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Un modèle de programmation stochastique pour l'allocation stratégique d'actifs d'un régime de retraite partiellement provisionné

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  • Alaeddine Faleh

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

Abstract

Dans cet article, nous présentons des techniques novatrices d'ALM basées sur la programmation stochastique. Leur application a été développée pour le choix de l'allocation stratégique d'actifs des régimes de retraite par répartition partiellement provisionnés. Une nouvelle méthodologie pour la génération de l'arbre des scénarios a été également adoptée. Une étude comparative du modèle d'ALM développé avec celui basé sur la stratégie Fixed-Mix a été effectuée. Différents tests de sensibilité ont été par ailleurs mis en place pour mesurer l'impact du changement de certaines variables clés d'entrée sur les résultats produits par notre modèle d'ALM.

Suggested Citation

  • 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.
    • Handle: RePEc:hal:wpaper:hal-00561965
    Note: View the original document on HAL open archive server: https://hal.science/hal-00561965
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    References listed on IDEAS

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