Conceptualization and implementation of the Own Risk and Solvency Assessment process for life insurance.

Summary The Solvency II Directive, submitted by the European Commission in 2009, came into force in January 2016. It is based on three pillars. The first pillar deals with quantitative requirements related to the calculation of the Solvency Capital Requirement. The second pillar deals with risk governance. The third pillar deals with required documents and information, market discipline. For life insurance, the quantitative requirements (Pillar I and part of Pillar II) introduce a high level of complexity. Indeed, in order to create a system adapted to the specificities of companies, the directive has introduced a framework for the valuation of the balance sheet of insurers that is very delicate to understand and use, the economic valuation. Because of this complexity, most European life insurers have, during their first years of implementing the directive, chosen to focus on pillar I knowing that the calculation of the capital requirement would be an essential part of the system. In this thesis, I have chosen to focus my work on the second pillar of the directive and more precisely on the Own Risk and Solvency Assessment (ORSA) process. This regulatory tool is in fact the second major source of complexity in Solvency II. It is a risk management process totally integrated in the company whose objective is to lead insurers to a better understanding of their risks. During my work, I tried to conceptualize and to propose operational implementations to answer the problems induced by the ORSA (calculation of the Global Solvency Requirement and Permanent Compliance). Finally, through a joint work with N. El Karoui, S. Loisel and J.-L. Prigent, we analyzed and exemplified some of the major dangers induced by economic valuation.