A Reduced-Form Model for A Life Insurance’s Net Asset Value

International audienceIn this paper we develop a closed-form model for the net asset value of a life insurance portfolioaimed at simplifying the assessment and quantification of the impact of financial stress scenarioson the insurer’s solvency. In fact, using the current practice based on an internal model is timeconsuming and thus it is not relevant when it comes to carry out sensitivity studies that should require rapid action from the management. Due to the nature of the stress scenarios that are mostly related to the financial market determinants, their impact is quite straightforward on the market value of financial assets. Therefore, in this paper, we focus on the distortion caused on the liability side and investigate a reduced-form model for the best estimate liabilities that is not only easily interpretable but also capable of anticipating market variation impact in the liabilities. The model is built based on a dataset drawn from a French life insurer’s projection model using single, double and triple shocks on the interest rates yield curve, equity market value and profit sharing provision.In order to capture as much information as possible from the dataset, several feasible regression specifications are used. The general form of the empirical model is specified as a linear combination of the risk factors and its predictive ability is investigated based using an out-of-sample analysis

Paléoenvironnements et diagénèse dans un réservoir gréseux d'âge crétacé du Fossé de la Bénoué au Nord Cameroun (les grès de Garoua)

Le fossé de la Bénoué qui débute au niveau du golfe de Guinée se divise en deux branches dans sa partie septentrionale: la branche de Gongola qui va jusqu au Niger et la branche de Yola-Garoua qui se prolonge en territoire camerounais et dans laquelle de part et d autre du fleuve Bénoué se trouvent les buttes de grès dits grès de Garoua . En dépit de son importance en termes de réservoir, les travaux antérieurs, très peu nombreux dans la partie camerounaise, n ont pas souligné les paléoenvironnements, la lithologie, la minéralogie, les événements diagénétiques et les déformations ayant affecté ces grès. Des études faciologiques, pétrographiques, minéralogiques et géochimiques y ont été conduites afin de reconstituer les paléoenvironnements de dépôts à partir des informations tirées de la succession lithologique, de caractériser les différentes sources d apports, d évaluer l intensité les processus d altération chimique ayant affecté ces grès depuis la sédimentation et enfin de dresser un répertoire des événements et mécanismes des processus majeurs de la diagenèse. Sur le plan faciologique, il s agit des quartz-wacke pour la plupart associés à une faible proportion d arkosique wacke et de mudstone, issus de blocs continentaux matures et immatures et de formations orogéniques recyclées. Ces faciès consolidés sont à stratifications entrecroisées et/ou obliques avec une alternance de niveaux grossiers et fins souvent intercalés par des lits de conglomérats plus épais dans les chenaux. Les niveaux argileux laminés de faible épaisseur se retrouvent sous forme de lentilles et de galets mous ou simplement en lits fins intercalés dans les grès grossiers. Les éléments figurés sont pour la plupart constitués de quartz, de feldspath de micas, de minéraux lourds (zircon, rutile ) et des fragments de roche du socle (granite) dans les conglomérats. Les phénocristaux sont pour la plupart sub-émoussés tandis que les cristaux plus petits sont sub anguleux à anguleux. Les quartz et les feldspaths potassiques (microcline avec des reliques de macles polysynthétiques encore conservées dans certains cas) sont ubiquistes dans la plupart des secteurs étudiés. On note l absence de feldspaths dans les secteurs de Tinguelin, Douli et Mourbeli. La série est traversée par des roches volcaniques et des intrusions plutoniques et repose de façon discordante sur le socle granitique visible à Hosséré Tinguelin dans la partie Nord du bassin. Les lithofaciès décrits ici traduisent l évolution des paléoenvironnements de type fluviatile sous influence tidale. Les évènements diagénétiques recensés en pétrographie intègrent la compaction (contacts entre les grains de quartz), la cimentation (carbonate, silice et hématite), la dissolution des feldspaths, la transformation et la néoformation de certains minéraux argileux (kaolins et illites) et la micro-fracturation. La présence d oxydes de fer dans les micro- fractures et autour des éléments figurés ainsi que les surcroissances de quartz attestent la circulation des paléofluides dans les sédiments au cours de la diagenèse. L analyse des éléments majeurs, mineurs et traces montrent que les grès de Garoua ont été alimentés par des produits d érosion d un socle granito-gneissique appartenant à une marge passive donc la composition est celle des roches acides ou felsiques et qui ont donné des wackes, des arkoses, des litharénites et de grès ferrugineux parcourus par des fluides chauds au cours de la diagenèse. La porosité primaire est réduite par la calcite, la silice et les minéraux argileux par dissolution des feldspaths. Cette dissolution, ainsi que la corrosion des quartz et la fracturation sont responsables de la mise en place de la porosité secondaire. La présence de la smectite dans les secteurs à activité volcanique a un lien possible avec ce volcanisme. L illitisation des kaolinites bien que discrète, la dissolution des feldspaths partielle ou totale, les contacts entre les grains de quartz (plans, concavo-convexes plus ou moins stylolithiques) ainsi que la présence de la dickite sont révélateurs d une diagenèse d enfouissement. Ceci montre que les grès de Garoua ont atteint probablement un stade avancé de la diagenèse avant de connaître à nouveau une diagenèse d exhumation avec des phénomènes d oxydation et de kaolinisation généralisés. Ces observations confortent l hypothèse d un taux d enfouissement relativement important pour un gradient géothermique moyen avec des températures avoisinant les 100 C.The Benue Basin is the northern bifurcated extremity of the Golf of Guinea. The Gongola arm extends into Niger, while the Yola arm prolongs into the Cameroonian Territory aligned with present existing sedimentary buttes (Garoua sandstones) protruding on either side of the Benue River. Little work has previously as been carried out with regards to its reservoir importance. Meanwhile, neither lithological, diagenetic nor deformation of these sandstones been studied. Faciological study, petrography, mineralogy and geochemistry have led on one hand in order to rebuild paleoenvironments of deposits based on information derived from the lithological succession, to characterize the different terrigenous sources with the aim to evaluate the intensity of chemical weathering processes that have affected these sandstones since their sedimentation, and finally, on the other hand to develop an inventory of events and major diagenetic processes. These include well consolidated, planar cross-stratified wacke, arkosic wacke and mudstone coming from mature and immature continental blocks and recycled orogenic formations. These facies are consolidated to cross-bedding and / or oblique with alternating coarse and fine levels often interspersed by thicker beds of conglomerates in channels. Thin argillaceous beds are found interbedded with coarsed-grained sandstones. The most frequent sediment clasts constitute quartz, feldspars and basement fragments within conglomerates. The phenocrysts are quite often sub-rounded, while smaller clasts are often angular to subangular (heteroclastic). Quartz and potassic feldspars (microcline with polysynthetic twins is still visible in some cases) are widespread in some sedimentary butte vestiges, while feldspars in other cases exist as traces. The series is cross-cut by volcanic rocks and magmatic intrusions. These sandstones are deposited unconformably on a granitic basement that is visible at Hossere Tinguelin found in the northern part of the basin. The lithofacies described here depict fluviatile-type of palaeoenvironments. The diagenetic events diagnosed from petrographic studies incorporate compaction, cementation (authigenic carbonate and silica), dissolution of feldspars, transformation and neoformation of some clay minerals (Kaolin and Illite) and fracturing. The presence of iron oxy-hydroxides within some facies and along microfractures, quartz overgrowth and hematite attests the circulation of palaeofluids within the sediments during diagenesis. Analysis of major, minor and trace elements show that Garoua sandstones were fueled by acidic or felsic rocks products coming vi from granite and gneissic basement belonging to a passive margin and have given wackes, arkoses, litharénites and ferruginous sandstone passed through by hot fluids during diagenesis The occurrence of interstitial calcite, silica and hematite has greatly contributed in the reduction of primary porosity. The dissolution of feldspars, corrosion of quartz and fractures has enhanced secondary porosity and neo-formation of kaolinite. The occurrence of smectite within the volcanic areas shows a possible link with volcanism. Neoformation of illites from kaolinites and the appearance of dickite reveal a higher diagenetic intensity. More of quartz with planar, convexo-concave to more or less stylolithic grain contacts compared to the absence of feldspars that have totally been dissolved or transformed in some formations shows that the Garoua Sandstones have attained a higher stage of diagenesis prior to a new diagenetic phase of exhumation with the phenomenon of oxidation and generalized kaolintisation. These observations support the hypothesis of a considerable burial depth with an average geothermal gradient at temperatures close to 1000C.POITIERS-BU Sciences (861942102) / SudocSudocFranceF

