Gestion d’actif en assurance vie

Nabila Hamdoun1,  Fouad Marri2, Elallali Rachid3, Driss Mentagui4

(1,2,3). Institut National de Statistique et d’Economie Appliquée, BP 6217, Madinat Al Irfane, Rabat-Instituts, 10100, Rabat, Maroc

(4). Ibn Tofail University, Faculty  of Sciences, Laboratory of Operations Research and Statistics,  Département of Mathématics, Kénitra City, Morocco



Asset Management, in a life insurance company, has the goal to identifying and measuring the risk of asset / liability and proposing decisions to maintain risks within limits.

The implementation of stochastic simulations in an asset management model is one of the possibilities to allow a precise analysis of the risks incurred.

The purpose of this article is to determine the contribution of stochastic simulations in terms of risk information in Asset modeling. Thus, for a good control of the risks involved, insurance companies must develop more efficient models to control assets reliably, in order to cover their liabilities.

This study has three parts. The first is devoted to the presentation of the general framework of work as well as the problematic of the use of classical (deterministic) models.

The second part proposes a stochastic modeling of the interest rate curve by the Vasicek and CIR model, as well as that of the shares by Black and Scholes and RSNL-2, through which the elements of the Asset are valued in the last part.

Finally, this study enabled us to establish a projection of the asset over a given horizon using the tools analyzed and detailed in the previous sections.








International eJournal of Mathematics and Engineering
7, Issue
4, Pages:  102 - 140