Advanced Search
MyIDEAS: Login to save this paper or follow this series

Allocation d'actifs selon le crit\`ere de maximisation des fonds propres \'economiques en assurance non-vie

Contents:

Author Info

  • Fr\'ed\'eric Planchet

    (SAF)

  • Pierre-Emanuel Th\'erond

    (SAF)

Registered author(s):

    Abstract

    The economic equities maximization criterion (MFPE) leads to the choice of financial portfolio, which maximizes the ratio of the expected value of the insurance company on the capital. This criterion is presented in the framework of a non-life insurance company and is applied within the framework of the French legislation and in a lawful context inspired of the works in progress about the European project Solvency 2. In the French regulation case, the required solvency margin does not depend of the asset allocation. It is quite different in the Solvency 2 framework because the target capital has to control the global risk of the company. And the financial risk takes part of this global risk. Thus the economic equities maximization criterion leads to search a couple asset allocation / equities which solves a stochastic program. A numerical illustration makes it possible to analyze the consequences of the introduction of a Solvency 2 framework on the technical reserves and the equities of a non-life insurance company and on the optimal allocation due to the economic equities maximization criterion. Finally, the impact of a misspecification of the risky asset model on the optimal allocation is illustrated.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://arxiv.org/pdf/1001.1867
    File Function: Latest version
    Download Restriction: no

    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1001.1867.

    as in new window
    Length:
    Date of creation: Jan 2010
    Date of revision:
    Publication status: Published in Bulletin Fran\c{c}ais d'Actuariat 7, 13 (2007) 10...38
    Handle: RePEc:arx:papers:1001.1867

    Contact details of provider:
    Web page: http://arxiv.org/

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Frédéric Planchet & Pierre-Emmanuel Thérond, 2005. "Simulation de trajectoires de processus continus," Post-Print hal-00443003, HAL.
    3. J. Dhaene & S. Vanduffel & M. J. Goovaerts & R. Kaas & D. Vyncke, 2005. "Comonotonic Approximations for Optimal Portfolio Selection Problems," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 253-300.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:1001.1867. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.