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Etude du risque systématique de mortalité

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Author Info

  • Frédéric Planchet

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Laurent Faucillon

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Marc Juillard

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

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.

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File URL: http://hal.archives-ouvertes.fr/docs/00/44/30/29/PDF/Article_v10.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00443029.

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Date of creation: 01 Oct 2006
Date of revision:
Publication status: Published, Assurances et Gestion des Risques, 2006, 74, 3, 1...10
Handle: RePEc:hal:journl:hal-00443029

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00443029/en/
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Web page: http://hal.archives-ouvertes.fr/

Related research

Keywords: Prospective tables; extrapolation; adjustment; life annuities; stochastic mortality;

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Cited by:
  1. 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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