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Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité

Author

Listed:
  • Alaeddine Faleh

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

  • Frédéric Planchet

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

  • Didier Rullière

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

Abstract

Dans cet article, nous mettons en évidence les principales composantes d'un générateur de scénarios économiques (GSE) que ce soit au niveau de sa conception théorique ou au niveau de sa mise en oeuvre pratique. Le choix de ces composantes est supposé être lié à la vocation finale du générateur de scénarios économiques que ce soit en tant qu'outil d'évaluation des produits financiers (pricing) ou en tant qu'outil de projection et de gestion des risques. Par ailleurs, nous développons une étude sur certains indicateurs de mesure de la performance du GSE comme un outil en amont du processus de prise de décision: à savoir la stabilité et l'absence de biais. Une application numérique permettant d'illustrer ces différents points est présentée à la fin.

Suggested Citation

  • Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité," Post-Print hal-00530868, HAL.
  • Handle: RePEc:hal:journl:hal-00530868
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00530868
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    References listed on IDEAS

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    Cited by:

    1. Alaeddine Faleh, 2011. "Un modèle de programmation stochastique pour l'allocation stratégique d'actifs d'un régime de retraite partiellement provisionné," Working Papers hal-00561965, HAL.

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