Mesure des risques de marché et de souscription vie en situation d'information incomplète pour un portefeuille de prévoyance
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.
|Date of creation:||01 Jul 2009|
|Publication status:||Published in Bulletin Français d'Actuariat, Institut des Actuaires, 2009, 9 (18), pp.79..105|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00443002|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00443002. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.