European Actuarial Journal

, Volume 4, Issue 1, pp 181–196 | Cite as

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

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

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.

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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

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