DOI: 10.3390/risks12030057 ISSN: 2227-9091
Adding Shocks to a Prospective Mortality Model
Frédéric Planchet, Guillaume Gautier de La Plaine- Strategy and Management
- Economics, Econometrics and Finance (miscellaneous)
- Accounting
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.