9 citations · 26 across the 9 of their papers we have counts for
9 papers
Etude du risque systématique de mortalité
Frédéric Planchet, Laurent Faucillon, Marc Juillard
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 b…
Mesure de l'incertitude tendancielle sur la mortalité ? application à un régime de rentes
Frédéric Planchet, Marc Juillard
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 b…
Utilisation des méthodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalité dans le cas de petits échantillons
Frédéric Planchet, Vincent Lelieur
The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-P…
Rentes en cours de service : un nouveau critère d'allocation d'actif
Frédéric Planchet, Pierre-Emanuel Thérond
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset foll…
Simulation de trajectoires de processus continus
Frédéric Planchet, Pierre-Emanuel Thérond
Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete di…
Mesure des risques de marché et de souscription vie en situation d'information incomplète pour un portefeuille de prévoyance
Jean-Paul Félix, Frédéric Planchet
In the framework of Embedded Value new standards, namely the MCEV norms, the latest principles published in June 2008 address the issue of market and underwriting risks measurement…