Valuation of technical Provisions in Participating Life Insurance under Solvency II

Specialeforsvar ved Kristian Koch-Hansen

Titel:Valuation of Technical Provisions in Participating  Life Insurance under Solvency II



Abstract: Motivated by new valuation principles issued by the Danish Financial Authorities on the basis of the Solvency II regulation, we consider valuation of technical provisions for participating life insurance. In our treatment, we derive a general projection-based valuation framework under a setting of dynamic policyholder behaviour that enables us to formalize the Solvency II balance sheet including the best estimate, solvency capital requirement and risk margin and thereby demonstrate new general actuarial reasoning in accordance with the new valuation principles. 



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