When it comes to product pricing and reserving, actuaries often need life tables that include a forecast of future longevity improvement. However, the production of such tables is not straightforward, because the demographic future of any human population is a result of complex and only partially understood mechanisms, and is highly uncertain. In recent years, actuaries have been understandably...

This paper studies the optimal investment choices and benefit adjustment strategy for a target plan (TBP) with stochastic mortality force. The pension fund is invested in risk-free asset, stock, longevity-linked as derivative of Using control approach, we obtain closed-form solutions portfolio financial market or without which minimize combination gap from level plan's discontinuity risk. Numer...

Abstract The starting point of our research is the inadequacy assuming, in construction a model mortality, that frailty constant for individuals comprising demographic population. This assumption implicitly made by standard life table techniques. substantial differences individual susceptibility to specific causes death lead heterogeneity frailty, and this can have material effect on mortality ...

When individuals are making decisions regarding the purchase of a durable commodity, the choice of job, or any other decision that has a time duration element to it, these decisions critically depend upon the lifetime or the time horizon of the object being decided upon. The reason that the time horizon is so critical comes from the fact that the worth of each option depends not only upon its i...

Milevsky and Huang (2011) investigated the optimal retirement spending policy for a utility-maximizing retiree facing a stochastic lifetime but assuming deterministic investment returns. They solved the problem using techniques from the calculus of variations and derived analytic expressions for the optimal spending rate and wealth depletion time under the Gompertz law of mortality. Of course, ...

Stochastic niche theory resolves many of the differences between neutral theory and classical tradeoff-based niche theories of resource competition and community structure. In stochastic niche theory, invading species become established only if propagules can survive stochastic mortality while growing to maturity on the resources left unconsumed by established species. The theory makes three pr...

We analyzed 136 time series (covering from 44 to 73 yr) of juvenile cod to estimate the level of direct and delayed density-dependent mortality (DDM) of 11 populations from the Norwegian Skagerrak coast. The parameters were estimated using a modeling approach that explicitly incorporates observation errors, so that we could quantify the density-independent (stochastic) variation in the survival...

In this paper, we present an application of the stochastic calculusto the problem of modeling electrical networks. The filtering problem have animportant role in the theory of stochastic differential equations(SDEs). In thisarticle, we present an application of the continuous Kalman-Bucy filter for a RLcircuit. The deterministic model of the circuit is replaced by a stochastic model byadding a ...

on account of the existence of uncertainty, dea occasionally faces the situation of imprecise data, especially when a set of dmus include missing data, ordinal data, interval data, stochastic data, or fuzzy data. therefore, how to evaluate the efficiency of a set of dmus in interval environments is a problem worth studying. in this paper, we discussed the new method for evaluation and ranking i...