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Frédéric Planchet

  1. Mesure des risques de march\'e et de souscription vie en situation d'information incompl\`ete pour un portefeuille de pr\'evoyance.

    Ср, 01/13/2010 - 16:01 — SomNambul
    Authors: Frédéric Planchet, Jean-Paul Félix
    Subjects: Risk Management
    Abstract

    In the framework of Embedded Value new standards, namely the MCEV norms, the
    latest principles published in June 2008 address the issue of market and
    underwriting risks measurement by using stochastic models of projection and
    valorization. Knowing that stochastic models particularly data-consuming, the
    question which can arise is the treatment of insurance portfolios only
    available in aggregate data or portfolios in situation of incomplete
    information.

  2. L'utilisation des splines bidimensionnels pour l'estimation de lois de maintien en arr\^et de travail.

    Ср, 01/13/2010 - 16:01 — SomNambul
    Authors: Frédéric Planchet, Pascal Winter
    Subjects: General Finance
    Abstract

    The aim of this paper is to propose an operational two-dimensional parametric
    adjustment for laws of maintenance in disability. The method suggested rests on
    splines in dimension 2; it is applied to a real data set, and the scale of
    reserving which results from it is compared with the scale of reference of the
    BCAC.

  3. Allocation d'actifs selon le crit\`ere de maximisation des fonds propres \'economiques en assurance non-vie.

    Ср, 01/13/2010 - 16:01 — SomNambul
    Authors: Frédéric Planchet, Pierre-Emanuel Thérond
    Subjects: Risk Management
    Abstract

    The economic equities maximization criterion (MFPE) leads to the choice of
    financial portfolio, which maximizes the ratio of the expected value of the
    insurance company on the capital. This criterion is presented in the framework
    of a non-life insurance company and is applied within the framework of the
    French legislation and in a lawful context inspired of the works in progress
    about the European project Solvency 2. In the French regulation case, the
    required solvency margin does not depend of the asset allocation.

  4. Mesure de l'incertitude tendancielle sur la mortalit\'e ? application \`a un r\'egime de rentes.

    Ср, 01/13/2010 - 16:01 — SomNambul
    Authors: Frédéric Planchet, Marc Juillard
    Subjects: General Finance
    Abstract

    The aim of this paper is to propose a realistic and operational model to
    quantify the systematic risk of mortality included in an engagement of
    retirement. The model presented is built on the basis of model of Lee-Carter.
    The stochastic prospective tables thus built make it possible to project the
    evolution of the random mortality rates in the future and to quantify the
    systematic risk of mortality.

  5. Utilisation des m\'ethodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalit\'e dans le cas de petits \'echantillons.

    Ср, 01/13/2010 - 16:01 — SomNambul
    Authors: Frédéric Planchet, Vincent Lelieur
    Subjects: Statistical Finance
    Abstract

    The aim of this paper is to study the construction of prospective mortality
    tables from a low number of persons subjected to risk. The presented models are
    the Lee-Carter and log-Poisson methods respectively. The low number of people
    subjected to risk, particularly noticed for the persons who are getting on,
    implies the use of an extrapolation method for the mortality rates. The
    Lee-Carter and log-Poisson methods constitute twodimensional models, taking the
    year and the age into account to calculate the mortality rates. The methods
    suggested are applied to a real data set.

  6. Rentes en cours de service : un nouveau crit\`ere d'allocation d'actif.

    Ср, 01/13/2010 - 16:01 — SomNambul
    Authors: Frédéric Planchet, Pierre-Emanuel Thérond
    Subjects: Portfolio Management
    Abstract

    The aim of this paper is to compare two asset allocation methods for a
    pension scheme during the decumulation phase in the simplified portfolio
    selection between a risky asset following a geometric Brownian motion and a
    riskless asset. The two asset allocation criteria are the ruin probability of
    the insurance company and the optimization of the economic capital. We first
    solve the asset allocation problem with deterministic pension payments then
    with stochastic mortality risk. We analyze the part of mortality risk in the
    global risk of the company.

  7. Simulation de trajectoires de processus continus.

    Ср, 01/13/2010 - 16:01 — SomNambul
    Authors: Frédéric Planchet, Pierre-Emanuel Thérond
    Subjects: Computational Finance
    Abstract

    Continuous time stochastic processes are useful models especially for
    financial and insurance purposes. The numerical simulation of such models is
    dependant of the time discrete discretization, of the parametric estimation and
    of the choice of a random number generator. The aim of this paper is to provide
    the tools for the practical implementation of diffusion processes simulation,
    particularly for insurance contexts.

  8. Etude du risque syst\'ematique de mortalit\'e.

    Ср, 01/13/2010 - 16:01 — SomNambul
    Authors: Frédéric Planchet, Laurent Faucillon, Marc Juillard
    Subjects: General Finance
    Abstract

    The aim of this paper is to propose a realistic and operational model to
    quantify the systematic risk of mortality included in an engagement of
    retirement. The model presented is built on the basis of model of Lee-Carter.
    The stochastic prospective tables thus built make it possible to project the
    evolution of the random mortality rates in the future and to quantify the
    systematic risk of mortality.

  9. Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?.

    Чт, 11/19/2009 - 16:01 — SomNambul
    Authors: Alaeddine Faleh, Frédéric Planchet, Didier Rullière
    Subjects: Risk Management
    Abstract

    In this paper, we present the principal components of an economic scenario
    generator (ESG), both for the theoretical design and for practical
    implementation. The choice of these components should be linked to the ultimate
    vocation of the economic scenario generator, which can be either a tool for
    pricing financial products or a tool for projection and risk management. We
    then develop a study on some performance measure indicators of the ESG as an
    input for the decision-making process, namely the indicators of stability and
    bias absence.

Math-arch

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