Joseph Abram: Implementing and Testing Replicating Portfolios for Life Insurance Contracts

Due to the new Solvency II regulation, European insurance companies need to stress-test their balance sheet under various risks. These tests may need Monte Carlo methods, which can be very time-consuming when used for simulations on the entire liability portfolio. Using instead a replicating portfolio of financial assets that matches the company's liability, increases computational efficiency.

In this thesis, we study different methods to compute these replicating portfolios, and test their robustness. We show how they can be implemented for some types of contracts, but may be inefficient for others.