Frédéric Planchet
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Biological Age for Prevention in Insurance Open
International audience
Impacts of Climate Change on Mortality: An extrapolation of temperature effects based on time series data in France Open
Most contemporary mortality models rely on extrapolating trends or past events. However, population dynamics will be significantly impacted by climate change, notably the influence of temperatures on mortality. In this paper, we introduce …
Estimating Disease-Free Life Expectancy Based on Clinical Data from the French Hospital Discharge Database Open
The development of health indicators to measure healthy life expectancy (HLE) is an active field of research aimed at summarizing the health of a population. Although many health indicators have emerged in the literature as critical metric…
Gender does not influence outcomes and complications in medial unicompartmental knee arthroplasty Open
Purpose The impact of gender on the outcomes of unicompartmental knee arthroplasty (UKA) remains a topic of active discussion with limited exploration thus far. The study aims to elucidate the gender effect on clinical outcomes, complicati…
Adding Shocks to a Prospective Mortality Model Open
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 basi…
Adding Shocks to a Prospective Mortality Model Open
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 ba…
Proposal to Extend Access to Loans for Serious Illnesses Using Open Data Open
In France, access to a loan requires one to obtain loan insurance and the presence of a pathology in the applicant may be a reason for refusal. Improving knowledge of health risks and pooling risks are two methods of broadening access to l…
Experience Prospective Life-Tables for the Algerian Retirees Open
The aim of this paper is to construct prospective life tables adapted to the experience of Algerian retirees. Mortality data of the retired population are only available for the ages from 50 to 95 years and older and for the period from 20…
Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund? Open
Pension funds, which manage the financing of a large share of global retirement schemes, need to invest their assets in a diversified manner and over long durations while managing interest rate and longevity risks. In recent years, a new t…
Stochastic Deflator for an Economic Scenario Generator with Five Factors Open
In this paper, we implement a stochastic deflator with five economic and financial risk factors: interest rates, market price of risk, stock prices, default intensities, and convenience yields. We examine the deflator with different financ…
Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks Open
We are interested in obtaining forecasts for multiple time series, by taking into account the potential nonlinear relationships between their observations. For this purpose, we use a specific type of regression model on an augmented datase…
Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund Open
Pension funds that handle retirement risk need to invest assets in a diversified manner, on long durations and if possible while facing interest rate and longevity risk. In the recent years, a new class of investment called a longevity meg…
UTILISATION DES ESTIMATEURS DE KAPLAN-MEIER PAR GÉNÉRATION ET DE HOEM POUR LA CONSTRUCTION DE TABLES DE MORTALITÉ PROSPECTIVES Open
Data quality is an overarching concern when it comes to building a mortality model or prospective mortality tables. This is even more significant when these procedures are based on a small population, as data may show major random fluctuat…
Pricing and Risk Analysis of a Long-Term Care Insurance Contract in a non-Markov Multi-State Model Open
International audience
From Internal to ORSA Models Open
Pillar 1 of Solvency II framework set out quantitative requirements for calculation of the Best Estimate (BE) of liabilities and the Solvency Capital Requirement (SCR) (a 99.5 % value-at-risk measure for net assets over one year) using eit…
Economic Scenario Generators Open
The projection of economic and financial risk factors is a key element of prospective analyzes made by life insurers, both for the calculation of reserves under Solvency 2 and for the asset allocation and management of financial risks. Thi…