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


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.


Balance Sheet Uhlenbeck Process Historical Probability Revalorization Rate Solvency Capital Requirement 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.



The authors thank two referees whose comments have significantly improved this work. We also warmly thank Pr. Ragnar Norberg for helpful comments and support. The authors gratefully acknowledge Anisa Caja for his help in the English version of this work.


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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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