Hydrocarbon potential, palynology and palynofacies of four sedimentary basins in the Benue Trough, northern Cameroon

Organic geochemical, palynological and palynofacies analyses were carried out on 79 selected samples from four sedimentary basins (Mayo-Rey, Mayo-Oulo-Lere, Hamakoussou and Benue) in northern Cameroon. Rock-Eval pyrolysis and Total Organic Carbon results indicate that most of the samples of the studied basins are thermally immature to mature. The organic matter consists of terrestrial components (peat, lignite, bituminous coal, and anthracite) associated with organic matter of marine origin. Based on the appraisal of multiple parameters: Total Organic Carbon (TOC), maximum Temperature (T-max), Hydrogen Index (HI), Oxygen Index (OI) and Production Index (PI), some samples are organically rich both in oil and/or gas-prone kerogen Type-II, II/III and III. The source rock quality ranges from poor to very good. The source material is composed of both algae and higher plants. Samples from these basins yielded palynological residue composed of translucent and opaque phytoclasts, Amorphous Organic Matter (AOM), fungal remains, algal cysts pollen and pteridophyte spores. Abundance and diversity of the palynomorphs overall low and include Monoporopollenites annulatus (¼ Monoporites annulatus), indeterminate periporate pollen, indeterminate tetracolporate pollen, indeterminate tricolporate pollen, indeterminate triporate pollen, indeterminate trilete spores, Polypodiaceoisporites spp., Biporipsilonites sp., Rhizophagites sp., Striadiporites sp., Botryococcus sp. (colonial, freshwater green algae), and Chomotriletes minor (cyst of zygnematalean freshwater green algae). Age assigned confidently for all these basins the palynological data except for one sample of Hamakoussou that can be dated as Early to Mid- Cretaceous in age. Callialasporites dampieri, Classopollis spp., Eucommiidites spp. and Araucariacites australis indicate, an Aptian to Cenomanian age. The other pollen and spores recovered may indicate a Tertiary or younger age (especially Monoporopollenites annulatus), or have arisen from modern contamination. Geochemical data show that sediments are wackes, arkose, iron-sandstone and ironshale. The Chemical Index of Alteration (CIA-K) is low moderate to high, suggesting a shorter exposure time and fast erosion and transport. The studied sequences cover various depositional settings ranging from wetlands to dry environment inside island arc, passive margin or active continental margin. This study reveals new data and the economic potential of this part of Cameroon