Analytical Validation Formulas for Best Estimate Calculation in Traditional Life Insurance

Simon Hochgerner and Florian Gach

Papers from arXiv.org

Abstract: Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force business and tax is established. This relationship holds true for any portfolio under run-off assumptions and can be used for the validation of models set up for Solvency~II best estimate calculation. Furthermore, we derive a lower bound for the value of future discretionary benefits. This lower bound formula is applied to publicly available insurance data to show how it can be used for practical validation purposes.

Date: 2018-02, Revised 2019-07
New Economics Papers: this item is included in nep-ias and nep-rmg
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Citations: View citations in EconPapers (4)

Published in Eur. Actuar. J. (2019) 9: 423

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