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Etude du risque systématique de mortalité (1001.1922v1)

Published 12 Jan 2010 in q-fin.GN and q-fin.RM

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.