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Mesure des risques de marché et de souscription vie en situation d'information incomplète pour un portefeuille de prévoyance

Listed author(s):
  • Jean-Paul Félix

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

  • Frédéric Planchet


    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

In 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.

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Paper provided by HAL in its series Post-Print with number hal-00443002.

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Date of creation: 01 Jul 2009
Publication status: Published in Bulletin Français d'Actuariat, Institut des Actuaires, 2009, 9 (18), pp.79..105
Handle: RePEc:hal:journl:hal-00443002
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