Stochastic Projection Models in Life Insurance

Introduction & Programme

With the introduction of new accounting frameworks, the corresponding alignment of planning and performance management and with the increasing need for sophisticated asset liability management, the stochastic assessment of risk and value in connection with participating life insurance portfolios has become the industry standard over the last decade. The underlying basis for such an assessment is a cash flow projection model, simulating the way the life insurance undertaking is working and reflecting it by projecting local GAAP balance sheets and income statements. Due to the complexity associated with such calculations, simplifications are required especially regarding the modelling of the insurance contracts to meet operational and technical constraints. Therefore, it has become an area of actuarial research to develop methodologies that allow stochastic cash flow models to achieve results of adequate accuracy based on acceptable run times with affordable IT capabilities.

Preliminary Programme
Wednesday, 25 November 2026
09:00-09:50 Introduction to stochastic life insurance projection models
• Options and guarantees embedded in life insurance products
• Management actions and policyholder behaviour
• Period-by-period projection
• Operational need for model simplifications
09:50-10:00 Break
10:00-10:50 Model point grouping and compression
• Process
• Methodologies
• Validation
10:50-11:00 Break
11:00-12:00 Flexing methodology and Liability-2-Step concept
• Underlying ideas
• Implementation examples
• Validation
12:00-12:10 Break
12:10-13:30 Case study - experience with a Liability-2-Step implementation
 Beyond MCBS - movement analyses, planning and performance management

All the above times are given in CET (Central European Time).

Learning Objectives & Approach

This web session presents the general structure and components that projection models must have for the valuation of life insurance liabilities including their embedded options and guarantees within an economic / market-consistent balance sheet (MCBS). It explains the need for a simplified modelling of the life insurance contracts / portfolio in a stochastic context and introduces three conceptually different approaches currently observable in the market. The online training compares their key underlying ideas and introduces - based on concrete examples - the mathematical / actuarial methodologies used. This introduction also includes a qualitative discussion of their individual strengths & challenges with regards to both external financial reporting and internal business steering including aspects like movement analyses, planning and performance management. Concerning the application of the comparably little-known Liability-2-Step approach, the session will present the operational experience of an Austrian insurance company.

Participants

The web session might be of interest to people dealing directly or indirectly with the results of stochastic casflow models in their daily business as well as for all actuaries who want to learn more about the stochastic modelling of life insurance. Some basic technical knowledge of actuarial casflow models is an advantage, but not essential.

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure to join the web session with a stable internet connection.

Lecturers

Michael Kinzer
Michael is a member of the German Actuarial Association (DAV) and an actuary with over 30 years of experience in the life and health insurance industry as well as in audit and consulting. His particular interest and a focus of his professional expertise lie in the development and application of actuarial projection models, both in the function of technical and operational responsibility as well as from an external viewpoint as subject of consulting services or audit engagements.

Language & CPD Credits

The language of the web session will be English.

CPD Credits
For this web session, the following CPD credits are available under the CPD scheme of the relevant national actuarial association:

• Austria: 4 points
• Belgium:  4 points
• Bulgaria:  6 points
• Croatia: individual accreditation
• Czechia:  4 hours
• Denmark 4 credits
• Estonia:  4 hours
• Finland: 4 points
• France:  24 points
• Germany:  4 hours
• Greece: 5 points
• Hungary:  4 hours
• Iceland: 4 credits
• Ireland: 4 hours
• Italy: individual accreditation
• Latvia: 4 hours
• Lithuania: 4 hours
• Netherlands:  approx. 4 points (individual accreditation)
• Norway: 4 points
• Poland: 4 hours
• Portugal: 4 hours
• Serbia: 4 hours
• Slovakia:  individual accreditation
• Slovenia:  individual accreditation
• Spain: CAC: 4 hours, IAE: 4 hours
• Switzerland:  individual accreditation
• USA: SOA (Section B): up to 4.8 hours

No responsibility is taken for the accuracy of this information.

Fees & Registration Details

Early Bird Registration Fee (until 14 October 2026):

• For private customers in the EU: €320.00 + VAT of the billing country (example Germany: €380.80 incl. 19% VAT)
• For private customers outside the EU: €380.80 (incl. 19% VAT)
• For businesses within the EU (excl. Germany, with valid VAT ID): €320.00 (net, reverse charge applies)
• For businesses in Germany: €380.80 (incl. 19% VAT)

Regular Registration Fee (from 15 October 2026):

• For private customers in the EU: €420.00 + VAT of the billing country (example Germany: €499.80 incl. 19% VAT)
• For private customers outside the EU: €499.80 (incl. 19% VAT)
• For businesses within the EU (excl. Germany, with valid VAT ID): €420.00 (net, reverse charge applies)
• For businesses in Germany: €499.80 (incl. 19% VAT)

Important VAT Information:

• For private customers with a billing address in an EU country: VAT will be charged at the applicable rate in the country of the billing address. The final amount, including VAT, will be calculated upon invoicing.
• For customers with a non-EU (third country) billing address: Only a non-company billing address is accepted for VAT compliance reasons. 19% VAT applies to all non-EU private customers.
• For businesses within the EU (excluding Germany), Iceland, Liechtenstein, Norway, Switzerland, and the UK with a valid VAT ID: The reverse charge mechanism applies (net price; VAT will not be charged). Please ensure your valid VAT ID is entered correctly during registration.
• For all customers with a billing address in Germany: 19% VAT applies.

Please submit your registration using our online form below. Closer to the event, you will receive further login details to join the web session.

Your registration is binding. Cancellation is only possible up to 2 weeks before the first day of the event. If you cancel later, the full participation fee is due. You may appoint someone to take your place but must notify us in advance. EAA has the right to cancel the event if the minimum number of participants is not reached.

We will send you an invoice via email. Please allow a few days for handling. Please always give your invoice number when you effect payment. All bank charges are to be borne by the participant.

Registration is open until two working days before the web session. If registration has already been closed for this web session, please call us or send an email to contact@actuarial-academy.com in order to find out whether a late registration is still possible.