Blog: Optimal retirement consumption with a stochastic force of mortality. (arXiv:1205.2295v1 [q-fin.RM])

Quantitative Finance at arXiv 374 days ago

News: Optimal retirement consumption with a stochastic force of mortality. (arXiv:1205.2295v1 [q-fin.RM])

374 days ago - q-fin updates on arXiv.org

We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as ...