Mesure de l'incertitude tendancielle sur la mortalité application à un régime de rentes - Quantitative Finance > General Finance - Download this document for free, or read online. Document in PDF available to download.

Abstract: The aim of this paper is to propose a realistic and operational model toquantify the systematic risk of mortality included in an engagement ofretirement. The model presented is built on the basis of model of Lee-Carter.The stochastic prospective tables thus built make it possible to project theevolution of the random mortality rates in the future and to quantify thesystematic risk of mortality.



Author: Frédéric Planchet SAF, Marc Juillard SAF

Source: https://arxiv.org/

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