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Conceptualisation et mise en oeuvre du processus Own Risk and Solvency Assessment pour l’assurance vie

Abstract : The Solvency II directive issued in 2009 by the European Commission has been put into action in January 2016. It is based on three pillars. The first pillar addresses the quantitative requirements to assess the Solvency capital needs. The second pillar, more qualitative, addresses the risks governance. The third pillar addresses the required disclosures. For life insurance, the quantitative requirements (pillar I and a part of pillar II) have introduced a high level of complexity. Indeed, to create an entity-adapted scheme, the directive has developed a very specific process to evaluate the insurance balance sheets, namely the economic valuation. Considering this complexity, most European life insurances have chosen to focus on pillar I, at the beginning of the implementation of the directive, the regulatory capital assessment being an essential part of the solvency scheme. In this thesis I focus my work on the second pillar of the directive and more precisely on the Own Risk and Solvency Assessment (ORSA) process. This regulatory tool is the second major source of complexity when implementing the directive. It is a completely undertaking-embedded risk management process which aims to deepen the insurance knowledge of its risks. In my work I have tried to conceptualize and propose operational implementations to answer the ORSA issues (Overall Solvency Needs assessment and continuous compliance). Finally, through a joint work with N. El Karoui, S. Loisel and J.-L. Prigent, we have underlined, analyzed and exemplified some of the major hazard sources induced by the economic valuation
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Submitted on : Monday, January 16, 2017 - 6:35:09 PM
Last modification on : Thursday, July 23, 2020 - 11:12:03 AM
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  • HAL Id : tel-01436957, version 1



Julien Vedani. Conceptualisation et mise en oeuvre du processus Own Risk and Solvency Assessment pour l’assurance vie. Gestion et management. Université de Lyon, 2016. Français. ⟨NNT : 2016LYSE1161⟩. ⟨tel-01436957⟩



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