Etude du risque syst\'ematique de mortalit\'e
General Finance
2010-01-13 v1 Risk Management
Abstract
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.
Cite
@article{arxiv.1001.1922,
title = {Etude du risque syst\'ematique de mortalit\'e},
author = {Frédéric Planchet and Laurent Faucillon and Marc Juillard},
journal= {arXiv preprint arXiv:1001.1922},
year = {2010}
}