Asset Risk Management of Participating Contracts

• DOI: 10.1515/2153-3792.1121
• Publication Date: 2012-06-19T15:38:13Z
• Authors: Carole Bernard; Olivier Le Courtois
• Keywords: Stochastic game

In this paper we study the asset-liability management of an insurance company selling “participating contracts”. Participating contracts are typical policies sold in Europe, Japan or North America. The payoff a participating policy is linked to portfolio and surplus company. We examine impact choice assets' investment strategy on value, its solvency how well may meet commitments associated with liabilities. Our goal exhibit matching as much possible assets liabilities at their market value complying existing regulation constraints. It then shown that dynamic CPPI can significantly reduce default probability company, increase policyholders contracts' values. Consequently our also shows valuation determination fair should not be done neglecting allocation strategy.