Skip to Main content Skip to Navigation
Theses

Pilotage technique d'un régime de rentes viagères : identification et mesure des risques, allocation d'actif, suivi actuariel.

Abstract : Recent evolutions as well of the solvency and accounting rules as practices of place lead to a finer and more segmented analysis risks faced by life annuities plans. In this context, a revision of the traditional modeling of such a plan is essential, by taking into account in particular for the liability of the risk associated with uncertainty on future mortality (stochastic mortality and model risk) and for the asset side of the primarily discontinuous character of the asset's evolution. This work defines the broad outline of a modelling asset / liability management of a life annuities plan integrating these constraints.
Document type :
Theses
Complete list of metadatas

Cited literature [38 references]  Display  Hide  Download

https://tel.archives-ouvertes.fr/tel-00443010
Contributor : Frédéric Planchet <>
Submitted on : Saturday, December 26, 2009 - 7:25:18 PM
Last modification on : Monday, October 19, 2020 - 10:53:40 AM
Long-term archiving on: : Friday, June 18, 2010 - 12:08:05 AM

Identifiers

  • HAL Id : tel-00443010, version 1

Collections

Citation

Frédéric Planchet. Pilotage technique d'un régime de rentes viagères : identification et mesure des risques, allocation d'actif, suivi actuariel.. Gestion et management. Université Claude Bernard - Lyon I, 2006. Français. ⟨tel-00443010⟩

Share

Metrics

Record views

331

Files downloads

2680