Etude du risque systématique de mortalité

Frédéric Planchet (1) , Laurent Faucillon (1) , Marc Juillard (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

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.

Mots clés: Prospective tables; extrapolation; adjustment; life annuities; stochastic mortality

Domaines: Gestion des risques [q-fin.RM]

Frédéric Planchet, Laurent Faucillon, Marc Juillard. Etude du risque systématique de mortalité. Assurances et gestion des risques, 2006, 74 (3), pp.1..10. ⟨hal-00443029⟩