Les SCOR Papers sont une collection d’articles scientifiques éditée par SCOR sur des questions liées au risque et à l’assurance.



scorpapers7#39 | Décembre 2016
A General Framework for Modeling Mortality to Better Estimate its Relationship to Interest Rate Risks
Michel Dacorogna and Giovanna Apicella

The need for having a good knowledge of the degree of dependence between various risks is fundamental for understanding their real impacts and consequences, since dependence reduces the possibility to diversify the risks. This paper expands in a more theoretical approach the methodology developed in [6] for exploring the dependence between mortality and market risks in case of stress. In particular, we investigate, using the Feller process, the relationship between mortality and interest rate risks. These are the primary sources of risk for life (re)insurance companies. We apply the Feller process to both mortality and interest rate intensities. Our study cover both the short and the long-term interest rates (3m and 10y) as well as the mortality indices of ten developed countries and extending over the same time horizon. Specifically, this paper deals with the stochastic modelling of mortality. We calibrate two different specifications of the Feller process (a two-parameters Feller process and a three-parameters one) to the survival probabilities of the generation of males born in 1940 in ten developed countries. Looking simultaneously at different countries gives us the possibility to find regularities that go beyond one particular case and are general enough to gain more confidence in the results. The calibration provides in most of the cases a very good fit to the data extrapolated from the mortality tables. On the basis of the principle of parsimony, we choose the two-parameters Feller process, namely the hypothesis with the fewer assumptions. These results provide the basis to study the dynamics of both risks and their dependence.


scorpapers7#38 | Avril 2016
Explicit diversification benefit for dependent risks
Michel Dacorogna, Laila Elbahtouri and Marie Kratz

We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing techniques, we provide an explicit formula for the probability density function of the portfolio. These techniques allow to compute analytically risk measures as VaR or TVaR, and consequently the associated diversification benefit. The explicit formulas constitute ideal tools to analyse the properties of risk measures and diversification benefit. We use standard models, which are popular in the reinsurance industry, Archimedean survival copulas and heavy tailed marginals. We explore numerically their behavior and compare them to the aggregation of independent random variables, as well as of linearly dependent ones. Moreover, the numerical convergence of Monte Carlo simulations of various quantities is tested against the analytical result. The speed of convergence appears to depend on the fatness of the tail; the higher the tail index, the faster the convergence.


scorpapers7#37 | Mars 2016
Modèle ALM : Apport de la Logique Floue dans la modélisation des comportements
Sylvain Detroulleau et Sandrine Mouret

Les réformes introduites par Solvabilité 2 préconisent une nouvelle manière de valoriser le bilan des sociétés d’assurance. Les actifs et passifs sont désormais évalués selon le principe de la « juste valeur » : les actifs sont calculés en valeur de marché tandis que les passifs sont estimés selon le « Best Estimate ». En assurance vie, et plus particulièrement dans le secteur de l’épargne, il est nécessaire de modéliser l’ensemble des interactions possibles entre le portefeuille d’actifs et celui de passifs. Les modèles ALM (Asset Liability Management) visent à projeter l’intégralité de ces interactions, en intégrant au-delà des hypothèses financières et techniques, des hypothèses de comportements des assurés et du management. Ces lois comportementales, telles que les lois de rachats pour les assurés et la politique de taux servis pour le management, peuvent soulever des difficultés quant à leur calibrage, leur modélisation et plus largement leur justification.

Compte tenu de l’impact structurant des lois comportementales dans l’évaluation du Best Estimate, l’objectif de notre étude est de proposer une modélisation alternative aux modélisations des lois comportementales traditionnellement implémentées dans les modèles ALM. Nous nous sommes intéressés à une théorie fondée sur la logique humaine et largement éprouvée dans d’autres secteurs d’activités comme l’industrie : la logique floue.

Au cours de notre étude, nous modélisons par la logique floue le comportement des assurés en matière de rachats conjoncturels et celui des assureurs en ce qui concerne l’objectif de taux servis. Le modèle construit permet d’aboutir à une décision chiffrée tout en simulant une réflexion humaine où les critères sont exprimés de façons linguistiques. Nous aboutissons à des résultats encourageants. Nous démontrons que l’approche floue permet à la fois de justifier et généraliser la fonction de rachats conjoncturels de l’ACPR et, qu’une modélisation floue de la politique de taux servis allie optimisation et représentation réelle de la politique du management.




scorpapers7#36 | Février 2016
Spatial Risk Measures and Applications to Max-Stable Processes
Erwan Koch

The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from environmental events into the measure of the risk. We develop a new concept of spatial risk measure, based on the spatially aggregated loss over the region of interest, and propose an adapted set of axioms which quantify the sensitivity of the risk measure with respect to space and are linked to spatial diversification in particular. In order to model the loss underlying our definition of spatial risk measure, we apply a damage function to the environmental variable considered. In our examples, the latter is assumed to follow a max-stable process, very well suited to the modeling of extreme spatial events. The damage function considered is adapted to heatwaves. The theoretical properties of the resulting examples of spatial risk measures are studied and some interpretations in terms of insurance are provided.


scorpapers7#35 | Janvier 2016
The Globalization of Infectious Diseases
Stephen Morse et Patrick Zylbermann

In a globalized world with rapidly evolving ways of life, the monitoring of emerging infectious diseases is becoming even more important. Recent epidemics, such as HIV/AIDS, SARS and H1N1, highlight patterns of emergence and propagation that will likely be repeated. Only strict monitoring and strong action can help to prevent the occurrence of an event such as the 1918 flu.


scorpapers7#34 | Novembre 2015
A Change of Paradigm for the Insurance Industry
Michel Dacorogna 

In this paper we review changes in the insurance industry due to new risk-based regulations such as Solvency 2 and SST. The move from corporate management based on cash-flow to risk-based management is described and discussed through its consequences on capital management, economic valuation and the internal model. We discuss the limits and difficulties of Enterprise Risk Management and its effect on the organisation of companies and the role of actuaries in insurance. The risk/return relationship is becoming a central element of the company’s management, slowly supplanting the traditional accounting view.


