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Construction d'un algorithme d'accélération de la méthode des «simulations dans les simulations» pour le calcul du capital économique Solvabilité II

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Author Info

  • Laurent Devineau

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429, R&D, Milliman, Paris - Milliman)

  • Stéphane Loisel

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

Abstract

La méthode dite des «simulations dans les simulations» (SdS) est à ce jour, pour les portefeuilles d'assurance-vie, une des méthodes de calcul du capital économique les plus conformes aux critères de Solvabilité II. Or cette approche conduit à des temps de calculs conséquents allant jusqu'à compromettre son applicabilité au sein de certaines compagnies. L'algorithme que nous présentons dans cet article permet de réduire très significativement le nombre de simulations effectuées dans le cadre d'une projection SdS. L'automate de calcul que nous avons développé, nommé «accélérateur SdS», repose sur une «localisation», par le biais de facteurs de risques, des situations les plus adverses en termes de solvabilité. La réduction des temps de projection résultant de la mise en œuvre de l'accélérateur SdS rend désormais l'approche « simulations dans les simulations » envisageable quelles que soient la taille et la structure de la compagnie considérée.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00365363.

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Date of creation: Jun 2009
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Publication status: Published, Bulletin Français d'Actuariat, 2009, 10, 17, 188-221
Handle: RePEc:hal:journl:hal-00365363

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00365363/en/
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Related research

Keywords: capital économique; Solvabilité II; simulations dans les simulations; fonds propres économiques; facteurs de risques; réduction du nombre de simulations;

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Cited by:
  1. Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.
  2. Nteukam T., Oberlain & Planchet, Frédéric, 2012. "Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 624-631.

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