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Etude du risque systématique de mortalité

Frédéric Planchet (), Laurent Faucillon and Marc Juillard
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Laurent Faucillon: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Marc Juillard: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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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.

Keywords: Prospective tables; extrapolation; adjustment; life annuities; stochastic mortality (search for similar items in EconPapers)
Date: 2006-10-01
Note: View the original document on HAL open archive server: https://hal.science/hal-00443029v1
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Citations: View citations in EconPapers (2)

Published in Assurances et gestion des risques, 2006, 74 (3), pp.1..10

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Working Paper: Etude du risque syst\'ematique de mortalit\'e (2010) Downloads
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