Etude du risque syst\'ematique de mortalit\'e

TL;DR

This paper develops a practical model based on Lee-Carter to quantify the systematic mortality risk in retirement engagements, enabling future mortality rate projections and risk assessment.

Contribution

It introduces an operational model for systematic mortality risk using Lee-Carter, enhancing the ability to project and quantify future mortality uncertainties.

Findings

The model effectively projects future mortality rates.

It quantifies the systematic risk in retirement liabilities.

The approach is practical for actuarial 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.