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Risque associé au contrat d'assurance-vie pour la compagnie d'assurance

Author

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  • Christophe Berthelot
  • Mireille Bossy
  • Nathalie Pistre

Abstract

[eng] Insurance-Company Risk Connected with Life-Insurance Contracts . by Christophe Berthelot, Mireille Bossy and Nathalie Pistre . Life-insurance contracts in francs are in fact capitalisation contracts which provide a return with the dual advantage of offering a guaranteed rate and benefiting from favourable asset performance. These contracts engender an interest-rate risk, which is all the more appreciable in that policyholders can always choose to withdraw from the contract (surrender), which is generally perceived as a free option that is difficult for insurers to manage. In this paper we describe the risk associated with such a contract for the insurance company in conjunction with the contract characteristics and financial variables. Weshow that this type of contract gives rise to options which are closer to real options than to traded financial options. We also quantify numerically the risk exposure on the value of capital in a stochastic market environment. We indicate the probability distribution for return on capital and specifically develop an analysis of risk sensitivity in terms of characteristic contract Key-words : real options, life insurance, risk, simulation. JEL Classification : G2, D2, D8. . [fre] Les contrats d’assurance-vie en francs sont de fait des contrats de capitalisation assurant une rémunération qui a le double avantage de présenter un taux garanti et de profiter d’une évolution favorable de l’actif. Ces contrats génèrent un risque de taux, d’autant plus sensible que les assurés peuvent toujours choisir de sortir du contrat (rachat), ce qui est généralement visualisé comme une option gratuite difficile à gérer pour les assureurs. Dans cet article, nous caractérisons le risque associé à un tel contrat pour la compagnie d’assurance en liaison avec les caractéristiques du contrat et les variables financières. Nous montrons que ce type de contrat donne lieu à des options plus proches d’options réelles que d’options financières négociables. Nous quantifions par ailleurs numériquement le risque couru sur la valeur des capitaux propres dans un environnement de marchés stochastique. Nous mettons en évidence la distribution de probabilité de la rentabilité des capitaux propres et développons en particulier une analyse de sensibilité du risque en fonction des paramètres caractéristiques du contrat (taux garanti, fiscalité, participation) et des caractéristiques de l’actif (composition, volatilité). Mots-clés : otptions réelles, assurance-vie, risque, simulation. Classification JEL : G2, D2, D8.

Suggested Citation

  • Christophe Berthelot & Mireille Bossy & Nathalie Pistre, 2001. "Risque associé au contrat d'assurance-vie pour la compagnie d'assurance," Économie et Prévision, Programme National Persée, vol. 149(3), pages 73-85.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2001_num_149_3_6293
    DOI: 10.3406/ecop.2001.6293
    Note: DOI:10.3406/ecop.2001.6293
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • D2 - Microeconomics - - Production and Organizations
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G2 - Financial Economics - - Financial Institutions and Services
    • D2 - Microeconomics - - Production and Organizations
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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