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Etude du risque systématique de mortalité

Author

Listed:
  • Frédéric Planchet

    () (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Laurent Faucillon

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Marc Juillard

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

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

  • Frédéric Planchet & Laurent Faucillon & Marc Juillard, 2006. "Etude du risque systématique de mortalité," Post-Print hal-00443029, HAL.
  • Handle: RePEc:hal:journl:hal-00443029
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00443029
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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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