Etude du risque syst\'ematique de mortalit\'e

Frédéric Planchet (), Laurent Faucillon and Marc Juillard
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Laurent Faucillon: SAF
Marc Juillard: SAF

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Abstract: The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic prospective tables thus built make it possible to project the evolution of the random mortality rates in the future and to quantify the systematic risk of mortality.

Date: 2010-01
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Published in Assurances et Gestion des Risques 74, 3 (2006) 1...10

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http://arxiv.org/pdf/1001.1922 Latest version (application/pdf)

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Working Paper: Etude du risque systématique de mortalité (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1001.1922

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