Insurance mathematics develops models for calculation of pension benefits and their financing. It is the responsibility of the management, which must rely on accurate analysis and calculations, to ensure the balance between the premium income, investment strategies and costs, so that the insurance is always able to meet its obligations. In our department, we are dealing with the development of software that allows simulation and optimization of asset-liability management strategies under Solvency II.

In General:

The fundamental principle of insurances is that risk is taken over collectively, i.e. few claims of some are financed by the entirety of all policy holders. The insurer takes over a single person's risk for which the person has to pay a premium. Calculation of premiums as well as estimation of insurance payments are based on statistical models.

Insurers invest more and more in exotic and by financial institutes specially adjusted financial product whose pricing needs financial mathematical knowledge. An insurers have to take care that they can meet their indemnification payments obligation. The Solvency II regulation builds the legal framework and shall guarantee the insurers' liquidity.

Expertise:

Our department deals with creation of models with respect to Solvency II for all three areas of insurance mathematics. We focus on models for the population development, derivation and pricing of investment strategies and statistical estimation of the payouts. We concentrate on optimizing the management strategy.

ALMSim - a Tool for Asset-Liability-Management

In cooperation with Swedish insurers and funds we developed the simulation software ALMSim . This program enables to simulate the number of customers as well as the sepecific investments. Furthermore it features optimization methods with which an optimal management strategy can be found. An additional advantage ist that the input can be made via text files such that no programming skills are required.

Selected Projects

• Asset-Liability-Management for Pension Funds
• ALMSim - a Tool for Asset-Liability-Management
• Asset-Liability-Management (Cambridge-Cooperation)
• Developing a model for longevity
• Consulting during the creation of Solvency II directives in Sweden
• New methods of risk management (Cambridge-Cooperation)