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Master Thesis

Identification, gestion et analyse de mesures d'atténuation des risques pris par un assureur dans un contrat de retraite supplémentaire

Abstract : This report aims to analyze risks of a contract of extra pension for the insurer. Then, he will be able to handle this kind of contract in a better way. That is essential since the extra pension contracts are intended to increase in the future. This approach allows to answer the question: "What are the risks taken by an insurer with a contract of additional pension, how to manage them and what measures must be taken?" After presenting retirement, we will identify the risks which are associated with it. These are the longevity risk, the market risk, the inflation risk, the lapse risk and legislative risk. For each of these risks, measures are proposed to mitigate their impacts. Thus, a model will be detailed. This model is based on a fictitious population of annuitant, a reinsurance program, but also different investment strategies on the market, a pensions revaluation clause and the impact of a retirement date change. This model is based on several assumptions whose diffusion models to simulate the value of bonds, and asset inflation. We will use respectively a Cox model-Ingersoll-Ross model of Merton and Vasicek model to model these values. The modeling results are compared with results from a standard model. Finally, we can conclude on the effectiveness of each risk management proposal that we have made. To compare the risks, we will use the quantiles of the insurer's result, but also the maximum result and minimum result. Then, we compare the risk measures values as the standard deviation, the semi-standard deviation, VaR or TVAR. We conclude on the effectiveness of several measures announced: reinsurance, investment strategy mainly based on bonds, an investment related to the forward rate and later retirements. Nevertheless, the introduction of a clause which holds indexation of pensions and lapse risk mitigation measures will be juged as ineffective.
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Master Thesis
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https://dumas.ccsd.cnrs.fr/dumas-01073561
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Submitted on : Friday, October 10, 2014 - 9:58:41 AM
Last modification on : Wednesday, December 25, 2019 - 1:16:48 AM
Long-term archiving on: : Sunday, January 11, 2015 - 10:20:54 AM

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Pierre Damilo. Identification, gestion et analyse de mesures d'atténuation des risques pris par un assureur dans un contrat de retraite supplémentaire. Gestion des risques [q-fin.RM]. 2014. ⟨dumas-01073561⟩

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