Valuation of Future management Actions in Pension Insurance

Specialeforsvar ved Asbjørn Emil Feldinger

Titel:  Valuation of Future Management Actions in Pension Insurance

Abstract: This thesis incorporates future management actions introduced in the Solvency II Directive in the valuation of assets and liabilities in life insurance. The aim is to analyse the effect of future management actions which involve guarantees. Notable quantities of interest for future management action implementations are changes to investment strate-gies, option values and surplus distribution. The analysis is done by conducting three case studies on a pension product which pays a lump sum upon expiry - both in surrender and survival models. The first case shows parameter sensitivities on future management actions and special cases where simulation approaches are unnecessary. The second case shows that the effect that market dependent options have on the guarantees can be very substantial. The third case shows that losses can be minimized by only investing proportionally to the excess reserve with respect to the guarantees. However, this investment strategy should also restrict shareholder benefit.

Vejleder:  Mogens Steffensen
Censor:    Magnus Tor Ry Hessler, Danica Pension