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

European Actuarial Journal - Tập 4 - Trang 181-196 - 2014
François Bonnin1,2, Frédéric Planchet1,3, Marc Juillard1,4
1Université de Lyon, Université Claude Bernard Lyon 1, ISFA, Laboratoire SAF, Lyon, France
2Hiram Finance, Paris, France
3Prim’Act, Paris, France
4SIA Partners, Paris, France

Tóm tắt

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.

Tài liệu tham khảo

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