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Etude du risque syst\'ematique de mortalit\'e

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  • Fr'ed'eric Planchet

    (SAF)

  • Laurent Faucillon

    (SAF)

  • Marc Juillard

    (SAF)

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.

Suggested Citation

  • Fr'ed'eric Planchet & Laurent Faucillon & Marc Juillard, 2010. "Etude du risque syst\'ematique de mortalit\'e," Papers 1001.1922, arXiv.org.
    • Handle: RePEc:arx:papers:1001.1922
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    Cited by:

    1. FLICI, Farid, 2015. "Provisionnement des rentes viagères en Algérie entre approche statique et approche prospective [Life Annuities Reserving in Algeria between static approach and prospective approach]," MPRA Paper 91917, University Library of Munich, Germany.
    2. 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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