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  • Search: subject:"Survival curve matching"
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Lifecycle consumption 1 Stochastic mortality 1 Survival curve matching 1
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Huang, Huaxiong 1 Milevsky, Moshe A. 1 Salisbury, Thomas S. 1
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Insurance: Mathematics and Economics 1
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Optimal retirement consumption with a stochastic force of mortality
Huang, Huaxiong; Milevsky, Moshe A.; Salisbury, Thomas S. - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 282-291
We extend the lifecycle model (LCM) of consumption over a random horizon (also known as the Yaari model) to a world in which (i) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii) consumers can adapt their consumption strategy to new information about...
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