Etude du risque systématique de mortalité
AbstractThe 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.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00443029.
Date of creation: 01 Oct 2006
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Publication status: Published, Assurances et Gestion des Risques, 2006, 74, 3, 1...10
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00443029/en/
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Prospective tables; extrapolation; adjustment; life annuities; stochastic mortality;
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- Aymric Kamega & Frédéric Planchet, 2010. "Mesure du risque d'estimation associé à une table d'expérience," Post-Print hal-00553863, HAL.
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