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Optimal retirement consumption with a stochastic force of mortality
lifecycle consumption stochastic mortality survival curve matching JEL codes
2012/6/4
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 opposed to being determin...
Quantifying mortality risk in small defined-benefit pension schemes
Small de ned-bene t pension scheme mortality risk idiosyncratic risk systematic risk Euler capital allocation principle stochastic mortality coecient of variation
2011/7/19
A risk of small de ned-bene t pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to e ectively pool mortality risk. This mea...