Essays on the capitalization, investment and risk management policies of non-life insurance companies.

Summary Despite the substantial costs associated with holding capital, the level of capital observed in the non-life insurance sector is well above regulatory standards. This thesis sheds new light on capitalization policy and studies the effect of uncertainty about risk factors on investment policy. These questions are addressed using innovative theoretical and empirical approaches that favor a global and multi-period analysis framework. The first part of the paper focuses on the development of equilibrium models that take into account the randomness and uncertainty of risks. A second part empirically examines the adjustment relationships between capitalization, risk-taking and reinsurance policies. A third part evaluates the efficiency of the level of capital in a multi-period framework. Equilibrium models show that simultaneous choice of capital and risk is more beneficial to insurers than separate adjustment of one of the decisions. The empirical results confirm the strong interdependence between the different financial decisions. The capitalization policy converges towards a long-term target level in line with the performance objectives of insurance companies. The relationship between capital and risk is the most significant and reflects both the anchoring of the concept of economic capital in the functioning of insurance companies and the effectiveness of the capital adequacy rule. This relationship directly influences solvency and contributes to the creation of value. Finally, the analysis of multi-period efficiency shows that the capitalization policy responds less to considerations of passive capital accumulation than to sub-optimal behavior dictated by market imperfections.