Mesure des risques de marché et de souscription vie en situation d'information incomplète pour un portefeuille de prévoyance
AbstractIn the framework of Embedded Value new standards, namely the MCEV norms, the latest principles published in June 2008 address the issue of market and underwriting risks measurement by using stochastic models of projection and valorization. Knowing that stochastic models particularly data-consuming, the question which can arise is the treatment of insurance portfolios only available in aggregate data or portfolios in situation of incomplete information. The aim of this article is to propose a pragmatic modeling of these risks tied up with death covers of individual protection products in these situations.
Download InfoIf 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.
Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00443002.
Date of creation: 01 Jul 2009
Date of revision:
Publication status: Published, Bulletin Français d'Actuariat, 2009, 9, 18, 79...105
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00443002/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
Embedded Value; Cost of Residual Non Hedgeable risks (CRNHR); Time Value of Financial Options and Guarantees (TVFOG); individual protection;
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.