3 citations · 9 across the 9 of their papers we have counts for
3 papers · 1 filter
Approximation of stochastic insurer balance-sheet results using signatures of economic scenarios
Hervé Andrès, Alexandre Boumezoued, Arthur Bourdon +1
In the insurance industry, Asset and Liability Management (ALM) models are key tools for numerous applications, including Solvency Capital Requirement (SCR) computation and asset a…
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…
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…