This PhD focuses on computing solvency capital requirement on multi-year time horizon of savings contracts in life insurance.
This computation requires nested simulations for each year of the planning horizon.
This task is computationally intensive and becomes prohibitive for long term contracts.
The objective of the Phd is firstly to set up a tractable and relevant Asset and Liability model for practitioners, then investigate new methods to compute the solvency capital in this framework.
This work is planned to be relevant for ALM and risk management purpose.
CERMICS, École Nationale des Ponts et Chaussées
6 et 8, av. Blaise Pascal
Cité Descartes - Champs-sur-Marne
77455 Marne-la-Vallée cedex 2