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Modèles financiers en assurance - Analyses de risque dynamiques

Author

Listed:
  • Frédéric Planchet

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

  • Pierre-Emmanuel Thérond

    (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

Les normes comptables internationales (IFRS) ont introduit dans la démarche d'évaluation des engagements d'assurance le concept de "juste valeur" ("fair value"). Cela conduit à un recours de plus en plus intensif aux approches stochastiques. Par ailleurs, les évolutions à venir des règles prudentielles (Solvabilité 2), via l'utilisation de "valeurs à risque donné" ("value at risk"), renforcent encore l'intérêt pour les modélisations assurantielles dont la mise en œuvre s'appuie des techniques stochastiques. Le présent ouvrage présente les principes théoriques et les outils pratiques permettant de concevoir et de mettre en œuvre des modélisations répondants à ces nouvelles contraintes.Le propos des auteurs est par ailleurs illustré de nombreux exemples qui apportent un éclairage particulier sur chacun des sujets abordés.

Suggested Citation

  • Frédéric Planchet & Pierre-Emmanuel Thérond & Marc Juillard, 2010. "Modèles financiers en assurance - Analyses de risque dynamiques," Post-Print hal-00530880, HAL.
    • Handle: RePEc:hal:journl:hal-00530880
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    Cited by:

    1. Nteukam T., Oberlain & Planchet, Frédéric, 2012. "Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 624-631.

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