European Actuarial Journal

, Volume 4, Issue 1, pp 181–196

Best estimate calculations of savings contracts by closed formulas: application to the ORSA

  • François Bonnin
  • Frédéric Planchet
  • Marc Juillard
Original Research Paper

DOI: 10.1007/s13385-014-0086-z

Cite this article as:
Bonnin, F., Planchet, F. & Juillard, M. Eur. Actuar. J. (2014) 4: 181. doi:10.1007/s13385-014-0086-z

Abstract

In this paper we present an analytical approximation of the best estimate of a savings contract. This approximation aims to provide a framework for robust and justifiable calculation of the own risk solvency assessment avoiding the complexity of direct approaches. A numerical application is proposed.

Copyright information

© DAV / DGVFM 2014

Authors and Affiliations

  • François Bonnin
    • 1
    • 2
  • Frédéric Planchet
    • 1
    • 3
  • Marc Juillard
    • 1
    • 4
  1. 1.Université de Lyon, Université Claude Bernard Lyon 1, ISFA, Laboratoire SAFLyonFrance
  2. 2.Hiram FinanceParisFrance
  3. 3.Prim’ActParisFrance
  4. 4.SIA PartnersParisFrance