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Master Thesis

Optimisation de la gestion des actifs d'une assurance-vie sous contrôle de l'exposition au risque dans un environnement Solvabilité II

Abstract : Following the thinking process that led to the new Solvency II framework, it seems clear that the ruin probability must be taken into account in order to build a strategic asset allocation. The aim of this essay is to define a methodology to find the optimal asset allocation, while controlling the risk exposure, in a Solvency II context. The goal of the two first parts of this essay is to introduce the context with an introduction to risk, investment limits and evaluation and to define the model. The two types of model (stochastic and deterministic) that could be used to project our data will be presented. Then we will move to the practical part of our study. The third part will present the definition of the profitability and risk indicators. These will allow us to obtain an optimal asset allocation by searching to maximize the profitability and to minimize the risks. The calculation methodology of financial margin (profitability aspect) and the sum of overall solvency needs (risk aspect) on the asset market value on the business plan time will be detailed. In the fourth part, the results will be discussed and tested. On the one hand, the economic assumptions will be reviewed with other ones. We will comput a new strategic asset allocation by using stress scenarios for example like a permanent lows rate situation. On the other hand, we will have to do sensitivity to perform the profitability and risk indicators. These will allow us to observe the result comportment by using other indicators. At the end, we will check the result robustness by calculating the SCR in 3 years and by comparing it with the overall solvency needs projected.
Document type :
Master Thesis
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https://dumas.ccsd.cnrs.fr/dumas-01073585
Contributor : Ufr de Mathématique-Informatique / Irma <>
Submitted on : Friday, October 10, 2014 - 10:16:48 AM
Last modification on : Friday, October 23, 2020 - 4:59:45 PM
Long-term archiving on: : Sunday, January 11, 2015 - 10:30:30 AM

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  • HAL Id : dumas-01073585, version 1

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Valentine Rieb. Optimisation de la gestion des actifs d'une assurance-vie sous contrôle de l'exposition au risque dans un environnement Solvabilité II. Gestion des risques [q-fin.RM]. 2014. ⟨dumas-01073585⟩

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