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Adding Shocks to a Prospective Mortality Model

Author

Listed:
  • Frédéric Planchet

    (Prim’Act, 75017 Paris, France
    ISFA, Institut de Science Financière et d’Assurances (ISFA), Laboratoire SAF EA2429, Université de Lyon, Université Claude Bernard Lyon 1, 69366 Lyon, France)

  • Guillaume Gautier de La Plaine

    (Prim’Act, 75017 Paris, France)

Abstract

This work proposes a simple model to take into account the annual volatility of the mortality level observed on the scale of a country like France in the construction of prospective mortality tables. By assigning a frailty factor to a basic hazard function, we generalise the Lee–Carter model. The impact on prospective life expectancies and capital requirements in the context of a life annuity scheme is analysed in detail.

Suggested Citation

  • Frédéric Planchet & Guillaume Gautier de La Plaine, 2024. "Adding Shocks to a Prospective Mortality Model," Risks, MDPI, vol. 12(3), pages 1-17, March.
    • Handle: RePEc:gam:jrisks:v:12:y:2024:i:3:p:57-:d:1360621
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