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Modèles et méthodes actuarielles pour l'évaluation quantitative des risques en environnement solvabilité II

Makram Ben Dbabis

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: The new prudential standards, Solvency II, consider the question of controling of insurer and reinsurer’s solvency. In this thesis, we’ve proposed technical solution for solvency capital assessment to keep ruin’s probability under the target of 0.5% aimed by the Solvency II project in internal model prospect. The First part will discuss the problem of economic valorization of life insurance liabilities and will present different modeling approaches to determine the net assets value distribution and assess the 0.5% percentile that can solve it :– Nested simulation approach which is too much time consumer,– Nested simulation accelerator,– Replication portfolio approach,– Loss function approach.In the second part, we will focus on biometric risks modeling. Two stochastic modeling approaches was developped in order to model mortality & longevity and morbidity risks. The third part will focus on capital optimization using reinsurance as a tool of capital reduction.

Keywords: Solvabilité II; Modèles internes; Probabilité de ruine; Risques techniques; Réassurance; Optimisation dynamique; Solvency II; Ruin's probability; Reinsurance; Dynamic optimization (search for similar items in EconPapers)
JEL-codes: C61 G22 (search for similar items in EconPapers)
Date: 2012 Written 2012
Note: dissertation
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