Calculation of solvency reserves for biometrical risks in life insurance

• Applicant: Professor Dr. Marcus C. Christiansen
• Subject Area: Mathematics
• Term: from 2009 to 2010
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 133714928

In 2000 the European Commission decided to fundamentally change the supervisory system of the insurance industry and started the project ’Solvency II’. The central change was the call for a prospective and risk-oriented approach, which should reflect the true risks of an insurance company. In order to meet that high expectations, the Commission stipulated that future solvency capital requirements shall be based on modern stochastic risk measuring techniques. However, because of the absence of adequate mathematical concepts, the current proposal for a standard formula does not completely live up to expectations. The key objective of the herein presented research project is to develop a ’true’ stochastic concept for the calculation of solvency reserves for life insurance business that fits to the modular approach of Solvency II. At the center of the scientific work is the combination of statistical interval prediction techniques with analytical worst-case and best-case methods in order to obtain solvency reserves for systematic mortality risk and further systematic biometrical risks such as systematic disability risk. Since there is not much consensus about the adequate modeling of mortality rates, disability rates, etc., special emphasize is on the robustness of the calculation methods.

• DFG Programme: Research Fellowships
• International Connection: Belgium
• Host: Professor Dr. Michel Denuit