The shift in insurance institutions’ investment flows to the benefit of the French general government and banking sector, which had started in 2010, gained traction in 2011. In addition, the proportion of short-term securities increased.

In 2012, insurers refocused their investments on France and benefited from strong performances by debt securities and equities.

An analysis of the composition of insurance companies’ portfolios at end-2010 points to the start of a shift in their investments to securities issued by domestic institutions and to a lengthening of the average maturity of their investments in bonds.

In this paper, the problem of partial hedging is studied by constructing hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio. Two dual versions of the problem are considered: minimization of CVaR with the initial wealth bounded from above, and minimization of...

In this paper,11Version of 2012/07/08. we are interested in the optimization of computing time when using Monte-Carlo simulations for the pricing of the embedded options in life insurance contracts. We propose a very simple method which consists in grouping the trajectories of the initial...

In 2010, the recovery in lending largely benefited households. The levels of indebtedness non-financial sectors reached a new high.

The introduction of the euro enabled French insurance companies to broadly diversify their investments in foreign debt securities, mainly issued by residents of other euro area countries. Their investments in equities, however, have been affected over the past two years by strong market volatility.