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Mesure du risque d'estimation associé à une table d'expérience

  • Aymric Kamega

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

  • Frédéric Planchet

    ()

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

Cette étude présente des outils de mesures de risque d'estimation à partir d'un modèle de Brass (modèle à référence externe). Ces outils sont dans un premier temps appliqués à la mesure du risque associé à la construction d'une loi d'expérience à partir d'une population globale (i. e. sans tenir compte de l'hétérogénéité). Dans un second temps, ces outils sont appliqués à la mesure du risque associé à la construction d'une loi d'expérience à partir d'une sous-population de la population globale, segmentée au titre de la prise en compte de l'hétérogénéité. Dans ce second scénario il apparaît que le risque d'estimation augmente significativement : la modélisation de l'hétérogénéité à partir d'un modèle indépendant pour chaque sous-population n'est donc pas adaptée car elle majore significativement le risque d'estimation.

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Paper provided by HAL in its series Post-Print with number hal-00553863.

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Date of creation: 24 Nov 2010
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Publication status: Published, Cahiers de recherche de l'ISFA, 2010, 2136, 30
Handle: RePEc:hal:journl:hal-00553863
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00553863/en/
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  1. Frédéric Planchet & Laurent Faucillon & Marc Juillard, 2006. "Etude du risque systématique de mortalité," Post-Print hal-00443029, HAL.
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