Application of Solvency II Future mangement Actions

Specialeforsvar ved Nete Damgaard Wangsbøll

Titel: Application of Solvency II Future Management Actions

Abstract: This thesis investigates future management actions introduced by the Solvency II regulation. The aim of the thesis is to clarify the purpose of future management actions and analyse the effect of implementing future management actions on the solvency capital requirement. In the first part of the thesis the Solvency II regulation is analysed and interpreted. The focus is in particular on the purpose of applying future management actions and the requirements of these. With offset in a simple life and death model, a mathematical set-up is defined to set the basis for introducing future management actions. Then future management actions are implemented in cashflow projections used to calculate the solvency capital requirement. The effect on the solvency capital requirement of introducing future management actions is analysed. The analysis focuses in particular on future management actions which affect the investment strategy and the bonus strategy. The effect of implementing future management actions on the solvency capital requirement is shown to be considerable, showing the importance of implementing future management actions.

Vejleder: Mogens Steffensen
Censor:   Jesper Olesen, Danica Pension