Gestion d’actif en
Hamdoun1, Fouad Marri2, Elallali Rachid3, Driss
(1,2,3). Institut National de Statistique et
d’Economie Appliquée, BP 6217, Madinat Al Irfane, Rabat-Instituts, 10100,
(4). Ibn Tofail
University, Faculty of Sciences,
Laboratory of Operations Research and Statistics, Département of Mathématics, Kénitra City,
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.
implementation of stochastic simulations in an asset management model is one of
the possibilities to allow a precise analysis of the risks incurred.
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.
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
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.
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.