Allocation d'actifs selon le critère de maximisation des fonds propres économiques en assurance non-vie : présentation et mise en oeuvre dans la réglementation française et dans un référentiel de type Solvabilité 2
AbstractThe 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 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-00443028.
Date of creation: 02 Apr 2007
Date of revision:
Publication status: Published, Bulletin Français d'Actuariat, 2007, 7, 13, 10...38
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00443028/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
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.:
- Merton, Robert C., 1975.
"Option pricing when underlying stock returns are discontinuous,"
787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Frédéric Planchet & Pierre-Emmanuel Thérond, 2005. "Simulation de trajectoires de processus continus," Post-Print hal-00443003, HAL.
- 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.
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.