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Master Thesis

Replicating Portfolio et capital économique en assurance vie

Abstract : The new guidelines of Solvency II define the solvency capital requirement necessary for the solvency of insurance companies. Risk-Management is one of the key points to manage and quantify risks. Stochastic models constitute one of the approaches to do that. In this simulation context the determination of the solvency capital requirement can be viewed as a problem of calculation rsik measure with a given horizon and threshold. This calculation leads to a technical and practical issue called “Nested simulations”. The “Replicating Portfolio” technique aims at finding a portfolio which could be priced with closed formula. This present document will introduce the “Replicating Portfolio” approach. The feasibility, the applications conditions and the limits will be discussed. The analysis will be based on practical examples of savings products
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Master Thesis
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Submitted on : Tuesday, June 29, 2010 - 10:01:20 AM
Last modification on : Monday, October 19, 2020 - 11:06:49 AM
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  • HAL Id : dumas-00495856, version 1



Revelen Julien. Replicating Portfolio et capital économique en assurance vie. Autre. 2009. ⟨dumas-00495856⟩



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