Join us in our upcoming webinar on:

Estimation of future discretionary benefits (FDB) in traditional life insurance
  

Time - 07:00 AM (EST)|Date: 27 June 2023 
Time -13:00 PM (CEST)|Date: 27 June 2023 

In the context of life insurance with profit participation, the future discretionary benefits (FDB), which are a central item for Solvency II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the FDB. The method is designed for real world applications, and examples involving public and anonymized confidential reporting data will be provided in the talk. Moreover, I will discuss the assumptions underpinning the estimation and numerical evidence from a comprehensive asset liability management (ALM) model. This talk is based on joint work with Florian Gach, Eva Kienbacher and Gabriel Schachinger.

Speaker 

Simon Hochgerner

After obtaining a PhD in mathematics (geometric mechanics) in 2005 at the University of Vienna I held post-doc positions at the University of Vienna and the Ecole Polytechnique Federale de Lausanne (EPFL) until 2011, where my work was focused on stochastic mechanics. Since 2011 I am with the Österreichische Finanzmarktaufsicht (FMA), currently as a specialist on quantitative methods in the department for on-site inspections. My research interests include stochastic methods applied to asset liability management (ALM) models, interest rate models, stochastic fluid dynamics and potential applications to NatCat scenario generation.

Moderator

Łukasz Delong

Łukasz Delong is working at SGH Warsaw School of Economics. He has a PhD in mathematics, a habilitation degree in economics and the professor title in economics and finance. Łukasz is an actuary with license no. 130 issued by the Polish Financial Supervision Authority, the head of the Examination Committee for Actuaries at the Polish Financial Supervision Authority, a board member of the Polish Society of Actuaries and a board member of AFIR-ERM Section of the IAA. He is an editor of ASTIN Bulletin - The Journal of the IAA and an associate editor of European Actuarial Journal. Łukasz is an author of numerous scientific papers on insurance mathematics, financial mathematics and probability. His scientific research includes different areas of actuarial mathematics with emphasis on stochastic modelling of financial risks and machine learning in insurance.