7 citations · 12 across the 3 of their papers we have counts for
4 papers
Mortality data reliability in an internal model
Fabrice Balland, Alexandre Boumezoued, Laurent Devineau +2
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned wit…
Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion
Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy +1
This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusi…
Solvency assessment within the ORSA framework: issues and quantitative methodologies
Julien Vedani, Laurent Devineau
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation le…
One-year reserve risk including a tail factor: closed formula and bootstrap approaches
Alexandre Boumezoued, Yoboua Angoua, Laurent Devineau +1
In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the…