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Groupe de Recherche ANgevin en Économie et Management

Séparés par des virgules

Séminaire des doctorants



Runsheng GU

Titre : Portfolio optimization of euro-denominated funds in French life insurance (Working paper)

Présentation en anglais de ce document de travail, co-écrit avec ses directeurs de thèse.


In this article, we study a portfolio optimization problem related to euro-denominated funds by life insurance companies. In a persistent low-interest-rate environment, the conditions under which the life insurance business operates are modified. To continue to offer a favorable return to the insured, life insurers should allocate more risky assets to their portfolio. But, doing so, they would be exposed to not being able to guarantee the capital. Besides, the maturity of the life insurance market creates potential conditions for massive withdrawals. This research addresses those risk exposures by applying ruin theory and risk models, and then derives formulae for the first two moments of the income of a life insurance company. The authors solve the maximization of the expectation of the income of a life insurance company under the constraints of ruin probability and obtain the optimal investment strategy using the upper estimation of this probability. The sensitivity analysis and numerical results show that the optimal asset allocation strategies can differ considerably for small changes in certain parameters: interest rate, probability of insolvency, guaranteed capital level, and premium rate.


Le jeudi 1er Avril 2021 , de 13h00 à 14h00, sur Teams.