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Master Thesis

Intégration de l'Euro-croissance sur un contrat retraite

Abstract : The economic context surrounding life insurance contracts is currently changing. Indeed, the current yields of euro funds falling, a recent report called "rapport Berger-Lefebvre" advocates the introduction of "Euro-croissance" contracts in order to "boost households' savings to finance investment and competitiveness". The operation of these contracts is close to that of the "euro diversifié" contracts. However, what distinguishes "Euro-croissance" contracts from "euro diversifié" contracts is their taxation: it is possible to convert an existing contract into a "Euro-croissance" contract without forfeiting tax benefits, which is not the case for a "euro diversifié" contract. There is no doubt that this significant advance in the "Euro-croissance" compared to the "euro diversifié" will encourage their development. Established ten years ago by the Fillon law of 21 August 2003 on the occasion of the creation of "PERP (Plan d'Epargne Retraite Populaire)" before being extended to life insurance by the law of 26 July 2005, "euro diversifié" funds are based on a complex mechanism which is to provide insured persons guaranteed capital not at any time but only at a pre-specified deadline. This delay gives the insurer an additional room for manoeuvre to seek performance through a "diversification provision" invested in risky assets. To cover his liabilities, the insurer constitutes two provisions namely: a mathematical provision representative of the guaranteed portion and a diversification provision which is a source of potential return. At the end of the contract, the savings restitution can be made in two ways: in the form of either a lump sum or a life annuity. The second option requires a supplementary analysis since we wish to establish a second phase of "Euro-croissance" during the savings restitution. The aim of this report is to integrate the "Euro-croissance" on a pension contract. In this context, during the restitution phase, the mathematical provision for life annuity is invested in on "Euro-croissance" fund, generating a new diversification provision whose role is to ensure the annuity upgrading. In order to carry out this study, we will detail the Asset-Liability modeling of two distinct "Euro-croissance" phases: a first during the savings constitution and a second during its restitution. The essence of the problem is to ensure a balance between assets and liabilities throughout the projection. A stochastic study will illustrate the sensitivity of "Euro-croissance" contract's performance to the asset allocation strategy and to the guaranteed portion. Furthermore, the annuity upgrading being ensured by the conversion of a part of the diversification provision into mathematical provision, we will explain the difficulty caused by this revaluation method. This problem is related to a limitation by regulation of diversification provision conversion into mathematical provision and the constraint concerning the growth in annuities. Therefore, we will analyze this problem in order to deduce the ways to resolve it.
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Master Thesis
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https://dumas.ccsd.cnrs.fr/dumas-01073568
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Submitted on : Friday, October 10, 2014 - 10:03:09 AM
Last modification on : Wednesday, December 25, 2019 - 1:16:48 AM
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  • HAL Id : dumas-01073568, version 1

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Hanah Malka. Intégration de l'Euro-croissance sur un contrat retraite. Gestion des risques [q-fin.RM]. 2014. ⟨dumas-01073568⟩

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