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Rentes en cours de service : un nouveau critère d'allocation d'actif

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  • Frédéric Planchet

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

  • Pierre-Emmanuel Thérond

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

Abstract

The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The two asset allocation criteria are the ruin probability of the insurance company and the optimization of the economic capital. We first solve the asset allocation problem with deterministic pension payments then with stochastic mortality risk. We analyze the part of mortality risk in the global risk of the company. Then we show the impact of the indexation of the pensions to the inflation on the asset allocation.

Suggested Citation

  • Frédéric Planchet & Pierre-Emmanuel Thérond, 2009. "Rentes en cours de service : un nouveau critère d'allocation d'actif," Post-Print hal-00443009, HAL.
  • Handle: RePEc:hal:journl:hal-00443009 Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00443009
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    1. Amartya Sen, 1997. "Maximization and the Act of Choice," Econometrica, Econometric Society, vol. 65(4), pages 745-780, July.
    2. Vick, Sandra & Scott, Anthony, 1998. "Agency in health care. Examining patients' preferences for attributes of the doctor-patient relationship," Journal of Health Economics, Elsevier, vol. 17(5), pages 587-605, October.
    3. Becker, Gary S, 1981. "Altruism in the Family and Selfishness in the Market Place," Economica, London School of Economics and Political Science, vol. 48(189), pages 1-15, February.
    4. Scott, Anthony & Vick, Sandra, 1999. "Patients, Doctors and Contracts: An Application of Principal-Agent Theory to the Doctor-Patient Relationship," Scottish Journal of Political Economy, Scottish Economic Society, vol. 46(2), pages 111-134, May.
    5. Elster, Jon, 1989. "Social Norms and Economic Theory," Journal of Economic Perspectives, American Economic Association, vol. 3(4), pages 99-117, Fall.
    6. Jon Elster, 1998. "Emotions and Economic Theory," Journal of Economic Literature, American Economic Association, vol. 36(1), pages 47-74, March.
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