Quantification du risque systématique de mortalité pour un régime de rentes en cours de service

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 e...

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Bibliographic Details
Published in:Assurances et Gestion des Risques 2006-10, Vol.74 (3), p.377
Main Authors: Planchet, Frédéric, Faucillon, Laurent, Juillard, Marc
Format: Article
Language:fre
Subjects:
Insurance industry
Mortality
Risk management
Studies
Online Access:Get full text
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Summary: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. [PUBLICATION ABSTRACT]
ISSN:1705-7299
2371-4913