On the calculation of forecasts for simple unit-linked products

Specialeforsvar ved Frederik Højrup Clausen

Titel: On the calculation of forecasts for simple unit-linked products

Abstract:  In this thesis, the new approximation method for calculating forecasts for pension savings in the Danish Life Insurance & Pension companies is presented, tested and assessed. The purpose of the new calculation method is to provide the customers with more information than they receive today. After the approximation has been explained and the results behind it has been recreated, the thesis proposes new measures that could possibly provide even more information to the customers. Finally, the approximation method is tested by changing different parameters, before presenting a summary and suggesting what future research in this field should be focused on. Among the new measures, it is suggested to include a measure of the volatility of the benefits, as this would help the customers to understand that the benefits can vary over time as a result of different investment returns.
However, before implementing any new measures, it is recommended to focus on the issues that the approximation has with its distribution assumption and PAL-tax simplification as they seem to be the main causes of the approximation's deviations. Since the former of the two issues causes the biggest deviations, it should be the main focus.

Vejleder:           Mogens Steffensen,
Medvejleder:   Magnus Tor Ry Hessler, Danica Pension
Censor:             Mikkel Jarbøl, Norli Pension