9.2 Simulating the best-estimate value in a year’s time An alternative measure of uncertainty arises if one is interested in the distribution of the best-estimate value of the portfolio with an horizon of 1 year. This arises from a calculation of the best estimate for 2017, after simulating the uncertainty of the coming year (in other words, simulation of the disturbances for t=2016). All the disturbances for the years after 2016 are therefore set at nil. The results of this are stated in the table below. One-year shock (in relation to the best estimate) Men 1% Standard deviation Quantiles 50% 95% 97.5% 99.5% 0.4% 100.0% 100.7% 100.8% 101.1% 3% 0.4% 100.0% 100.6% 100.7% 101.0% Women 1% 0.4% 100.0% 100.6% 100.7% 100.9% 3% 0.3% 100.0% 100.5% 100.6% 100.8% Table 14 Results of the one-year simulation of provisions (actuarial interest rate of 1% and 3%) for model portfolios (men and women averaged) These outcomes show that the spread in the case of a one-year simulation is much lower, as might be expected) than in the case of a simulation for all years. 9.3 Simulating life expectancy Finally, we show applications here of the stochastic model in which the simulated scenarios are used to reflect the uncertainty in the projection of life expectancy. Period life expectancy at birth 90 85 80 Women 75 Observations Netherlands 95% confidence interval Men 70 Observations European (selection) Projection Netherlands Projection European selection 65 1970 1980 1990 2000 2010 2020 2030 2040 2050 Graph 8 Confidence interval in relation to the best estimate of the period life expectancy of men and women in the Netherlands Graph 8 shows that the uncertainty in the projection of period life expectancy, as expected, increases as the projection lies further in the future. Projection Table AG2016 Applications of the model 29
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