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Pricing, reserving and profit testing of the ‘UpUphigh’ life insurance product
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Este relatório de estágio documenta o meu trabalho no Departamento Atuarial de Produtos da seguradora de vida Guofu, onde me foi pedido que, usando a ferramenta Excel, criasse um modelo de preços, reservas e profit testing especificamente desenhado para um produto vida recentemente lançado, chamado “UpUphigh”. Naturalmente, a extensão a outros produtos é quase imediata. Alinhados com as funções do Departamento Atuarial de Produtos, os objetivos do estágio, que teve como bibliografia fundamental o chamado relatório atuarial para o “UpUphigh”, ver Guofu Life Insurance Co., Ltd. (2024. 2024a), foram definidos como: (i) cálculo de prémios; (ii) cálculo dos cash values no final de cada ano da apólice; (iii) cálculo das reservas estatutárias de prémios não vencidos e demais reservas relacionadas; (iv) validação da precisão do modelo de pricing desenvolvido, comparando-o com o modelo interno fornecido pela empresa; (v) construção de modelos Excel de profit testing, integrando-os com o modelo de pricing desenvolvido. O cálculo dos prémios, cash values e reservas foi naturalmente realizado ao abrigo das disposições emanadas da Comissão de Regulamentação de Seguros da China. O cálculo dos fluxos de caixa e dos indicadores de profit testing estão em conformidade com o regime de Solvência II. Deve salientar-se que Guofu Life Insurance Co., Ltd. (2024. 2024a) foram usadas ao longo de todo o trabalho. O trabalho foi fortemente baseado na ferramenta Excel, exigindo a conceção de muitas folhas de cálculo, correspondentes às diferentes ‘camadas’ do modelo, seguindo as premissas e fórmulas fornecidas no relatório atuarial. Além disso, foi necessário criar códigos VBA para organizar todos os dados críticos numa folha de cálculo, para facilitar a comparação eficiente com os dados críticos incluídos no modelo interno. É importante salientar que o profit test é muito mais desafiante do que o cálculo de prémios e reservas, pois exige que os parâmetros sejam listados por mês da apólice e não por ano da apólice. Além disso, o cálculo de indicadores de teste de lucro, como o requisito de capital mínimo (risco total) (MC), envolve o cálculo matricial, devido ao facto de todos os tipos de riscos terem de ser considerados e existirem correlações entre cada par de riscos. Tudo isto contribuiu para tornar o profit test uma tarefa bastante mais complexa. No geral, o desenvolvimento do nosso modelo para o “UpUphigh” foi bem-sucedido, uma vez que a sua precisão, simplicidade e interpretabilidade foram verificadas.
This internship report documents my work at Product Actuarial Department of Guofu life insurance company, where I was asked to build a new pricing model and Excel templates of profit test for a newly-launched whole life insurance product named “UpUphigh”. Aligned with the roles of the Product Actuarial Department, the objectives of the internship, under the framework of actuarial report for “UpUphigh”, see Guofu Life Insurance Co., Ltd. (2024. 2024a), were set as: (i) calculation of premiums; (ii) calculation of cash values at the end of each policy year; (iii) calculation of statutory unearned premium reserves (statutory UPR) and related reserves; (iv) validation of the accuracy of the developed pricing model by comparing it to the internal model provided by the company; (v) building Excel templates of profit test into the developed pricing model, after analyzing rofit testing procedures in the internal model. The calculation of premiums, cash values and reserves were limited to the regulation for general life insurance under China Insurance Regulation Commission (CIRC). The calculation of cash flows and profit test indicators should conform to Solvency II regime. It must be noted that Guofu Life Insurance Co., Ltd. (2024. 2024a) are the main references, used throughout the whole work. The work was strongly based on Excel, requiring us to build many sheets corresponding to the different layers of the pricing model, following the assumptions and formulas provided in the actuarial report. Also, it was necessary to create some VBA codes to organize every critical data into a whole sheet so that it was possible to make an efficient comparison with the critical data included in the internal model. It must be noted that profit testing is much more challenging than calculating premiums and reserves, as it requires parameters to be listed by every policy month rather than every policy year. Further, the calculation of profit test indicators like minimum capital requirement (total risk) (MC) involves matrix computation due to the fact that all types of risks should be considered and there are correlations between each pair of risks. This also makes profit testing a more complex task. Overall, the development of our pricing model for “UpUphigh” is successful as its accuracy, simplicity and interpretability have been verified.
This internship report documents my work at Product Actuarial Department of Guofu life insurance company, where I was asked to build a new pricing model and Excel templates of profit test for a newly-launched whole life insurance product named “UpUphigh”. Aligned with the roles of the Product Actuarial Department, the objectives of the internship, under the framework of actuarial report for “UpUphigh”, see Guofu Life Insurance Co., Ltd. (2024. 2024a), were set as: (i) calculation of premiums; (ii) calculation of cash values at the end of each policy year; (iii) calculation of statutory unearned premium reserves (statutory UPR) and related reserves; (iv) validation of the accuracy of the developed pricing model by comparing it to the internal model provided by the company; (v) building Excel templates of profit test into the developed pricing model, after analyzing rofit testing procedures in the internal model. The calculation of premiums, cash values and reserves were limited to the regulation for general life insurance under China Insurance Regulation Commission (CIRC). The calculation of cash flows and profit test indicators should conform to Solvency II regime. It must be noted that Guofu Life Insurance Co., Ltd. (2024. 2024a) are the main references, used throughout the whole work. The work was strongly based on Excel, requiring us to build many sheets corresponding to the different layers of the pricing model, following the assumptions and formulas provided in the actuarial report. Also, it was necessary to create some VBA codes to organize every critical data into a whole sheet so that it was possible to make an efficient comparison with the critical data included in the internal model. It must be noted that profit testing is much more challenging than calculating premiums and reserves, as it requires parameters to be listed by every policy month rather than every policy year. Further, the calculation of profit test indicators like minimum capital requirement (total risk) (MC) involves matrix computation due to the fact that all types of risks should be considered and there are correlations between each pair of risks. This also makes profit testing a more complex task. Overall, the development of our pricing model for “UpUphigh” is successful as its accuracy, simplicity and interpretability have been verified.
Descrição
Trabalho Final de Mestrado, Actuarial Science, ISEG, 2025
Palavras-chave
Life insurance Premiums Cash values Statutory unearned premium reserve Modified reserve Premium deficiency reserve Profit test Minimum capital requirement Seguro de vida Prémios Cash value Reserva legal de prémios não ganhos Reserva modificada Reserva de deficiência de prémio Profit test Requisito de capital mínimo