Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 13 April 2020Accepted: 18 July 2021Published online: 28 October 2021Keywordsconsumption-investment problem, healthcare, mortality, Gompertz law, Epstein--Zin utilities, random horizons, backward stochastic differential equationsAMS Subject Headings91G10, 93E20Publication ...

OBJECTIVES : To elucidate whether well-known predictions of mortality are reduced or even reversed, or whether mortality is a stochastic process in the oldest old. DESIGN : A multidimensional survey of the Danish 1905 cohort conducted in 1998 with follow-up of vital status after 15 months. SETTING : Denmark. PARTICIPANTS : All Danes born in 1905, irrespective of physical and mental status...

This study sets out a backtesting framework applicable to the multiperiod-ahead forecasts from stochastic mortality models and uses it to evaluate the forecasting performance of six different stochastic mortality models applied to English & Welsh male mortality data. The models considered are the following: Lee-Carter’s 1992 one-factor model; a version of Renshaw-Haberman’s 2006 extension of th...

in this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. we applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. the main properties of deterministic difference schemes,...

in this paper, a stochastic two-stage model is offered for optimization of the day-ahead scheduling of the microgrid. system uncertainties including dispatchable distributed generation and energy storage contingencies are considered in the stochastic model. for handling uncertainties, monte carlo simulation is employed for generation several scenarios and then a reduction method is used to d...

Ecological traps are habitat sinks that are preferred by dispersing animals but have higher mortality or reduced fecundity compared to source habitats. Theory suggests that if mortality rates are sufficiently high, then ecological traps can result in extinction. An ecological trap may be created when pest animals are controlled in one area, but not in another area of equal habitat quality, and ...

it is known that a stochastic dierential equation (sde) induces two probabilisticobjects, namely a diusion process and a stochastic ow. while the diusion process isdetermined by the innitesimal mean and variance given by the coecients of the sde,this is not the case for the stochastic ow induced by the sde. in order to characterize thestochastic ow uniquely the innitesimal covariance give...