Adding Shocks to a Prospective Mortality Model

Frédéric Planchet () and Guillaume Gautier de La Plaine
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Frédéric Planchet: Prim’Act, 75017 Paris, France
Guillaume Gautier de La Plaine: Prim’Act, 75017 Paris, France

Risks, 2024, vol. 12, issue 3, 1-17

Abstract: This work proposes a simple model to take into account the annual volatility of the mortality level observed on the scale of a country like France in the construction of prospective mortality tables. By assigning a frailty factor to a basic hazard function, we generalise the Lee–Carter model. The impact on prospective life expectancies and capital requirements in the context of a life annuity scheme is analysed in detail.

Keywords: longevity risk; prospective mortality tables (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:12:y:2024:i:3:p:57-:d:1360621

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