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Master Thesis

Étude de la longévité du portefeuille vie individuelle d'AXA France

Abstract : This report is aimed at establishing a forecasting mortality table for the AXA portfolio of individual life annuitants. It addresses the general issue of the anti-selection risk for the insurers. The combination of the uncertainty on the future human life-expectancy, and the antiselection risk, lead insurers to implement forecasting mortality tables. In a first phase, the phenomenon of lengthening life expectancy is described, along with the functioning and the recent development of life insurance, in order to understand the purpose of the study. Once the stakes of the lengthening life expectancy are clarified, a focus on the data processing methodology prefaces a statistical study which make explicit the risk on the portfolio. Then, the second phase consists of the explanation of the construction stages of a forecasting table, which is the core of the report. The crude mortality rates are first estimated by Nelson-Aalen estimator and smoothed by the Whittaker-Henderson method. Therefore, two different tables are established, one based on the Bongaarts model, and one based on a model inspired by the study of J. Vaupel, a research scientist in demography. The replacement of regular tables by built tables, has an operational impact which is the main issue for insurers. This impact is studied in a last part, due to the comparison of mortality rates and life spans defined from both built models, which allow the comparison of the potential impact of the switching of tables on provisioning.
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Master Thesis
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https://dumas.ccsd.cnrs.fr/dumas-00921032
Contributor : Ufr de Mathématique-Informatique / Irma <>
Submitted on : Thursday, December 19, 2013 - 3:33:09 PM
Last modification on : Friday, October 23, 2020 - 4:56:29 PM
Long-term archiving on: : Saturday, April 8, 2017 - 8:00:28 AM

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  • HAL Id : dumas-00921032, version 1

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Benjamin Bouskila. Étude de la longévité du portefeuille vie individuelle d'AXA France. Gestion des risques [q-fin.RM]. 2013. ⟨dumas-00921032⟩

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