Une lecture “optionnelle” du bilan des compagnies d'assurance-vie

Christophe Morel and Brigitte Poiblanc

Economie & Prévision, 2001, vol. 149, issue 3, 65-71

Abstract: Using options theory, it is possible to work out a formula linking characteristics of life-insurance contracts (maturity, guaranteed return and dividend rate) with the insurer's balance sheet (asset risk, debt leverage). A digital simulation of this relationship, using orders of magnitude characteristic of the life insurance market in France, reveals the "excessive" nature of the constraint imposed by the 85% floor for dividend distribution by the insurers to the insured. Combined with the regulations on guaranteed rates and capital ratio, this standard seems to prevent insurers from extending the range of returns they are able to offer unless they reduce their solvency and, to some extent, increase their risk-taking.

Keywords: life insurance; asset management; option theory (search for similar items in EconPapers)
Date: 2001
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