TidsPension - Stochastic modeling of liabilities

Specialeforsvar ved Rasmus Tolker-Nielsen

Titel: TidsPension - Stochastic modeling of liabilities 

Abstract: TidsPension is a relatively new pension product in the Danish market. Approximately ten years ago, an optional guarantee was added to the product. Due to decreasing interest rates, the viability of the guarantee has decreased. The main focus of this thesis is this guarantee. TidsPension's design hinders the use of classical actuarial tools to calculate liabilities and risks. For this reason, we look to the toolbox of the quantitative finance practitioner and find Monte Carlo simulation. This thesis builds a model under the risk-neutral measure that uses this tool to calculate liabilities in a framework where both biometrics and the financial market are stochastic. We present results based on this model and analyse the company's risk exposure to the product. We conclude by suggesting changes to the guarantee that can make TidsPension viable again. 

Vejledere: Mogens Steffensen
                  Jesper Buchardt Andersen, Danica Pension
Censor:    Kenneth Bruhn, Edlund