Article
Version 1
Preserved in Portico This version is not peer-reviewed
Adding Shocks to a Prospective Mortality Model
Version 1
: Received: 3 January 2024 / Approved: 3 January 2024 / Online: 4 January 2024 (03:46:01 CET)
A peer-reviewed article of this Preprint also exists.
Planchet, F.; Gautier de La Plaine, G. Adding Shocks to a Prospective Mortality Model. Risks 2024, 12, 57. Planchet, F.; Gautier de La Plaine, G. Adding Shocks to a Prospective Mortality Model. Risks 2024, 12, 57.
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 fragility factor to a basic hazard function, we generalize the Lee-Carter model. The impact on prospective life expectancies and capital requirements in the context of a life annuity scheme is analyzed in detail.
Keywords
longevity risk; prospective mortality tables
Subject
Business, Economics and Management, Other
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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