Optional approach to collateral valuation in insurance and finance.

Summary This thesis highlights the interest of an option approach to the valuation of guarantees in finance and insurance. The first part concerns Parisian options whose prices are obtained by inversion of Laplace transforms. These options, interesting for a market participant, have applications in real options theory and in default theory. We develop a new one in banking economics by evaluating guarantees and modeling regulatory clauses of a bank deposit coinsurance scheme. The second part is devoted to the modeling and contingent valuation of the different liability items of the balance sheet of an insurance company as well as of classical savings contracts. We consider both default and interest rate risks. We are also interested in the impact of certain implicit options in life insurance contracts such as the possibility for the insured to surrender his contract.