Mesure de l'incertitude tendancielle sur la mortalité ? application à un régime de rentes

Details Mesure de l'incertitude tendancielle sur la mortalité ? application à un régime de rentes Mesure de l'incertitude tendancielle sur la mortalité ? application à un régime de rentes

2010-01-12

arxiv.org/abs/1001.1921v1

Assurances et Gestion des Risques 75, 3 (2007) 1...10

Economy

Quantitative Finance

General Finance

Scientific paper

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.

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