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Life Insurance Services

Product development, assumption setting and validation, liability valuations, cash flow models, Economic Scenario Generators, asset models.


Pricing and profit testing of new products

We can support our clients during the whole product development cycle. As a starting point, we typically carry out a detailed analysis of the planned product to understand its intentions, business objectives and the risks of technical implementation. We can also help with obtaining the necessary statistical data and with development and validation of the pricing assumptions as well as with calculation of the premium rates and development of the statutory reserving formulas. The procedure is completed with a detailed profit testing and sensitivity analysis and can also include assistance in preparation of the underlying business plans.


Assumption setting

Using of inappropriate assumptions in various actuarial calculations can have a far-reaching impact on the reported results and on the decisions made based on them. By combination of our actuarial skills and business experience we can effectively support our clients in development of the best estimate assumptions for both market and non-market variables. Our ESG Tools, which include risk neutral yield curve simulation and calibration, are built upon approved theoretical concepts which are optimized for fast run-time processing. The tools also include sophisticated features which accelerate the speed of the subsequent actuarial calculations. We can also support our clients with a number of other tasks in the assumption setting process, such as mortality and lapse experience studies, expense analyses or estimations of some other socio-economic factors.


Mortality projections  

Estimation of the future trends in mortality is equally important for companies running mortality or longevity risk. Although previous experience shows that such models often fail with their predictions, companies who considered the risk of future mortality changes in their pricing are better off than the companies, who ignored this.

In cooperation with respected demographers from the University of Economics and Charles University, our experts are systematically working on mortality projection models, which are applicable in a number of economic projections. We can consult with our clients the appropriate methods for future mortality projections (incl. specific models for old age mortality) and can provide detailed mortality data, which include key factors affecting mortality and causes of death.


Actuarial modelling

To perform all necessary actuarial tasks (pricing, profit testing, liability valuations, MCEV, financial reporting disclosures, etc.) insurance companies need investing into professional actuarial systems. This also requires trained staff, which is able to work with these systems efficiently and can maintain certain quality standards.  With our own-developed actuarial modelling tool Sophas at hand, we are in the position to offer to our clients a full support in development, testing and operation of virtually any actuarial model required by an insurance company. Our consultants also have proven experience from working with other actuarial systems such as Prophet, MoSes or VIPitech. We are therefore ready to provide resource support to our clients for actuarial modelling tasks in most of the well-known actuarial modelling environments.


Liability valuation techniques

Changes in market conditions, coupled with the evolving accounting and regulatory rules, put increased emphasis on necessity of determination of the realistic liabilities. This requires application of advanced actuarial methods, such as option pricing techniques, as well as knowledge of the conventions set out by the relevant reserving basis (statutory, Solvency II, IFRS LAT, etc.). At the same time the reported liabilities should be aligned to the business model of the company in question.

With the team of our actuaries working also in the field of academic research, we can assist our clients in development of various mathematical methods applied in liability valuations such as, for instance, fair valuation of options and guarantees or estimation of the risk margins for Solvency II/IFRS. Given our experts from the financial reporting and regulatory areas, we can make sure that the applied methods are feasible and acceptable by the relevant rules.


Yield curve construction

Many actuarial and financial modelling applications require derivation of proper yield curves for discounting or projecting future investment income. This yield curve may be different per purpose of the application. We can support our clients in this area by providing advanced methodologies for construction of yield curves. To do this, we have developed a flexible yield curve fitting tool, which includes a number of interpolation and extrapolation techniques for construction of yield curves from market data.


Economic Scenario Generators

For many types of insurance business Economic Scenario Generators (ESGs) are the only practical way to determine the market consistent value of liabilities. This is a complex and still evolving subject. Consequently, many ESG applications available on the market are costly and are sometimes presented to clients as a black box. We offer a more transparent alternative to this. Our own developed ESG tool includes simulation and calibration of key economic variables, and can be implemented in close cooperation with our client. We also offer to our clients testing and validation of their own scenarios.


Asset modelling

With the development in the regulatory rules and market conditions and it becomes increasingly important for insurance companies to have proper tools for modelling expected cash flows from their assets.  Using our asset modelling tools, we can support our clients in a number of tasks requiring modelling cash flows from different asset classes. This typically involves projections of market and book values, durations and scenario testing so that the results can be used for SII and generic risk management purposes.

Contact us

t: +420 604 558 695

Martin Janeček
t: +420 604 294 866


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