scholarly journals Influencing Opinions of Heterogeneous Populations over Finite Time Horizons

2021 ◽  
Author(s):  
Arunabh Saxena ◽  
Bhumesh Kumar ◽  
Anmol Gupta ◽  
Neeraja Sahasrabudhe ◽  
Sharayu Moharir
Keyword(s):  
Finite Time ◽  
Heterogeneous Populations ◽  
Time Horizons

Longevity trend risk over limited time horizons

2020 ◽  
Vol 14 (2) ◽  
pp. 262-277
Author(s):  
Stephen J. Richards ◽  
Iain D. Currie ◽  
Torsten Kleinow ◽  
Gavin P. Ritchie
Keyword(s):  
Finite Time ◽  
Value At Risk ◽  
Time Window ◽  
Capital Requirements ◽  
Multiple Models ◽  
Limited Time ◽  
Risk Capital ◽  
Model Risk ◽  
Time Horizons ◽  
Solvency Capital

AbstractWe consider various aspects of longevity trend risk viewed through the prism of a finite time window. We show the broad equivalence of value-at-risk (VaR) capital requirements at a p-value of 99.5% to conditional tail expectations (CTEs) at 99%. We also show how deferred annuities have higher risk, which can require double the solvency capital of equivalently aged immediate anuities. However, results vary considerably with the choice of model and so longevity trend-risk capital can only be determined through consideration of multiple models to inform actuarial judgement. This model risk is even starker when trying to value longevity derivatives. We briefly discuss the importance of using smoothed models and describe two methods to considerably shorten VaR and CTE run times.

scholarly journals Value functions in the Wasserstein spaces: finite time horizons

2015 ◽  
Vol 269 (4) ◽  
pp. 968-997 ◽  
Author(s):  
Ryan Hynd ◽  
Hwa Kil Kim
Keyword(s):  
Finite Time ◽  
Value Functions ◽  
Time Horizons

Linear Quadratic Regulator With Varying Finite Time Durations

1992 ◽  
Vol 114 (3) ◽  
pp. 517-519
Author(s):  
Uri Tasch ◽  
Mark L. Nagurka
Keyword(s):  
Real Time ◽  
Finite Time ◽  
Linear Quadratic Regulator ◽  
Linear Quadratic ◽  
Optimal State ◽  
Gain Matrix ◽  
Time Horizons ◽  
Optimal Controllers ◽  
Time Invariant

The optimal state trajectories of time-invariant linear quadratic regulator problems with different time horizons can be found from a single Riccati gain matrix shifted appropriately in time. This result has significant ramifications for real-time implementation of optimal controllers driving systems at various speeds.

Optimal Service Policies and Finite Time Horizons

1962 ◽  
Vol 9 (1) ◽  
pp. 126-140 ◽  
Author(s):  
C. R. Carr ◽  
C. W. Howe
Keyword(s):  
Finite Time ◽  
Time Horizons ◽  
Optimal Service ◽  
Service Policies
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