On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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2 results for “income-drawdown”

Sharing of longevity basis risk in pension schemes with income-drawdown guaranteesq-fin.RM

Study optimizes pension scheme risk-sharing for longevity bonds.

problem Managing longevity basis risk in pension schemes with income-drawdown guarantees.

method Stochastic optimal control, dynamic programming, HJB equations.

result Sharing longevity risk increases both manager and member utilities.

pension schemes income-drawdown longevity bonds risk-sharing stochastic optimal control

2020-02-12abs ↗pdf ↗

Consumption processes and positively homogeneous projection propertiesq-fin.GN

We constructively prove the existence of time-discrete consumption processes for stochastic money accounts that fulfill a pre-specified positively homogeneous projection property (PHPP) and let the account always be positive and exactly zero at the end. One possible example is consumption rates forming a martingale und…

2007-11-27abs ↗pdf ↗