Assessing the economic value of life insurance contracts with stochastic deflators (notice n° 99694)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01729cam a2200217 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112004327.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Armel, Kamal |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Assessing the economic value of life insurance contracts with stochastic deflators |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2021.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 18 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This article proposes an approach for building an Economic Scenario Generator (ESG) under historical probability, allowing the simulation of interest rates and prices of risky investments, adapted to the process of valuing liabilities of savings contracts with profit-sharing clauses and consistent with the Solvency 2 and IFRS 17 frameworks. It therefore includes the construction of the discounting factor (deflator) used to calculate prices. It proposes methods for calibrating models and risk premiums based on closed formulas and presents simulation approaches with exact discretization adapted to long-term simulation needs and less computation time consuming. The article also proposes a study of the sensitivities of the value of a with profit savings liability to the calibrations of the economic scenario generator under historical probability. Finally, it shows that moving from a «risk neutral» calculation to a deflator approach requires only relatively marginal work to adapt existing models. JEL Classification: G22, C32, G33. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Life Insurance Liabilities |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Solvency II |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Stochastic Deflators |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Fair Value |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Planchet, Frédéric |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Bankers, Markets & Investors | 167 | 4 | 2021-12-08 | p. 29-54 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-bankers-markets-et-investors-2021-4-page-29?lang=en">https://shs.cairn.info/revue-bankers-markets-et-investors-2021-4-page-29?lang=en</a> |
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