Utilisation des méthodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalité dans le cas de petits échantillons - Quantitative Finance > Statistical FinanceReportar como inadecuado




Utilisation des méthodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalité dans le cas de petits échantillons - Quantitative Finance > Statistical Finance - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Abstract: The aim of this paper is to study the construction of prospective mortalitytables from a low number of persons subjected to risk. The presented models arethe Lee-Carter and log-Poisson methods respectively. The low number of peoplesubjected to risk, particularly noticed for the persons who are getting on,implies the use of an extrapolation method for the mortality rates. TheLee-Carter and log-Poisson methods constitute twodimensional models, taking theyear and the age into account to calculate the mortality rates. The methodssuggested are applied to a real data set. The prospective tables, built in thisway, allow to project the rates- evolution in the future, extrapolating thetemporal constituent. And then, it allows to compare this projection with theevolution predicted for the French population in its entirety. You determinethe best method through the nearness of the smoothed rates in comparison withthe raw rates and essentially through the caution of these models for the lifeannuities- calculation. The results stemed from these methods are tooconfronted with the mortality rates obtained through a method of logistic fits.



Autor: Frédéric Planchet SAF, Vincent Lelieur SAF

Fuente: https://arxiv.org/



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