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Master Thesis

Modélisation stochastique du résultat d’une garantie dépendance

Abstract : Population ageing is a growing issue for developed countries. Its risks are not limited to problems of retirement funding. Indeed it also raises the question of the health of these elderly people with limited resources that can require non-medical care services at home, home adaptation or institutionalization. The financial risk associated with the onset of loss of autonomy is poorly covered by the State but can be prevented by the subscription of long term care coverage. However the pricing for this kind of coverage is risky for the insurer due to poor knowledge of probability's laws for the onset of dependency and survival time in this state. This memory aims to assess if a long term care covers marketed in the late 90's does not present a certain risk of loss because of an underestimation of the laws above cited. Firstly we will estimate these laws with observations of policyholders' sinisters. Then we will be able to project the future result of this cover with Monte-Carlo Simulations. Finally we will find that the risk of loss is justified and we will propose a solution to address it.
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https://dumas.ccsd.cnrs.fr/dumas-02489605
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Submitted on : Monday, September 7, 2020 - 10:19:29 AM
Last modification on : Wednesday, November 11, 2020 - 11:41:36 AM

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  • HAL Id : dumas-02489605, version 1

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Pierre Kubiak. Modélisation stochastique du résultat d’une garantie dépendance. Économie et finance quantitative [q-fin]. 2014. ⟨dumas-02489605⟩

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