Actuarial tools adapted to technical risk management in French-speaking sub-Saharan Africa: application to pension plans.

Summary Technical risk management in French-speaking sub-Saharan Africa is a notion that is often absent in practice. Indeed, in this zone, it is very easy to find banks, insurance companies and pension institutions conducting their activities without integrating risk1 into their core management. This situation explains, a priori, the absence of reliable databases for quantitative studies. This thesis, which is complementary to the work of Kamega A2., focuses on the design of relevant actuarial tools adapted to the technical management of risks in French-speaking sub-Saharan Africa, which can be used by the governments of this zone as well as in the insurance and banking industries. In view of the progressive development of the countries in the CIPRES zone, we believe that the economic scenario generator (ESG) is the common tool for the technical management of risks related to the activities of governments and the banking and insurance industry. Note that the ESG is a tool capable of projecting economic and financial variables into a coherent system. This rich information will allow, for example, the governments of these countries to elaborate their budgets, to mobilize resources on the local financial market and to technically manage public debt. In the context of the design of the GSE, the contribution of this thesis consists in first specifying mathematical models, adapted to the context of the CIPRES zone, covering a large number of economic and financial variables. In a second step, calibration methods are presented in the context of absence of data (expert opinion) or presence of data (statistical approaches). Particular attention is paid to the extension of the GSE in order to take into account the future needs of professionals in the CIPRES area. This thesis also gives importance to the application of the GSE in the development of CIPRES countries through the contribution of the yield curve in the analysis and the conduct of monetary policy, the forecasting of economic and financial quantities, the estimation of implicit default probabilities and recovery rates of States and companies in a context of rating in local currency and the application of the Basel II/III framework in 2018. In the context of pension plans, these actuarial tools are useful in determining the parameters for steering the plan, in particular the "best estimate" valuation of the plan's liabilities, the financing and the asset allocation strategy.