Demande d’assurance, décisions de consommation et de portefeuille : une analyse en temps continu

Cet article examine la demande optimale d’assurance dommage en temps continu. Les décisions d’assurance, de portefeuille et de consommation sont analysées conjointement dans un cadre à la Merton (1969, 1971). Des solutions explicites sont dérivées dans le cas d’une fonction d’utilité isoélastique. Il apparaît que les propriétés de la demande optimale d’assurance sont bien plus complexes que ne le laissent supposer certaines récentes contributions.This paper provides a continuous-time analysis of the optimal insurance demand by individuals. A joint treatment of the insurance, consumption and portfolio decisions is presented using a framework à la Merton (1969, 1971). The individual optimal insurance demand is explicitly derived under the class of isoelastic marginal utility fonctions. It is shown that the properties of the optimal insurance coverage are far more complex than suspected by some recent contributions. In the course of doing so this paper tries to fill a gap of the traditional insurance literature which has very often focused on insurance in isolation

On the Risk of Life Insurance Liabilities: Debunking Some Common Pitfalls

The objective of this paper is to contribute to a better understanding of the driving forces of a life insurance company. More specifically, the issues of the duration and convexity of insurance liabilities and equity are addressed. These issues deserve a careful rethinking given the recent trends that have affected the insurance landscape. A correct assessment of these risk measures is critical as they constitute the primary ingredients of any sound asset-liability management approach. In addition, the effort toward a more detailed and more accurate risk picture of life insurance operations enables one to debunk some pitfalls that are commonly encountered in the insurance industry. This paper was presented at the Financial Institutions Center's May 1996 conference on "

Demande d’assurance, décisions de consommation et de portefeuille : une analyse en temps continu

This paper provides a continuous-time analysis of the optimal insurance demand by individuals. A joint treatment of the insurance, consumption and portfolio decisions is presented using a framework à la Merton (1969, 1971). The individual optimal insurance demand is explicitly derived under the class of isoelastic marginal utility fonctions. It is shown that the properties of the optimal insurance coverage are far more complex than suspected by some recent contributions. In the course of doing so this paper tries to fill a gap of the traditional insurance literature which has very often focused on insurance in isolation. Cet article examine la demande optimale d’assurance dommage en temps continu. Les décisions d’assurance, de portefeuille et de consommation sont analysées conjointement dans un cadre à la Merton (1969, 1971). Des solutions explicites sont dérivées dans le cas d’une fonction d’utilité isoélastique. Il apparaît que les propriétés de la demande optimale d’assurance sont bien plus complexes que ne le laissent supposer certaines récentes contributions.

Des modèles de plus en plus complexes par Agnès Sulem. Forces et faiblesses des mathématiques financières, entretien avec Éric Briys, propos recueillis par Dominique Chouchan.

National audienceNon seulement les organismes financiers se disputent les meilleurs mathématiciens mais la finance est devenue source de problèmes théoriques inédits en mathématiques

Credo Ut Intelligam

Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets