AUBIN, Jean-Pierre; CHEN, Luxi; DORDAN, Olivier; FALEH, Alaeddine; LEZAN, Guillaume; PLANCHET, Frédéric

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AUBIN, Jean-Pierre
Centre de recherche en épistémologie appliquée [CREA]

CHEN, Luxi

DORDAN, Olivier
Institut de Mathématiques de Bordeaux [IMB]

Langue

Article de revue

Ce document a été publié dans

Bulletin Français d'Actuariat. 2012, vol. 12, n° 23, p. 59-95

Institut des Actuaires

Résumé en anglais

Unlike traditional valuation methods, viability theory provides tools for eradicating the risk, by determining the minimum initial capital that would meet the commitments of the investor, regardless market developments. In this study, we compare two approaches to risk assessment within a framework of asset-liability management (ALM) of a guaranteed fund. The optimal allocation of assets for such funds is determined initially by the classical portfolio insurance (thus with a statistical evaluation of risk) and then in a second step, by tools of viability theory. Although the results from the two approaches are not strictly comparable in terms of numerical point of view (as in both cases the goals are different in nature), this study offers, on a practical example of ALM management, two radically different philosophies: one is the statistical evaluation of risk, based on probabilistic models, while the other one eradicates risk, using viability theory.< Réduire

Mots clés en anglais

Asset-Liability Management

Portfolio Insurance

Viability Theory

Risk Assessment

Guaranteed Viability Kernel

Tychastic Systems

URI

https://oskar-bordeaux.fr/handle/20.500.12278/189847

Projet Européen

Sensitivity Analysis for Deterministic Controller Design

Origine

Importé de hal

Unités de recherche

Institut de Mathématiques de Bordeaux (IMB) - UMR 5251