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                <title xml:lang="en">Interest rates modeling for insurance : interpolation, extrapolation, and forecasting</title>
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                <authority type="institution">Université de Lyon</authority>
                <authority type="school">École doctorale Sciences économiques et de gestion (Lyon ; 2007-....)</authority>
                <authority type="supervisor">Frédéric Planchet</authority>
                <authority type="supervisor">Areski Cousin</authority>
                <authority type="jury">Stéphane Loisel [Président]</authority>
                <authority type="jury">Franck Moraux [Rapporteur]</authority>
                <authority type="jury">Donatien Hainaut [Rapporteur]</authority>
                <authority type="jury">Diana Dorobantu</authority>
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                <authority type="jury">Florence Picard</authority>
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                <term xml:lang="en">Forecasting</term>
                <term xml:lang="en">Multivariate time series</term>
                <term xml:lang="en">Machine learning</term>
                <term xml:lang="en">Yield curve</term>
                <term xml:lang="en">Interest rates</term>
                <term xml:lang="fr">Séries temporelles</term>
                <term xml:lang="fr">Prédiction</term>
                <term xml:lang="fr">Statistique</term>
                <term xml:lang="fr">Apprentissage</term>
                <term xml:lang="fr">Courbe de taux</term>
                <term xml:lang="fr">Taux d'intérêt</term>
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              <p>The Own Risk Solvency and Assessment (ORSA) is a set of processes defined by the European prudential directive Solvency II, that serve for decision-making and strategic analysis. In the context of ORSA, insurance companies are required to assess their solvency needs in a continuous and prospective way. For this purpose, they notably need to forecast their balance sheet -asset and liabilities- over a defined horizon. In this work, we specifically focus on the asset forecasting part. This thesis is about the Yield Curve, Forecasting, and Forecasting the Yield Curve. We present a few novel techniques for the construction, the extrapolation of static curves (that is, curves which are constructed at a fixed date), and for forecasting the spot interest rates over time. Throughout the text, when we say "Yield Curve", we actually mean "Discount curve". That is: we ignore the counterparty credit risk, and consider that the curves are risk-free. Though, the same techniques could be applied to construct/forecast the actual risk-free curves and credit spread curves, and combine both to obtain pseudo- discount curves incorporating the counterparty credit risk</p>
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              <p>L'ORSA Own Risk Solvency and Assessment est un ensemble de règles définies par la directive européenne Solvabilité II. Il est destiné à servir d'outil d'aide à la décision et d'analyse stratégique des risques. Dans le contexte de l'ORSA, les compagnies d'assurance doivent évaluer leur solvabilité future, de façon continue et prospective. Pour ce faire, ces dernières doivent notamment obtenir des projections de leur bilan (actif et passif) sur un certain horizon temporel. Dans ce travail de thèse, nous nous focalisons essentiellement sur l'aspect de prédiction des valeurs futures des actifs. Plus précisément, nous traitons de la courbe de taux, de sa construction et de son extrapolation à une date donnée, et de ses prédictions envisagées dans le futur. Nous parlons dans le texte de "courbe de taux", mais il s'agit en fait de construction de courbes de facteurs d'actualisation. Le risque de défaut de contrepartie n'est pas explicitement traité, mais des techniques similaires à celles développées peuvent être adaptées à la construction de courbe de taux incorporant le risque de défaut de contrepartie</p>
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