Etude du risque syst\'ematique de mortalit\'e
Frédéric Planchet (fred@planchet.net),
Laurent Faucillon and
Marc Juillard
Additional contact information
Laurent Faucillon: SAF
Marc Juillard: SAF
Papers from arXiv.org
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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Citations:
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)
Related works:
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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