Université Paris Dauphine
Sous la direction de Najat El Mekkaoui de Freitas
Date d’inscription : Octobre 2021
The project consists of three operational essays on the common theme of Asset-Liability Management of European insurance companies. Two essays will focus on optimal asset allocation, one aimed at integrating regulatory constraints into portfolio choice, and the second at integrating liquidity constraints. Given the significant weight of insurance companies on the European financial markets, there is, beyond the operational aspect, an interest in understanding the impact of their behavior on the interest rate markets and the transmission of the ECB’s monetary policy. The third essay turns to the liabilities of insurers and in particular life insurers, by studying the prospects for the development of retirement savings products in France and in continental Europe. In an aging demographic environment, the allocation of assets over the life cycle is a key issue. Social protection reforms are leading to mixed financing of retirement: through public pay-as-you-go systems and through the development of private capitalization systems. In this context, States are now encouraging the development of individual retirement savings products, such as the PACTE law in France. Given the low amounts currently collected from these products, understanding household savings choices is essential for the implementation of future economic reforms and the development of new products for private players.