Actuarial Calculus and Computing

The vision of the project is to develop a new generation of software for demanding calculation tasks in the life and pension business, a so-called calculation platform. The idea is to create a calculation kernel based on systems of partial differential equations which characterise the values which the stakeholders, i.e. policy holders, companies, or financial authorities might want. The calculation platform can provide the basis for calculations for many different insurance products to be expressed in a specially developed modelling language. In the context of globalisation and more advanced accounting and solvency rules, the demands to software in the life and pension business are increasing, and a number of demands are difficult to meet with the current systems which are primarily based on so-called closed-form expressions. Simultaneously, a continuous society beneficial product development is taking place in the business that requires greater flexibility in the supporting software. The vision is to create a platform which not only meets the increasing regulatory and product development demands of today, but which also solves the tasks that will be given tomorrow.

The success criterion is to create a calculation platform which can be marketed primarily in Denmark, and secondarily in the EU. The product shall generalise current technology and be able to solve problems that the current generation of software fails to resolve. An obvious prerequisite, making it a general success criterion in itself, is that the kernel calculates correctly, which calls on actuarial knowledge and innovation, and efficiently, which requires computer scientific knowledge and innovation.