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Master Thesis

L’ORSA : approche par générateur de scénarios économiques non-paramétriques

Abstract : The new European directive Solvency II will set standards for all the actors of the insurance market. The main objective of Solvency II is to strengthen the insurers' solvency through a better assessment of their risks. The pillar 2 of the directive, by the ORSA, requires companies to establish an internal risk assessment and solvency. ORSA should be seen as a decision-making process in which the impact of strategic choices of the company is reflected in the level of solvency and in a prospectively way. The ORSA process is divided into three calculations: the overall solvency needs, the measuring of the difference in risk profile compared to the standard formula assumption and a continuous compliance with the regulatory capital requirements. To produce an ORSA, the company must be able to project its economic situation throughout the duration of its Business Plan. To do so, it must develop a forecasting tool. The purpose of this paper is to present an approach to meet the needs of the ORSA process. We will present in this paper a non-parametric generator for economic scenarios that will allow us to project the different variables that affect the solvency of the company. This generator is based on a random draw technique reminiscent the non-parametric Bootstrap. Like all methods of stochastic projections, the generator is based on random numbers. A comparative study between pseudo-random numbers and almost-random numbers will be presented to infer which are the most suitable for our generator. The generator thus obtained allows us to address all three dimensions of the ORSA process and this particularly through the study of the level of the solvency ratio.
Document type :
Master Thesis
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https://dumas.ccsd.cnrs.fr/dumas-01073579
Contributor : Ufr de Mathématique-Informatique / Irma <>
Submitted on : Friday, October 10, 2014 - 10:12:15 AM
Last modification on : Sunday, October 25, 2020 - 7:08:07 AM
Long-term archiving on: : Sunday, January 11, 2015 - 10:25:52 AM

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  • HAL Id : dumas-01073579, version 1

Citation

Augustin Monnery. L’ORSA : approche par générateur de scénarios économiques non-paramétriques. Gestion des risques [q-fin.RM]. 2014. ⟨dumas-01073579⟩

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