Technical management of a life annuity plan: identification and measurement of risks, asset allocation, actuarial monitoring.

Summary Recent changes in regulatory and accounting systems as well as in market practices have led to a more detailed and segmented analysis of the risks borne by a life annuity plan. In this context, a revision of the classical modeling of such a plan is necessary, taking into account in particular on the liabilities side the risk associated with the uncertainty on the future mortality (stochastic mortality and model risk) and on the assets side the essentially discontinuous character of the prices of the assets in which the plan invests its assets This work defines the broad lines of an asset/liability model of a life annuity plan that takes these constraints into account.