Mesure de l'incertitude tendancielle sur la mortalit\'e ? application \`a un r\'egime de rentes

TL;DR

This paper introduces a practical model based on Lee-Carter to quantify systematic mortality risk in pension commitments, enabling future mortality rate projections and risk assessment.

Contribution

It develops an operational extension of the Lee-Carter model to measure systematic mortality risk in retirement engagements.

Findings

The model effectively projects future mortality rates.

It quantifies the systematic risk associated with mortality.

The approach is applicable to pension risk management.

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.