With the introduction of new accounting frameworks, the corresponding alignment of planning and performance management and with the increasing need for sophisticated asset liability management, the stochastic assessment of risk and value in connection with participating life insurance portfolios has become the industry standard over the last decade. The underlying basis for such an assessment is a cash flow projection model, simulating the way the life insurance undertaking is working and reflecting it by projecting local GAAP balance sheets and income statements. Due to the complexity associated with such calculations, simplifications are required especially regarding the modelling of the insurance contracts to meet operational and technical constraints. Therefore, it has become an area of actuarial research to develop methodologies that allow stochastic cash flow models to achieve results of adequate accuracy based on acceptable run times with affordable IT capabilities.
This web session presents the general structure and components that projection models must have for the valuation of life insurance liabilities including their embedded options and guarantees within an economic / market-consistent balance sheet (MCBS). It explains the need for a simplified modelling of the life insurance contracts / portfolio in a stochastic context and introduces three conceptually different approaches currently observable in the market. The online training compares their key underlying ideas and introduces - based on concrete examples - the mathematical / actuarial methodologies used. This introduction also includes a qualitative discussion of their individual strengths & challenges with regards to both external financial reporting and internal business steering including aspects like movement analyses, planning and performance management. Concerning the application of the comparably little-known Liability-2-Step approach, the session will present the operational experience of an Austrian insurance company.
Early-bird discount is available for bookings made by 14 October 2026.
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EAA – European Actuarial Academy GmbH | Hohenstaufenring 47-51 | 50674 Cologne | Germany Phone: +49 221 912554-340 | E-mail: Questo indirizzo email è protetto dagli spambots. È necessario abilitare JavaScript per vederlo.
County Court Cologne (HRB 56792) | VAT ID No. DE 814618127 Managing Director: Henning Wergen
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