Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework

North American Actuarial Journal, Vol. 14, No. 1, pp. 131-149, 2010

31 Pages Posted: 17 Jan 2006 Last revised: 15 Aug 2015

See all articles by Carole Bernard

Carole Bernard

Grenoble Ecole de Management; Vrije Universiteit Brussel (VUB)

Olivier Le Courtois

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control

Francois Quittard-Pinon

EMLYON Business School

Date Written: June 1, 2007

Abstract

This study is devoted to the calculation of appropriate premia and loadings for participating contracts. Our analysis aims at extending the ideas of Buehlmann [2004], and is sequencing the fundamental works of Merton [1974], Longstaff and Schwartz [1995], Briys and de Varenne [1994, 2001]. Estimating safety loadings in a fair value context is an ongoing issue, in relationship notably to the new solvency requirements (see Ballotta, Esposito and Haberman [2006]). Beyond the examples developed in the text, the ultimate goal is to make understand similarities between contingent claims pricing and actuarial loadings and explain heterogeneity of prices in the insurance market.

Keywords: Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap

JEL Classification: G13, G22

Suggested Citation

Bernard, Carole and Le Courtois, Olivier Arnaud and Quittard-Pinon, Francois, Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework (June 1, 2007). North American Actuarial Journal, Vol. 14, No. 1, pp. 131-149, 2010 . Available at SSRN: https://ssrn.com/abstract=875576

Carole Bernard

Grenoble Ecole de Management ( email )

12, rue Pierre Sémard
Grenoble Cedex, 38003
France

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Olivier Arnaud Le Courtois (Contact Author)

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control ( email )

23, av. Guy de Collongue
69134 Ecully Cedex
France

Francois Quittard-Pinon

EMLYON Business School ( email )

23, Avenue Guy de Collongue
69134, Ecully
France

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