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Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise

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Author Info

  • Xavier Milhaud

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

  • Marie-Pierre Gonon

    ()
    (Actuaris - Actuaris)

  • Stéphane Loisel

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

Abstract

Nous nous attachons dans cet article à décrire de manière précise le risque de rachat de contrat d'Assurance Vie, plus particulièrement sur le marché des contrats d'épargne. Après avoir proposé un panorama du rachat en France, nous nous attardons sur les enjeux sous-jacents à ce risque et les aspects Solvabilité II en termes de réglementation et d'estimation. Le comportement de rachat des assurés joue un rôle essentiel dans le résultat d'une ligne de produit et sa compréhension permet à l'assureur d'anticiper des possibles vagues de rachats/non-rachat qui peuvent lui être fortement préjudiciables. Ces vagues sont le reflet de l'apparition d'une corrélation naissante entre les comportements des assurés, due à un contexte économique et des conditions financières difficiles. La prise en compte de ces crises de corrélation est un élément clef dont l'assureur doit être conscient dans l'optique d'une bonne gestion du risque de rachat en calculant des provisions techniques prudentielles adaptées.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00502851.

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Date of creation: Sep 2010
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Publication status: Published, Risques, 2010, 83, 76-81
Handle: RePEc:hal:journl:hal-00502851

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  1. repec:hal:wpaper:hal-00502847_v1 is not listed on IDEAS
  2. Stéphane Loisel & Xavier Milhaud, 2011. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print, HAL hal-00502847, HAL.
  3. Tsai, Chenghsien & Kuo, Weiyu & Chen, Wei-Kuang, 2002. "Early surrender and the distribution of policy reserves," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 429-445, December.
  4. Bacinello, Anna Rita, 2005. "Endogenous model of surrender conditions in equity-linked life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 270-296, October.
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Cited by:
  1. Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, Elsevier, vol. 214(2), pages 348-357, October.

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