在前瞻性死亡率模型中加入冲击因素

IF 2 Q2 BUSINESS, FINANCE

Risks Pub Date : 2024-03-20 DOI:10.3390/risks12030057

Frédéric Planchet, Guillaume Gautier de La Plaine

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引用次数: 0

摘要

这项研究提出了一个简单的模型，用于在构建预期死亡率表时考虑在法国这样的国家范围内观察到的死亡率水平的年度波动性。通过为基本危险函数分配一个虚弱因子，我们对 Lee-Carter 模型进行了概括。详细分析了预期寿命和终身年金计划资本要求的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Adding Shocks to a Prospective Mortality Model

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.

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