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

Author

Listed:
  • Xavier Milhaud

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

  • Marie-Pierre Gonon

    () (Actuaris - Actuaris)

  • Stéphane Loisel

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

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.

Suggested Citation

  • Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010. "Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise," Post-Print hal-00502851, HAL.
  • Handle: RePEc:hal:journl:hal-00502851
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00502851
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    References listed on IDEAS

    as
    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, vol. 214(2), pages 348-357, October.
    2. 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.
    3. 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.
    4. repec:hal:wpaper:hal-00502847_v1 is not listed on IDEAS
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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, vol. 214(2), pages 348-357, October.
    2. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2015. "Main Determinants of Profit Sharing Policy in the French Life Insurance Industry," Working Papers halshs-01165475, HAL.
    3. F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015. "Main determinants of profit sharing policy in the French life insurance industry," Débats économiques et financiers 17, Banque de France.

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