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...