Etude du risque systématique de mortalité
Frédéric Planchet (),
Laurent Faucillon and
Marc Juillard
Additional contact information
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) 
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00443029
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