Prognoses and Sensitivities

Specialeforsvar: Steffen Thyge Pedersen

Titel: Prognoses and Sensitivities

Abstract: In this thesis, we show how most currently offered prognoses can be classified as fixed path prognoses, i.e. prognoses assuming a fixed path for the state process of the policy holder. We then propose an alternative - restricted path prognoses, where the state process is not  fixed, but restricted to a subset of states { and show how this can lead to more conservative prognoses. Also, the thesis introduces prognosis sensitivities as a way to quantify and communicate how the decisions available to the policy holder - such as retirement timing and premium payments  - affect the level of benefits paid out.

Vejleder: Mogens Steffensen
Censor:    Kenneth Bruhn, Edlund