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Abstract: The aim of this paper is to propose a realistic and operational model toquantify the systematic risk of mortality included in an engagement ofretirement. The model presented is built on the basis of model of Lee-Carter.The stochastic prospective tables thus built make it possible to project theevolution of the random mortality rates in the future and to quantify thesystematic risk of mortality.



Author: Frédéric Planchet SAF, Laurent Faucillon SAF, Marc Juillard SAF

Source: https://arxiv.org/







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