Calculation of Life Insurance Products by Means of Markov Chains

Einleitung/Dauer

The calculation of life insurance products is traditionally based on the approach of commutation values, whose table properties enable extensive actuarial calculations even without large computer capacities. However, especially for modern and more flexible life insurance tariffs, the calculation by means of commutation values reaches its limits, so that the calculation approach based on Markov chains is gaining in importance and has been used for some time in the mathematical cores of new portfolio administration systems.

This web session will provide an insight into the calculation of common life insurance products using the Markov approach. For this purpose, first an overview of the best-selling life insurance products in some European countries and their classic calculation will be given. In the following, the principle of Markov chains is explained and a model for calculating actuarial values is derived.

Finally, the online training also addresses problems that can arise when migrating from classically calculated portfolios to systems with the Markov approach.

Preliminary Programme
Thursday, 8 October 2026
10:00-12:00 Topics:

• Calculation of life insurance products
• Markov chains
• Mathematical Kernel
• Administration systems

All the above times are given in CEST (Central European Summer Time).

Vorgehensweise und Ziele

The goal of this web session is to give participants an insight into the Markov chain calculation approach in life insurance and its implementation in modern administration systems. Using examples specifically tailored to life insurance tariffs, participants will also gain first practical experience with the Markov approach. Finally, the theoretical and practical components of this web session should enable them to also create and calculate new life insurance tariffs or variations of existing products by using Markov chains.

Teilnehmer

This web session is suited for actuaries in (but not restricted to) life insurance with experience in the traditional calculation of life insurance products by means of commutation values.

Since the practical part of the web session is based on examples created in MS Excel, only basic experience in MS Excel is required. 

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure to join the web session with a stable internet connection.

Dozierende

Thorsten Keil
Thorsten Keil holds a degree in mathematics and works as a Principle Consultant at the consulting firm Auctor Actor Advisor GmbH. In a career spanning more than 30 years, he has held various positions within the life and reinsurance industry. From 1999 to 2015, he worked at various locations of SCOR SE, where he gained extensive knowledge of life insurance markets and products on a national and international level. From 2016 to 2020, he worked as Head of the Mathematical Department for a German insurance group, where he also held the position of the actuarial function and appointed actuary.

Andreas Seidel
Andreas Seidel holds a degree in mathematics and works as a Principle Consultant at the consulting firm Auctor Actor Advisor GmbH. Starting in 2010 he has held several positions within the life insurance industry. From 2010 to 2016, he worked as an actuary at ALTE LEIPZIGER a.G., where he gained wide knowledge of life insurance models and products. From 2016 to 2018, he worked as Head of the Life Operating Department for a local German insurance group and was in addition responsible for product development.

Sprache/Kurztitel

The language of the web session will be English.

CPD Credits
For this web session, the following CPD credits are available under the CPD scheme of the relevant national actuarial association:

• Austria: 2 points
• Belgium:  2 points
• Bulgaria:  3 points
• Croatia: individual accreditation
• Czechia:  2 hours
• Denmark 2 credits
• Estonia:  2 hours
• Finland: 2 points
• France:  12 points
• Germany:  2 hours
• Greece: 3 points
• Hungary:  2 hours
• Iceland: 2 credits
• Ireland: 2 hours
• Italy: individual accreditation
• Latvia: 2 hours
• Lithuania: 2 hours
• Netherlands:  approx. 2 points (individual accreditation)
• Norway: 2 points
• Poland: 2 hours
• Portugal: 2 hours
• Serbia: 2 hours
• Slovakia:  individual accreditation
• Slovenia:  individual accreditation
• Spain: CAC: 2 hours, IAE: 2 hours
• Switzerland:  individual accreditation
• USA: SOA (Section B): up to 2.4 hours

No responsibility is taken for the accuracy of this information.