Advertisement

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.

Keywords

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.

Notes

Acknowledgments

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.

References

  1. 1.
    Aase KK, Persson SA (1996) Valuation of the minimum guaranteed return embedded in life insurance products. Wharton School Working Paper, p 96–20Google Scholar
  2. 2.
    Bacinello AR (2003) Fair valuation of the surrender option embedded in a guarantee life insurance participating policy. Trieste University Working PaperGoogle Scholar
  3. 3.
    Ballotta L (2004) Alternative framework for the fair valuation of participating life insurance contracts. Cass Business School, Actuarial Research Paper, p 157Google Scholar
  4. 4.
    Bauer D, Bergmann D, Reuss A (2010) Solvency II and nested simulations—a least-squares monte carlo approach. In: Proceedings of the 2010 ICA congressGoogle Scholar
  5. 5.
    Brigo D, Mercurio F (2006) Interest rate models—theory and practice, 2nd edn. SpringerGoogle Scholar
  6. 6.
    Briys E, de Varenne F (1994) Life insurance in a contingent claim framework: pricing and regulatory implications. Geneva Papers Risk Insurance Theory 19:53–72CrossRefGoogle Scholar
  7. 7.
    Ceiops (2010) Technical specifications for QIS5, European commissionGoogle Scholar
  8. 8.
    Guibert Q, Juillard M, Planchet F (2012) Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance. Eu Actuar J. to appearGoogle Scholar
  9. 9.
    Hainaut D (2009) Profit sharing: a stochastic control approach. Bulletin Français d’Actuariat 9:18Google Scholar
  10. 10.
    Planchet F, Leroy G (2011) Solvabilité 2: quels standards pour le risque de marché ?, la Tribune de l’Assurance (rubrique “le mot de l’actuaire”) p 156 du 01 Mar 2011Google Scholar
  11. 11.
    Planchet F, Therond PE, Juillard M (2011) Modeles financiers en assurance. Analyses de risque dynamiques, 2nd edn. Economica, ParisGoogle Scholar
  12. 12.
    R Development Core Team (2012) R: a language and environment for statistical computing, R foundation for statistical computing, Vienna, Austria. http://www.r-project.org
  13. 13.
    Wüthrich M, Merz M (2013) Financial modeling, actuarial valuation and solvency in insurance. SpringerGoogle Scholar

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

Personalised recommendations