Mesure de l'incertitude tendancielle sur la mortalité – application à un régime de rentes

Frédéric Planchet () and Marc Juillard
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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.

Date: 2007-10-01
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Published in Assurances et gestion des risques, 2007, 75 (3), pp.1..10

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00443030

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