#33 | Avril 2015
Exploring the Dependence between Mortality and Market Risks
Michel Dacorogna et Meitner Cadena

#32 | Mars 2015
An Integrated Notional Defined Contribution (NDC) Pension Scheme with Retirement and Permanent Disability
Manuel Ventura-Marco et Carlos Vidal-Meliá


#31 | Janvier 2015
The use of economic scenarios generators in unstable economic periods
Hervé Fraysse

#30 | Septembre 2014
Explicit Föllmer-Schweizer decomposition of life insurance liabilities through Malliavin calculus
Sébastien de Valeriola

#29 | Septembre 2014
A game-theoretic approach to non-life insurance market cycles
Christophe Dutang

#28 | Février 2014
Solar storms and their impacts on power grids Recommendations for (re)insurers
Romain Launay

#27 | Octobre 2013
Are great earthquakes clustered?
Guillaume Ominetti

#26 | Septembre 2013
The risk-free rate: an inescapable concept?
Michel Dacorogna et Jérôme Coulon

#25 | Juillet 2013
Financial Valuation in a Volatile Scenario of the Guaranteed Minimum Withdrawal Benefit (GMWB) Policy
Mariangela Scorrano

#24 | Mai 2013
Does risk diversification always work? The answer through simple modelling
Marc Busse, Michel Dacorogna et Marie Kratz 

#23 | Mai 2013
A new Dividend Strategy in the Brownian Risk Model
Marco Ehlscheid 


#22 | Avril 2013
Non-Life Insurance Market Growth in China: Can we predict it?
Shinichi Kamiya

#21 | Février 2013
Surrender analysis in a segregated fund

Marco Longo

#20 | Juin 2012
How Long Will We Live? A Demographer’s Reflexions on Longevity
James W. Vaupel

#19 | Mai 2012
Microscopic longevity modeling and its practical applications
Harry Bensusan

#18 | Mars 2012
Market Value Margin: Practical calculations under the Solvency II Cost of Capital approach

Mouna Daya-Viossat

#17 | Octobre 2011
EU regulation of greenhouse gas emissions: what solutions can insurance companies offer industry?

Cedric Wells

#16 | Juin 2011 
A new method for modeling dependence via extended common shock type model
Alessandro Ferriero

#15 | Mai 2011
Pourquoi les Français ne souscrivent pas davantage de contrats d’assurance dépendance ?

Manuel Plisson

#14 | Avril 2011
Modélisation du risque opérationnel dans le secteur de l’assurance 

Julie Gamonet

#13 | Mars 2011
Preparing for Solvency II: Points of debate in the Standard Formula

Michel M. Dacorogna, Ecaterina Nisipasu et Mathieu Poulin  

#12 | Décembre 2010 
Etude de l’impact de l’inflation et de la croissance du PIB sur l’évolution des primes en asssurance IARD et en assurance Vie sur les 30 dernières années : cas des pays du G7 
Catherine Bruneau

#11 | Décembre 2010
Le risque de développement 

Patrick Thourot

#10 | Décembre 2010
PrObEx: A new method for the calibration of copula parameters from prior information, observations and expert opinions
Philipp Arbenz et Davide Canestraro

#9 | Décembre 2010
Le Vieillissement : un phénomène global 

Philippe Trainar

#8 | Mars 2010
Principle-based solvency: A comparison between Solvency II and the Swiss Solvency Test

Michel Dacorogna et Philippe Keller

#7 | Mars 2010
The Influence of Risk Measures and Tail Dependencies on Capital Allocation
Michel Dacorogna et Davide Canestraro

#6 | Janvier 2010
De la nécessité d’adapter la réglementation sur la solvabilité en période de crise et d’accepter les risques inhérents à la situation 

Jean-Luc Besson, Michel Dacorogna et Philippe Trainar
EN | FR | DE

#5 | Juillet 2009
Securitization, Insurance and Reinsurance
J. David Cummins et Philippe Trainar 

#4 | Mars 2009
Modern companies and extreme risks

Denis Kessler

#3 | Décembre 2008
Valorisation dans l’assurance et crise financière 

Philippe Trainar

#2 | Août 2008
La bancassurance généralisation ou déclin du modèle ?
Philippe Trainar

#1 | Septembre 2008
Allocation de capital : cap sur la rentabilité du portefeuille
Jean-Luc Besson, Michel Dacorogna, Paolo de Martin, Michael Kastenholz et Michael Moller
EN | FR | DE


SST Book

From Principle Based Risk Management to Solvency Requirements

SCOR has traditionally been a strong proponent of advanced risk management methods and models in the insurance industry.

In the book “From Principle-based Risk Management to Solvency Requirements", SCOR specialists describe over five hundred pages how the company models risks according to the requirements of the Swiss Solvency Test (SST), which is based on concepts very similar to the ones set forth by Solvency II.

Beyond the regulatory requirements, the understanding of the concepts involved as well as the results of the comprehensive risk modelling process are essential in all sectors and are vital to the development of a coherent Enterprise Risk Management (ERM) process.

The understanding of the ERM process allows companies to optimally allocate the capital necessary for their business and to devise a comprehensive, successful and coherent risk strategy.

SCOR is happy and proud to share its state-of-the-art modelling approach with different communities: academic, regulators, actuaries, clients and other interested parties.





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