In the applications above no statement is made about the consequences for the calculation of Solvency II buffers. Deriving the amount of capital to be held for mortality risk solely from the spread that the stochastic model produces could lead to an underestimation of the required capital, in view of what is mentioned above on parameter uncertainty, model uncertainty and Poisson noise. 9.1 Simulations for life expectancy Best estimate mortality probabilities can be obtained by assuming that future mortality probabilities will develop according to the model equations from Appendix A, setting all error terms to zero. It is also possible to simulate possible scenarios in which the error terms are drawn from the multivariate normal distribution specified there. On the basis of this, confidence intervals around life expectancy can be determined for the whole horizon. The 95% confidence intervals for men and women are presented in the graph below. Period life expectancy at birth 90 85 80 Females 75 Males 70 95% confidence interval Observations The Netherlands Observations European selection Projection The Netherlands Projection European selection 65 1970 1980 1990 2000 2010 2020 2030 2040 2050 Graph 9.1 Confidence interval around the best estimate of the period life expectancy for Dutch males and females Graph 9.1 demonstrates that, as expected, the uncertainty in the projection of period life expectancy increases as the projection moves further into the future. The graph below shows the uncertainty in cohort life expectancy per age of Dutch men and women in 2018. Projection Table AG2018 Applications of the model 30

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