Etude du risque systématique de mortalité
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.
|Date of creation:||01 Oct 2006|
|Date of revision:|
|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/|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/|
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