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Rentes en cours de service : un nouveau crit'ere d'allocation d'actif | | Frédéric Planchet
; Pierre-Emanuel Thérond
; | | Date: |
12 Jan 2010 | | Abstract: | The aim of this paper is to compare two asset allocation methods for a
pension scheme during the decumulation phase in the simplified portfolio
selection between a risky asset following a geometric Brownian motion and a
riskless asset. The two asset allocation criteria are the ruin probability of
the insurance company and the optimization of the economic capital. We first
solve the asset allocation problem with deterministic pension payments then
with stochastic mortality risk. We analyze the part of mortality risk in the
global risk of the company. Then we show the impact of the indexation of the
pensions to the inflation on the asset allocation. | | Source: | arXiv, 1001.1914 | | Services: | Forum | Review | PDF | Favorites | |
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