ACADEMIC ARTICLES

Immunization Bounds, Time Value and Non-Parallel Yield Curve Shifts
by Geoffrey Poitras                                                                          

Mesure de l’incertitude tendancielle sur la mortalité – Application à un régime de rentes en cours de service
by Frédéric Planchet et Marc Juillard                                                  

PROFESSIONAL ARTICLES

Les pratiques de gestion des risques financiers à Hydro-Québec : un survol des dix dernières années
by Simon Lalancette                                                                         

Étude de satisfaction des « clients » d’un organisme gestionnaire d’assurance maladie au Maroc
by Ebrahim Kerak, Abdelouahid El Massaoui, Abdelouahid Imlahi et Said Barrijal  

Une approche locale de la gestion des sinistres graves en assurance automobile
by Michel Grun-Rehomme, Noureddine Benlagha, Olga A. Vasechko 431

Propos sur les régimes de retraite : L’investissement axé sur le passif – Le visage changeant des lois en matière de régimes de retraite au Canada
by Groupe-conseil Aon                                                                     

Current Events
under the responsibility of Rémi Moreau

1. Les ouragans Dean et Félix, les deux premiers de la saison cyclonique de 2007 dans l’Atlantique – 2. Un débat : les événements cycloniques sont-ils de nature cyclique ou anthropique ? – 3. Inondations : l’état d’urgence de juillet 2007 dans
plusieurs États européens et asiatiques – 4. Juillet japonais meurtrier : le séisme de la région de Niigata – 5. Violent séisme au Pérou – 6. Feux dévastateurs en Grèce – 7. Un airbus A-320 rate son atterrissage sur l’aéroport de Sao Paulo –
8. L’effondrement du pont de Minneapolis – 9. Le conflit d’assurance du World Trade Center finalement résolu – 10. Un autre type de litige lié au World Trade Center, celui des accidentés au travail sur le site de Ground Zero – 11. La Loi sur les valeurs mobilières du Québec sera modifiée – 12. Contrôles routiers (Québec, Ontario) – 13. Les dons planifiés au Québec 14. Les taxes étatiques imposées aux assureurs américains – 15. La prime d’assurance auto au kilomètre, une nouvelle réalité – 16. Une assurance contre les amendes pour excès de vitesse au Danemark! – 17. S’assurer contre le monstre du Loch Ness est possible! – 18. L’AFA, une voie commune de l’assurance en France – 19. Topaz, une nouvelle police française d’assurance responsabilité contre les atteintes à l’environnement – 20. Rendez-vous de septembre 2007    

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The Great-West Life

Immunization Bounds, Time Value and Non-Parallel Yield Curve Shifts
by Geoffrey Poitras

Since Redington (1952) it has been recognized that classical immunization theory fails when shifts in the term structure are not parallel. Using partial durations and convexities to specify immunization bounds for non-parallel shifts in yield curves, Reitano (1991a,b) extended classical immunization theory to admit non-parallel yield curve shifts, demonstrating that these bounds can be effectively manipulated by adequate selection of the securities being used to immunize the portfolio. By exploiting properties of the multivariate Taylor series expansion of the fund surplus value function, this paper extends this analysis to include time values, permitting a connection to results on the time value-convexity tradeoff. Measures of partial duration, partial convexity and time value are used to investigate the generality of the duration puzzle identified by Bierwag et al. (1993) and Soto (2001).

Keywords: Yield curve, immunization theory, duration, convexity.

Mesure de l’incertitude tendancielle sur la mortalité – Application à un régime de rentes en cours de service
by Frédéric Planchet et Marc Juillard

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic prospective tables thus built make it possible to project the evolution of the random mortality rates in the future and to quantify the systematic risk of mortality.

Keywords: Prospective tables, extrapolation, adjustment, life annuities, stochastic mortality.

Les pratiques de gestion des risques financiers à Hydro-Québec : un survol des dix dernières années
by Simon Lalancette

This paper reports the risk management practices that have been implemented at the Treasury of Hydro-Québec over the last ten years. The starting point consists of a risk management approach based on the concept of risk integration which, in turn, depends on the existence of anticipated risk premia. Through the years, many significant contributions were added to the basic approach. The recent flattening of the relevant term structure has considerably reduced the magnitude of the risk premia. As a result, a more passive approach has been favored.

Keywords: Risk management practices, financial risks, integrated risk management.

Étude de satisfaction des « clients » d’un organisme gestionnaire d’assurance maladie au Maroc
by Ebrahim Kerak, Abdelouahid El Massaoui, Abdelouahid Imlahi et Said Barrijal

This article purports to present the results of a survey satisfaction and assessment of the quality of the services offered by an administrative organism of health insurance in Morocco. The study attempts to identify both present and future needs of the customers, in an attempt to suggest ways of continuously improving the quality of the services offered by these organisms in Morocco. In order to meet the foregoing objectives, a questionnaire is randomly administered to a group of people who benefit from an insurance service. The data obtained is analysed by means of a software program: Sphinx Lexica 2000. The results indicate a significant dissatisfaction rate among the customers. The dissatisfaction rate spans accessibility (60.4%), organization (58.9%), techno-professional (67%). At the interpersonal level, the results show a lower dissatisfaction rate (51.9%). As concerns the general dissatisfaction rate with the organism, the dissatisfaction rate is (71.53%).

Keywords: Improvement of the quality of the services, health insurance, customer satisfaction, data analysis.

Une approche locale de la gestion des sinistres graves en assurance automobile
par Michel Grun-Rehomme, Noureddine Benlagha et Olga A. Vasechko

This article proposes to study the stability of homogeneous classes of risk of ensured in automobile insurance using an indicator of the atypical policy-holder detection. We distinguish two types of atypical points (or serious accidents). The first one corresponds to the extreme values of accident cost distribution in the whole portfolio (outliers), and the second one affects the stability of the premium in a class of risk and modify the class hierarchy built by the premium (inliers, local point of view). This stability is necessary to obtain a good adequacy between the accidents and the insurance pricing in the context of a strongly competing market. In each homogeneous class, the risk is measured in term of frequency and average cost, then the premium corresponds to the expectation of the losses is given like the product of these two indices. This indicator of premium, on the one hand, makes it possible to treat the classes on a hierarchical basis, and on the other hand, it is used as a base for the reference premium calculation. The final insurance pricing is necessarily determined by multiplying the amount of the actuarial premium by the reduction-increase coefficient (the bonus-malus in France), where past accidents are used to fix the premium in the next period. The presence of serious accidents comes to disturb this hypothesis of collective risk differentiation from one class to another and the temporal stability of the premium indicator. These indicators are very sensitive to extreme values. The approach suggested for the inlier’s detection, is based on the premium variance estimation to precise a fixed risk of error. A numerical application on real data of insurance is presented to put this approach into practice.

Keywords: Car insurance, outliers, inliers, risk management, variance