In this paper we study the asset-liability management of an insurance company selling “participating contracts”. Participating contracts are typical insurance policies sold worldwide.The payoff of a participating policy is linked to the portfolio or the surplus of the insurance company. We...

The ability of standard executive stock options to incite managers to adequately select the assets of their firm has been extensively questioned by academics and practitioners. However, very few alternatives exist or have been proposed to better control the investment strategies of top managers....

This article displays a study of the mutual insurance of bank deposits. A system where deposits are first insured by a consortium then by the Government is envisaged. We wish to compute the fair premia due to both the consortium and the Government. Various types of covenants aiming at making...

This paper develops a general valuation approach to price barrier options when the term structure of interest rates is stochastic. These products' barriers may be constant or stochastic, in particular we examine the case of discounted barriers (at the instantaneous interest rate). So, in...

In this article, we propose a new method to price numerically Parisian options by inversion of Laplace transform. We compare this method to other more traditional approaches (Monte-Carlo simulations and partial differential equation solving). We show that this method converges more rapidly and...

The purpose of this article is to value some life insurance contracts in a stochastic interest rate environment taking into account the default risk of the underlying insurance company. The participating life insurance contracts considered here can be expressed as portfolios of barrier options...

French Abstract: Ce « point sur… » propose un tour d'horizon sur une classe d'options relativement peu connues mais aux applications très prometteuses : les options parisiennes. Après une description de ces produits, nous en détaillons les emplois dans les cadres de l'assurance des...

This study is devoted to the calculation of appropriate premia and loadings for participating contracts. Our analysis aims at extending the ideas of Buehlmann [2004], and is sequencing the fundamental works of Merton [1974], Longstaff and Schwartz [1995], Briys and de Varenne [1994, 2001]....

The purpose of this article is to design and price a new type of participating life insurance contract. Participating contracts are popular in the US and in European countries; they satisfy various covenants and obey various regulations depending on the country where they are issued. The...

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...