IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00530864.html
   My bibliography  Save this paper

Un cadre de référence pour un modèle interne partiel en assurance de personnes

Author

Listed:
  • Frédéric Planchet

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Quentin Guibert

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Marc Juillard

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

Cet article propose un cadre général pour construire un modèle interne ou un modèle interne partiel dans un contexte d'assurance de personnes. Sa contribution consiste à montrer que dans ce contexte, du fait du caractère gaussien des engagements conditionnellement aux facteurs de risque systématique, il est possible d'obtenir des expressions des valeurs de référence (best estimate, marge pour risque et SCR) dans le cadre d'une approche mêlant calculs analytiques et simulation qui s'avère particulièrement efficace en termes de mise en œuvre.

Suggested Citation

  • Frédéric Planchet & Quentin Guibert & Marc Juillard, 2010. "Un cadre de référence pour un modèle interne partiel en assurance de personnes," Post-Print hal-00530864, HAL.
  • Handle: RePEc:hal:journl:hal-00530864
    Note: View the original document on HAL open archive server: https://hal.science/hal-00530864
    as

    Download full text from publisher

    File URL: https://hal.science/hal-00530864/document
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tomas, Julien & Planchet, Frédéric, 2013. "Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: Application to long-term care insurance," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 573-589.
    2. Geoffrey Nichil & Pierre Vallois, 2019. "Solvency Need Resulting from Reserving Risk in a ORSA Context," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 567-592, June.
    3. Frédéric Planchet & Quentin Guibert & Marc Juillard, 2012. "Measuring Uncertainty of Solvency Coverage Ratio in ORSA for Non-Life Insurance," Post-Print hal-01169220, HAL.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00530864. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.