Stochastic Projection Models in Life Insurance

Einleitung/Dauer

With the introduction of new accounting frameworks, the corresponding alignment of planning and performance management and with the increasing need for sophisticated asset liability management, 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 life insurance undertaking is working and reflecting it by projecting local GAAP balance sheets and income statements. Due to the complexity associated with such calculations, simplifications are required especially regarding the modelling of the insurance contracts 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.

Preliminary Programme
Wednesday, 25 November 2026
09:00-09:50 Introduction to stochastic life insurance projection models
• Options and guarantees embedded in life insurance products
• Management actions and policyholder behaviour
• Period-by-period projection
• Operational need for model simplifications
09:50-10:00 Break
10:00-10:50 Model point grouping and compression
• Process
• Methodologies
• Validation
10:50-11:00 Break
11:00-12:00 Flexing methodology and Liability-2-Step concept
• Underlying ideas
• Implementation examples
• Validation
12:00-12:10 Break
12:10-13:30 Case study - experience with a Liability-2-Step implementation
 Beyond MCBS - movement analyses, planning and performance management

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

Vorgehensweise und Ziele

This web session presents the general structure and components that projection models must have for the valuation of life insurance liabilities including their embedded options and guarantees within an economic / market-consistent balance sheet (MCBS). It explains the need for a simplified modelling of the life insurance contracts / portfolio in a stochastic context and introduces three conceptually different approaches currently observable in the market. The online training compares their key underlying ideas and introduces - based on concrete examples - the mathematical / actuarial methodologies used. This introduction also includes a qualitative discussion of their individual strengths & challenges with regards to both external financial reporting and internal business steering including aspects like movement analyses, planning and performance management. Concerning the application of the comparably little-known Liability-2-Step approach, the session will present the operational experience of an Austrian insurance company.

Teilnehmer

The web session might be of interest to people dealing directly or indirectly with the results of stochastic casflow models in their daily business as well as for all actuaries who want to learn more about the stochastic modelling of life insurance. Some basic technical knowledge of actuarial casflow models is an advantage, but not essential.

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

Michael Kinzer
Michael is a member of the German Actuarial Association (DAV) and an actuary with over 30 years of experience in the life and health insurance industry as well as in audit and consulting. His particular interest and a focus of his professional expertise lie in the development and application of actuarial projection models, both in the function of technical and operational responsibility as well as from an external viewpoint as subject of consulting services or audit engagements.

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: 4 points
• Belgium:  4 points
• Bulgaria:  6 points
• Croatia: individual accreditation
• Czechia:  4 hours
• Denmark 4 credits
• Estonia:  4 hours
• Finland: 4 points
• France:  24 points
• Germany:  4 hours
• Greece: 5 points
• Hungary:  4 hours
• Iceland: 4 credits
• Ireland: 4 hours
• Italy: individual accreditation
• Latvia: 4 hours
• Lithuania: 4 hours
• Netherlands:  approx. 4 points (individual accreditation)
• Norway: 4 points
• Poland: 4 hours
• Portugal: 4 hours
• Serbia: 4 hours
• Slovakia:  individual accreditation
• Slovenia:  individual accreditation
• Spain: CAC: 4 hours, IAE: 4 hours
• Switzerland:  individual accreditation
• USA: SOA (Section B): up to 4.8 hours

No responsibility is taken for the accuracy of this information.