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Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee

Author

Listed:
  • Oberlain Nteukam Teuguia

    (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)

  • Pierre-Emmanuel Thérond

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

Abstract

Dans ce papier, nous nous intéressons à la couverture des contrats en unités de compte avec garanties décès. Nous présentons des stratégies de couverture opérationnelles permettant de réduire de façon significative les coûts futurs liés à ce type de contrats. Suivant les recommandations des nouveaux référentiels (IFRS, Solvabilité 2 et MCEV), la prime de risque est introduite dans les évaluations. L‟optimalité des stratégies est constatée au moyen de la comparaison des indicateurs de risque (Pertes espérée, écart type, VaR, CTE et perte Maximale) des stratégies dans le modèle standard de Black-Scholes et dans le modèle à sauts de Merton. Nous analysons la robustesse des stratégies à une hausse brutale de la mortalité future et à une forte dépréciation du prix de l‟actif sous-jacent.

Suggested Citation

  • Oberlain Nteukam Teuguia & Frédéric Planchet & Pierre-Emmanuel Thérond, 2011. "Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee," Post-Print hal-00543029, HAL.
  • Handle: RePEc:hal:journl:hal-00543029
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00543029
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    Keywords

    Unit-linked; Death guarantee; Hedging strategies; Transaction and error of re-hedging costs; risk indicators; stress-testing;

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