Martin Janeček´s article on theme Acceleration Techniques for Life Cash Flow Projection Based on Many Interest Rates Scenarios – Cash Flow Proxy Functions:
Within this paper, we will focus on two approaches how to determine (estimate) the future life insurance cash flows based on many interest rates scenarios in a reasonable runtime.
This is very important for many real life applications. In practice, usually the first task where it is required is the valuation of the TVFOG (required at least by the Solvency II).
We will call these techniques as “Analytical” and “Interpolation” approximations in this paper.
Both approaches have been developed within our team in the Tools4F actuarial consulting company during the years 2015 and 2016. We have also tested them on real life insurance portfolio with very good (for the Interpolation approach even with excellent) results.