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

Author

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  • Christophe Morel
  • Brigitte Poiblanc

Abstract

[fre] Le recours à la théorie des options permet de déterminer une formule reliant les caractéristiques des contrats d’assurance-vie (maturité, rendement garanti et taux de participation aux bénéfices) au bilan des assureurs (risque de l’actif, levier d’endettement). Une simulation numérique de cette relation, à partir des ordres de grandeur caractéristiques du marché de l’assurance-vie en France, révèle le caractère “ excessif ” de la contrainte qu’impose le plancher de 85% de distribution des bénéfices financiers des assureurs aux assurés. Conjuguée aux réglementations sur le taux garanti et sur le ratio de capital, cette norme semble empêcher les assureurs d’élargir la plage des rendements qu’ils sont à même de proposer, sauf à dégrader leur solvabilité et, d’une certaine façon, à accroître leur prise de risque. Mots-clés : assurance-vie, gestion actif-passif, théorie des options Classification JEL : G13, G22, G28 [eng] An " optional" Reading of the life-Insurance Company Balance Sheet . by Christophe-Alain Morel and Brigitte Poiblanc . 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). Adigital 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. Key-words : life insurance, asset management, option theory JEL Classification : G13, G22, G28 .

Suggested Citation

  • Christophe Morel & Brigitte Poiblanc, 2001. "Une lecture "optionnelle" du bilan des compagnies d'assurance-vie," Économie et Prévision, Programme National Persée, vol. 149(3), pages 65-71.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2001_num_149_3_6292
    DOI: 10.3406/ecop.2001.6292
    Note: DOI:10.3406/ecop.2001.6292
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    References listed on IDEAS

    as
    1. Eric Briys & François De Varenne, 1994. "Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 19(1), pages 53-72, June.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
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    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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