4 papers · 1 filter
Multivariate Density Modeling for Retirement Finance
Christopher J. Rook
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundati…
Approximating the Sum of Correlated Lognormals: An Implementation
Christopher J. Rook, Mitchell Kerman
Lognormal random variables appear naturally in many engineering disciplines, including wireless communications, reliability theory, and finance. So, too, does the sum of (correlate…
Optimal Equity Glidepaths in Retirement
Christopher J. Rook
Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current market valuations. Conversely, static glidepaths are fixed at a…
Minimizing the Probability of Ruin in Retirement
Christopher J. Rook
Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the re…