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

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 participatio

Coarse and uniform embeddings between Orlicz sequence spaces

We give an almost complete description of the coarse and uniform embeddability between Orlicz sequence spaces. We show that the embeddability between two Orlicz sequence spaces is in most cases determined only by the values of their upper Matuszewska-Orlicz indices. On the other hand, we present examples which show that sometimes the embeddability is not determined by the values of these indices.Comment: 12 pages. This is the final version. To appear in Mediterr. J. Mat

Market-consistent valuation: a step towards calculation stability

In this paper we address some of the stability issues raised by the European life insurance regulation valuation scheme. Via an in-depth study of the so-called economic valuation framework, shaped through the market-consistency contract we first point out the practical interest of one of the El Karoui, Loisel, Prigent & Vedani (2017) propositions to enforce the stability of the cutoff dates used as inputs to calibrate actuarial models. This led us to delegitimize the argument of the no-arbitrage opportunity as a regulatory criteria to frame the valuation, and as an opposition to the previously presented approach. Then we display tools to improve the convergence of the economic value estimations be it the V IF or the SCR, using usual variance reduction methods and a specific work on the simulation seeds. Through various implementations on a specific portfolio and valuation model we decrease the variance of the estimators by over 16 times

Cluster values for algebras of analytic functions

[EN] The Cluster Value Theorem is known for being a weak version of the classical Corona Theorem. Given a Banach space X, we study the Cluster Value Problem for the ball algebra A(u)(B-X), the Banach algebra of all uniformly continuous holomorphic functions on the unit ball B-X; and also for the Frechet algebra H-b(X) of holomorphic functions of bounded type on X (more generally, for H-b(U), the algebra of holomorphic functions of bounded type on a given balanced open subset U subset of X). We show that Cluster Value Theorems hold for all of these algebras whenever the dual of X has the bounded approximation property. These results are an important advance in this problem, since the validity of these theorems was known only for trivial cases (where the spectrum is formed only by evaluation functionals) and for the infinite dimensional Hilbert space. As a consequence, we obtain weak analytic Nullstellensatz theorems and several structural results for the spectrum of these algebras. (C) 2017 Elsevier Inc. All rights reserved.This work was partially supported by projects CONICET PIP 11220130100329CO, ANPCyT PICT 2015-2299, ANPCyT PICT-2015-3085, ANPCyT PICT-2015-2224, UBACyT 20020130300057BA, UBACyT 20020130300052BA, UBACyT 20020130100474BA and MINECO and FEDER Project MTM2014-57838-C2-2-P.Carando, D.; Galicer, D.; Muro, S.; Sevilla Peris, P. (2018). Cluster values for algebras of analytic functions. Advances in Mathematics. 329:157-173. https://doi.org/10.1016/j.aim.2017.08.030S15717332

Isomorphismes non linéaires entre espaces de Banach

Cette thèse s'inscrit dans le cadre de la géométrie non linéaire des espaces de Banach. Elle se divise en deux parties. Dans la première, nous nous intéressons aux espaces d'Orlicz séquentiels ainsi qu'à une estimation de leur indice de Szlenk. Nous appliquons les résultats obtenus à l'étude des homéomorphismes uniformes entre deux espaces d'Orlicz séquentiels. En particulier, nous montrons que deux espaces d'Orlicz séquentiels uniformément homéomorphes contiennent les mêmes espaces S\ell_ps. La seconde partie est consacrée à l'existence de projections quasiadditives sur des sous-espaces linéaires. Nous y donnons une nouvelle caractérisation de la propriété d'approximation bornée qui permet d'établir une preuve alternative de l'équivalence entre cette propriété et sa version Lipschitzienne. Une attention toute particulière est donnée aux espaces Lipschitz-libres : nous montrons que les espaces Lipschitz-libres sur des espaces normés de dimension finie possèdent une décomposition finie dimensionnelle.PARIS-BIUSJ-Mathématiques rech (751052111) / SudocSudocFranceF

Market-consistent valuation: a step towards calculation stability

In this paper we address some of the stability issues raised by the European life insurance regulation valuation scheme. Via an in-depth study of the so-called economic valuation framework, shaped through the market-consistency contract we first point out the practical interest of one of the El Karoui, Loisel, Prigent & Vedani (2017) propositions to enforce the stability of the cutoff dates used as inputs to calibrate actuarial models. This led us to delegitimize the argument of the no-arbitrage opportunity as a regulatory criteria to frame the valuation, and as an opposition to the previously presented approach. Then we display tools to improve the convergence of the economic value estimations be it the V IF or the SCR, using usual variance reduction methods and a specific work on the simulation seeds. Through various implementations on a specific portfolio and valuation model we decrease the variance of the estimators by over 16 times

Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views

Motivated by the recent introduction of regulatory stress tests in the Solvency II framework, we study the impact of the re-estimation of the tail risk and of loss absorbing capacities on post-stress solvency ratios. Our contribution is threefold. First, we build the first stylized model for re-estimated solvency ratio in insurance. Second, this leads us to solve a new theoretical problem in statistics: what is the asymptotic impact of a record on the re-estimation of tail quantiles and tail probabilities for classical extreme value estimators? Third, we quantify the impact of the re-estimation of tail quantiles and of loss absorbing capacities on real-world solvency ratios thanks to regulator data from Banque de France - ACPR. Our analysis sheds a first light on the role of the loss absorbing capacity and its paramount importance in the Solvency II capital charge computations. We conclude with a number of policy recommendations for insurance regulators

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

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