Adding Shocks to a Prospective Mortality Model-Reference-Cited by-同舟云学术

Adding Shocks to a Prospective Mortality Model

Published:2024-03-20 Issue:3 Volume:12 Page:57
ISSN:2227-9091
Container-title:Risks
language:en
Short-container-title:Risks

Author:

Planchet Frédéric¹²^ORCID,Gautier de La Plaine Guillaume¹

Affiliation:

1. Prim’Act, 75017 Paris, France

2. ISFA, Institut de Science Financière et d’Assurances (ISFA), Laboratoire SAF EA2429, Université de Lyon, Université Claude Bernard Lyon 1, 69366 Lyon, France

Abstract

This work proposes a simple model to take into account the annual volatility of the mortality level observed on the scale of a country like France in the construction of prospective mortality tables. By assigning a frailty factor to a basic hazard function, we generalise the Lee–Carter model. The impact on prospective life expectancies and capital requirements in the context of a life annuity scheme is analysed in detail.

Publisher

MDPI AG

Link

https://www.mdpi.com/2227-9091/12/3/57/pdf

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