Assistant Director, Insurance Solutions Specialist
Romain helps insurers with the modeling of financial risks and to understand EIOPA transitory guidelines. He works with insurance companies in France, Belgium, the Netherlands, Luxembourg, and Southern Europe regarding complex risk modeling and calibration, Solvency II Internal Models, economic capital, and ORSA challenges.
Romain joined Moody’s Analytics with the acquisition of Barrie & Hibbert. Prior to his current role, he was a life actuary consultant. He has an engineer’s degree in Financial Mathematics from EISTI and a post-graduate in Econometric and Statistical modeling from ENSAE ParisTech. He is a fully qualified actuary of the French Institute of Actuary since 2011.
This article reviews the analysis of an asset optimization problem where risk is defined by the capital required under Solvency II principles, and where the portfolio performance is defined by the net asset value at time T=1.
Asset optimization which focuses only on the distributional characteristics of an investment portfolio will fail to achieve an optimal portfolio from the perspective of value creation for a life insurance firm. In this paper we show how this issue can be resolved through the application of Least Squares Monte Carlo techniques.