Related papers: Deep neural network for optimal retirement consump…
We develop a neural-network framework for multi-period risk--reward stochastic control problems with constrained two-step feedback policies that may be discontinuous in the state. We allow a broad class of objectives built on a…
We develop a deep learning algorithm for constructing globally accurate approximations to functional rational expectations equilibria of dynamic stochastic economies in the sequence space. We use deep neural networks to parameterize key…
This paper integrates deep neural networks (DNNs) into structural economic models to increase flexibility and capture rich heterogeneity while preserving interpretability. Economic structure and machine learning are complements in empirical…
Consumer Debt has risen to be an important problem of modern societies, generating a lot of research in order to understand the nature of consumer indebtness, which so far its modelling has been carried out by statistical models. In this…
The decumulation of a defined contribution (DC) pension plan is well known to be one of the hardest problems in finance. We model this decumulation challenge as an optimal stochastic control problem. The control problem is solved, at each…
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international…
We present an approach to adaptively utilize deep neural networks in order to reduce the evaluation time on new examples without loss of accuracy. Rather than attempting to redesign or approximate existing networks, we propose two schemes…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
Big data, both in its structured and unstructured formats, have brought in unforeseen challenges in economics and business. How to organize, classify, and then analyze such data to obtain meaningful insights are the ever-going research…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
Machine Learning algorithms and Neural Networks are widely applied to many different areas such as stock market prediction, face recognition and population analysis. This paper will introduce a strategy based on the classic Deep…
Currently, pension providers are running into trouble mainly due to the ultra-low interest rates and the guarantees associated to some pension benefits. With the aim of reducing the pension volatility and providing adequate pension levels…
Many decisions involve choosing an uncertain course of actions in deep and wide decision trees, as when we plan to visit an exotic country for vacation. In these cases, exhaustive search for the best sequence of actions is not tractable due…
This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gompertz' law and investment opportunities are constant.…
This paper investigates the interactions among consumption/savings, investment, and retirement choices with income disaster. We consider low-income people who are exposed to income disaster so that they retire involuntarily when income…
Stochastic control problems with delay are challenging due to the path-dependent feature of the system and thus its intrinsic high dimensions. In this paper, we propose and systematically study deep neural networks-based algorithms to solve…
This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest in a buffer fund in order to guarantee a minimal pension amount. The model aims at…
Undoubtedly, several countries worldwide endure to experience a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have…
We study a general model on reusable resource allocation under model uncertainty. A heterogeneous population of customers arrive at the decision maker's (DM's) platform sequentially. Upon observing a customer's type, the DM selects an…