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European Actuarial Journal

, Volume 9, Issue 2, pp 423–443 | Cite as

Analytical validation formulas for best estimate calculation in traditional life insurance

  • Simon HochgernerEmail author
  • Florian Gach
Original Research Paper

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.

Keywords

Solvency II Best estimate Asset liability management Market consistent valuation 

Notes

Acknowledgements

We thank the anonymous reviewers for their detailed and helpful input.

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Copyright information

© EAJ Association 2019

Authors and Affiliations

  1. 1.Austrian Financial Market AuthorityViennaAustria

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