Modèles et méthodes actuarielles pour l'évaluation quantitative des risques en environnement solvabilité II
- Hess, Christian
The new prudential standards, Solvency II, consider the question of controling of insurer and reinsurer’s solvency. In this thesis, we’ve proposed technical solution for solvency capital assessment to keep ruin’s probability under the target of 0.5% aimed by the Solvency II project in internal model prospect. The First part will discuss the problem of economic valorization of life insurance liabilities and will present different modeling approaches to determine the net assets value distribution and assess the 0.5% percentile that can solve it :– Nested simulation approach which is too much time consumer,– Nested simulation accelerator,– Replication portfolio approach,– Loss function approach.In the second part, we will focus on biometric risks modeling. Two stochastic modeling approaches was developped in order to model mortality & longevity and morbidity risks. The third part will focus on capital optimization using reinsurance as a tool of capital reduction.
|This book is provided by Paris Dauphine University in its series Economics Thesis from University Paris Dauphine with number 123456789/11415 and published in 2012.|
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Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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- Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
- Cai, Jun & Tan, Ken Seng, 2007. "Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 37(01), pages 93-112, May.
- Borch, Karl, 1960. "Reciprocal Reinsurance Treaties," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 1(04), pages 170-191, December.
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