This area covers majority of actuarial work and we help clients in many ways. The common examples of our support are:
- Liability valuation techniques
- Actuarial modelling
- Assumption setting
- Mortality projections
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. 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.
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 complex actuarial modelling system 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. For further information about Sophas click here.
We have also experts with proven experience with external actuarial systems such as Prophet, MoSes, AFM, etc. so we support clients also with the implementation of new models (for example when migrating models from another software) and with the adjustments and optimization of existing actuarial models (for example implementation of new products, new features, IFRS 17 metrics,…).
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 (for further information click here), 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.
We have developed many tools useful for liability analysis. For further information click here.