Mémoire d'actuariat

Analyse de l'impact des modèles de taux sur le Best Esimate
Auteur(s) FONTANES D.
Société SIA Partners
Année 2016

In France, life insurance market is more and more controlled especially due to the Solvency II regulatory implementation. Nowadays, insurers are starting to focus on optimising their valuation processes and they are looking on solutions to reinforce key indicators such as Solvency Capital Ratio (SCR). The Economic Scenarios Generators (ESG) are at the heart of these valuation processes. They can model financial scenarios used for balance sheet projection which will lead to an economical valuation of life insurance products. In that study, we are suggesting to look at the economical valuation impact of moving from an Economic Scenario Generator to another. We suggest to detail how to model a balance sheet projection tool which quantify the moving. We are focussing on provisions-oriented indicators such as the Best Estimate and the Time Value of Financial Options and Guarantees (TVFOG) to analyse the impact. We finally justify the impact of moving from a spot rate ESG model to a forward rate ESG model.

Mémoire complet