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Article Dans Une Revue (Article De Synthèse) European Actuarial Journal Année : 2015

Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?

Xavier Guerrault
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Résumé

An aggregation method adapted to life insurance portfolios is presented. We aim at optimizing the computation time when using Monte Carlo simulations for best estimate liability calculation. The method is a two-step procedure. The first step consists in using statistical partitioning methods in order to gather insurance policies. The second step is the construction of a representative policy for each aforementioned groups. The efficiency of the aggregation method is illustrated on a real saving contracts portfolio within the frame of a cash flow projection model used for best estimate liabilities and solvency capital requirements computations. The procedure is already part of AXA France valuation process.
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Dates et versions

hal-01080185 , version 1 (04-11-2014)
hal-01080185 , version 2 (12-01-2015)

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Pierre-Olivier Goffard, Xavier Guerrault. Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?. European Actuarial Journal, 2015, 5 (1), pp.165-180. ⟨10.1007/s13385-015-0106-7⟩. ⟨hal-01080185v2⟩
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