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

Bonnin, François; Planchet, Frédéric; Juillard, Marc

doi:10.1007/s13385-014-0086-z

Cited by 9 publications

(4 citation statements)

References 2 publications

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“…appealing temporary promotional rates on new contracts. A similar specification has been recently proposed by Bonnin et al (2014) in a stylized model for saving contracts, as part of the ORSA 10 This target can be reached either with financial income (fixed incomes or capital gains) or through adjustments in the level of PPB. Notice that, in good times, there exists a trade-off between raising the contracts' participation rates immediately, and endowing the PPB to release it in the bad years that could follow.…”

Section: The Baseline Modelmentioning

confidence: 99%

Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry

Borel-Mathurin¹,

Darpeix

Guibert

et al. 2018

Geneva Pap Risk Insur Issues Pract

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We use a brand new data-set built from French supervisory reports to investigate the drivers of the participation rates served on euro-denominated life-insurance contracts over the period 1999-2013. Our analysis confirms practitioners' insight on the alignment with the 10-years French government bond, yet we show that on aggregate, insurers serve less than this target. Our data indicate that financial margins are more strictly targeted than participation. We find evidence that lapses are fairly uncorrelated with participation, suggesting other levers to pilot surrenders. If higher asset returns can imply better yield for policyholders, riskier portfolios do not translate into better participation.

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Section: The Baseline Modelmentioning

confidence: 99%

Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry

Borel-Mathurin¹,

Darpeix

Guibert

et al. 2018

Geneva Pap Risk Insur Issues Pract

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“…In practice any economic valuation process is implemented with Monte Carlo simulations to estimate the complex prospective behaviour of life insurance products options depending on the stochastic evolution of market risks. It is indeed almost impossible to assess closed formula for liability portfolios valuation, except without very strong model assumptions (see Bonnin, Planchet & Juillard (2014)).…”

Section: Economic Valuation In Practice 221 Economic Scenarios and Mamentioning

confidence: 99%

Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions

2017

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The Solvency II directive has introduced a specific so-called risk-neutral framework to valuate economic accounting quantities throughout European life insurance companies. The adaptation of this theoretical notion for regulatory purposes requires the addition of a specific criterion, namely the market-consistency, in order to objectify the choice of the valuation probability measure. This paper aims at pointing out and fixing some of the major risk sources embedded in the current regulatory life insurance valuation scheme. We compare actuarial and financial valuation schemes. We then address first operational issues and potential market manipulation sources in life insurance, induced by both theoretical and regulatory pitfalls. For example, we show that calibrating the interest rate model in October 2014 instead of December 31 st 2014 generates a 140%-increase in the economic own funds of a representative French life insurance company. We propose various adaptations of the current implementations, including product-specific valuation scheme, to limit the impact of these market-inconsistencies.

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“…Cela implique de tenir compte des cotisations acquises par les mutuelles, année après année et des prestations qu'elles paient auprès de leurs assurés. Sous l'hypothèse qu'une mutuelle émettrice de dette est une mutuelle santé ou IARD sans interaction actif / passif matérielle et dont le passif est peu sensible au risque de taux, la dynamique proposée dans Guibert et al [2012] est utilisée, avec toutefois une dynamique d'actif risque-neutre et non historique, en suivant une logique proche de Bonnin et al [2014], [2015].…”

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Valeur Économique De Dettes Subordonnées Pour Des Sociétés Non-Vie

Bonnin,

Planchet,

Tammar

et al. 2015

Assurances et gestion des risques

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

Cited by 9 publications

References 2 publications

Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry

Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry

Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions

Valeur Économique De Dettes Subordonnées Pour Des Sociétés Non-Vie

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