Model misgivings

The insurance-based nature of Danish pension provision means almost the entire sector will fall under the remit of Solvency II. And despite the Danish industry’s groundbreaking work in stochastically modelling its assets, the potential extension of this process to include liabilities has left a trail of confusion in the sector


In the great debate about whether Solvency II should be applied to pension funds, Denmark is in a unique position. The vast majority of the country’s pensions are provided by life insurance companies or nationwide occupational pension funds, known as ‘lateral pension funds’. Company pension funds, on which the debate about applying Solvency II really centres, hold less than 2% of the country’s pension fund assets. So it is more than likely the final directive will encompass the majority of

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