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Master Thesis

Le risque de modèle

Abstract : Solvency II is an European project aiming to reform the prudential regulation applying to insurance and reinsurance industry. The European Parliament has set the date of entry into force to early 2016. The interest of this reform is to ensure a balance between the protection of policyholders of the insurance and reinsurance companies and the capital. The supervisors require companies to hold enough capital to avoid one year ruin with a probability of 99,5%. This required capital is called the Solvency Capital Requirement (SCR). The valuation of this capital is a more or less complicated task, and its calculation is based often on quite complex models whose application is sometimes done assuming that the model's assumptions are valid while statistical tests do not confirm this systematically. Generally the models are seeing a simplification of the reality and not the reality itself. The choice of a model can therefore lead to errors in the assessment of risk and may be a cause for the model risk. In this context, model risk is a major issue for the risk management of insurance and reinsurance companies. This may have direct impacts on the solvency of these companies but the accurate quantification of such a risk still remains today a notion less described by the insurance world and the actuarial literature. The aim of this actuarial thesis is to propose a first approach to assess this risk, by taking into account the validity of the models analyzed, with a first application on the modeling of an asset and a second one on a final ultimate estimation of a non-life reserving model.
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Master Thesis
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https://dumas.ccsd.cnrs.fr/dumas-01073386
Contributor : Ufr de Mathématique-Informatique / Irma <>
Submitted on : Tuesday, November 22, 2016 - 3:36:19 PM
Last modification on : Wednesday, December 25, 2019 - 1:16:48 AM
Long-term archiving on: : Tuesday, March 14, 2017 - 1:42:16 PM

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Thomas Lallement. Le risque de modèle. Gestion des risques [q-fin.RM]. 2014. ⟨dumas-01073386⟩

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