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Replicating portfolios : techniques de calibrage pour le calcul du capital économique Solvabilité II

Author

Listed:
  • Laurent Devineau

    (R&D Milliman - Milliman, SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

  • Matthieu Chauvigny

    () (R&D Milliman - Milliman)

Abstract

Dans la démarche de construction d'un modèle interne, les compagnies d'assurance-vie sont souvent confrontées au choix d'une méthode d'obtention de la distribution des fonds propres économiques à un an. Or le caractère extrêmement simulatoire de ce type d'approches peut parfois induire des temps de calculs conséquents allant jusqu'à compromettre leur mise en œuvre opérationnelle. Le recours à des techniques d'accélération ou d'approximations des calculs apparaît ainsi indispensable à l'utilisation de telles méthodes. Parmi les approches possibles, la technique dite des Replicating Portfolios permet de réduire fortement les temps de projections en estimant les fonds propres à l'aide d'un portefeuille d'actifs reproduisant la valeur économique des passifs de la compagnie. Le calibrage du Replicating Portfolio soulève néanmoins certaines difficultés pouvant conduire à des résultats parfois peu satisfaisants. Nous présentons dans cet article une technique de calibrage que nous avons développée afin de garantir la robustesse d'estimation du capital économique Solvabilité II.

Suggested Citation

  • Laurent Devineau & Matthieu Chauvigny, 2010. "Replicating portfolios : techniques de calibrage pour le calcul du capital économique Solvabilité II," Working Papers hal-00508517, HAL.
  • Handle: RePEc:hal:wpaper:hal-00508517 Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00508517
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    References listed on IDEAS

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