Provisionnement non vie
Provisionnement non-vie
Support de cours 2008-2009
Méthodes déterministes
Laurent Devineau [email protected]
1
PARTIE I – METHODES DETERMINISTES …………………………………………………………………………………….. 4INTRODUCTION………………………………………………………………………………………………………………………………. 4 REGLEMENTATION ……………………………………………………………………………………………………………………………. 4 METHODES D’EVALUATION DE LA PROVISION DE SINISTRES ……………………………………………………………………. 6 METHODES STATISTIQUES………………………………………………………………………………………………………………….. 6 CHAPITRE 1. NOTATIONS – PROBLEMATIQUE …………………………………………………………………………… 8 NOTATIONS – EXEMPLE……………………………………………………………………………………………………………………… 8 PROBLEMATIQUES…………………………………………………………………………………………………………………………… 11 FACTEURS DE DEVELOPPEMENT, CADENCES DE REGLEMENT …………………………………………………………………. 12 INFLATION-TRIANGLE REGULIER………………………………………………………………………………………………………. 13 CHAPITRE 2. PRESENTATION DES METHODES DETERMINISTES ………………………………………….. 14 METHODES DE CHAIN LADDER …………………………………………………………………………………………………………. 14 Méthode de Chain Ladder standard……………………………………………………………………………………………… 14 Validation du modèle………………………………………………………………………………………………………………….. 15 Méthodes de chain ladder pondérées ……………………………………………………………………………………………. 15 METHODES AUTO-REGRESSIVES………………………………………………………………………………………………………… 16 Méthode London Chain ………………………………………………………………………………………………………………. 16 Méthode London Pivot………………………………………………………………………………………………………………… 17 METHODES BASEES SUR LES LOSS RATIOS…………………………………………………………………………………………… 18 Introduction ………………………………………………………………………………………………………………………………. 18 Loss ratiosimple………………………………………………………………………………………………………………………… 19 Loss ratio complémentaire(complementary loss ratio) ……………………………………………………………………. 19 Méthode Cape Cod (Bühlmann-Stanard) ………………………………………………………………………………………. 19 Méthode de Bornhuetter-Ferguson, extensions………………………………………………………………………………. 20
Méthode……………………………………………………………………………………………………………………………………………….. 20 Extensions ……………………………………………………………………………………………………………………………………………. 20…