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Trade-Offs in Means Tested Pension Design

Content elderly couple enjoying life

Chung Tran and Alan Woodland

This paper proposes and assesses consistent multi-factor dynamic ane mortality models for longevity risk applications. The dynamics of the model produce closed-form expressions for survival curves.

The framework includes an arbitrage free model specication. Importantly, the mortality model provides consistent future survival curves with the same parametric form as the initial curve.

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