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

Frédéric Planchet (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.

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

Frédéric Planchet, Marc Juillard. Mesure de l'incertitude tendancielle sur la mortalité – application à un régime de rentes. Assurances et gestion des risques, 2007, 75 (3), pp.1..10. ⟨hal-00443030⟩