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Appétence au risque : intégration au pilotage d'une société d'assurance

Author

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  • Pierre-Emmanuel Thérond

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

  • Pierre Valade

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

Abstract

La Directive Solvabilité 2 adoptée définitivement en novembre 2009 au sein de l'Union européenne modifie profondément les règles prudentielles du secteur de l'assurance. Si le premier pilier exige que les assureurs disposent d'un niveau de fonds propres qui leurs permettent de ne pas être en ruine à horizon 1 an avec une probabilité supérieure à 99,5 %, les assureurs devront, au titre du pilier 2, mettre en oeuvre un suivi et un pilotage permanent de leur exposition aux risques au travers de l'ORSA (Own-Risk Solvency Assessment). En particulier, les décisions significatives en termes d'exposition au risque devront être appréciées au regard de leur impact sur l'exigence de capital. Aussi il apparaît opportun pour les assureurs de s'organiser et de mettre en oeuvre une gestion en relation avec l'appétence au risque de la société. Au-delà du seul fait de mesurer l'impact de telle ou telle décision sur l'exposition au risque et l'exigence de fonds propres correspondante, il s'agit d'intégrer cette contrainte et de définir les objectifs de la société pour prendre les décisions optimales. L'objectif de cet article est de présenter la notion d'appétence au risque et d'expliquer en quoi son intégration dans le pilotage de la compagnie constitue un avantage conséquent. Il décrit ensuite les étapes de sa mise en place au travers de la définition des objectifs, des contraintes et de leur déclinaison pour les différents propriétaires de risques.

Suggested Citation

  • Pierre-Emmanuel Thérond & Pierre Valade, 2010. "Appétence au risque : intégration au pilotage d'une société d'assurance," Post-Print hal-00593904, HAL.
    • Handle: RePEc:hal:journl:hal-00593904
    Note: View the original document on HAL open archive server: https://hal.science/hal-00593904
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    References listed on IDEAS

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    1. Pierre-Emmanuel Thérond, 2008. "Ifrs, solvabilité 2, IFRS, embedded value : quel traitement du risque ?," Post-Print hal-03202264, HAL.
    2. Isabelle Huault & V. Perret & S. Charreire-Petit, 2007. "Management," Post-Print halshs-00337676, HAL.
    3. Deighton, S. P. & Dix, R. C. & Graham, J. R. & Skinner, J. M. E., 2009. "Governance and Risk Management in United Kingdom Insurance Companies," British Actuarial Journal, Cambridge University Press, vol. 15(3), pages 503-556, September.
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