based on acceptable run times with affordable IT capabilities. A further challenge poses the application of these models as basis for an integrated internal planning and performance management.
This web session provides an overview of three conceptually different approaches for stochastic life insurance projection models currently observable in the market. It compares their key ideas, explains their strengths & challenges, and introduces the underlying mathematical / actuarial methodologies. Concerning the application of the comparably little-known Liability-2-Step approach, the session will present the operational experience of an Austrian insurance company. Although the comparison of the modelling approaches will mainly be conducted from the viewpoint of Solvency II reporting, the session will also discuss their applicability as basis for the integration of external financial reporting with internal planning and performance management.
Click here to make a reservation. Your early-bird registration fee is € 180.00 (net) / € 214.20 (incl. VAT, if applicable) for bookings by 31 October 2024. After this date, the fee will be € 250.00 (net) / € 297.50 (incl. VAT, if applicable).
Click here (Note: timing via that link is in CEST [Central European Summer Time].)
Michael Kinzer is an independent actuary with over 30 years of experience in the insurance industry as well as in audit and consulting. He is a member of the German Actuarial Association (DAV). His particular interest and a focus his professional expertise lies in the development and application of actuarial projection models, both in the function of technical and operational responsibility and as the subject of consulting services or auditing.