Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121569983> ?p ?o ?g. }
Showing items 1 to 65 of
65
with 100 items per page.
- W3121569983 abstract "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 foundation that could not support it and as the foundation crumbled the housing market followed. That foundation was the Gaussian copula which failed to correctly model failure-time correlations of derivative securities in duress. In retirement, surveys suggest the greatest fear is running out of money and as retirement decumulation models become increasingly sophisticated, large financial firms and robo-advisors may guarantee their success. Similar to an investment bank failure the event of retirement ruin is driven by outliers and correlations in times of stress. It would be desirable to have a foundation able to support the increased complexity before it forms however the industry currently relies upon similar Gaussian (or lognormal) dependence structures. We propose a multivariate density model having fixed marginals that is tractable and fits data which are skewed, heavy-tailed, multimodal, i.e., of arbitrary complexity allowing for a rich correlation structure. It is also ideal for stress-testing a retirement plan by fitting historical data seeded with black swan events. A preliminary section reviews all concepts before they are used and fully documented C/C++ source code is attached making the research self-contained. Lastly, we take the opportunity to challenge existing retirement finance dogma and also review some recent criticisms of retirement ruin probabilities and their suggested replacement metrics." @default.
- W3121569983 created "2021-02-01" @default.
- W3121569983 creator A5013346653 @default.
- W3121569983 date "2017-09-01" @default.
- W3121569983 modified "2023-09-27" @default.
- W3121569983 title "Multivariate Density Modeling for Retirement Finance" @default.
- W3121569983 hasPublicationYear "2017" @default.
- W3121569983 type Work @default.
- W3121569983 sameAs 3121569983 @default.
- W3121569983 citedByCount "0" @default.
- W3121569983 crossrefType "posted-content" @default.
- W3121569983 hasAuthorship W3121569983A5013346653 @default.
- W3121569983 hasConcept C10138342 @default.
- W3121569983 hasConcept C105795698 @default.
- W3121569983 hasConcept C144024400 @default.
- W3121569983 hasConcept C149782125 @default.
- W3121569983 hasConcept C161584116 @default.
- W3121569983 hasConcept C162118730 @default.
- W3121569983 hasConcept C162324750 @default.
- W3121569983 hasConcept C168725872 @default.
- W3121569983 hasConcept C17618745 @default.
- W3121569983 hasConcept C19244329 @default.
- W3121569983 hasConcept C2780619108 @default.
- W3121569983 hasConcept C33923547 @default.
- W3121569983 hasConcept C36289849 @default.
- W3121569983 hasConceptScore W3121569983C10138342 @default.
- W3121569983 hasConceptScore W3121569983C105795698 @default.
- W3121569983 hasConceptScore W3121569983C144024400 @default.
- W3121569983 hasConceptScore W3121569983C149782125 @default.
- W3121569983 hasConceptScore W3121569983C161584116 @default.
- W3121569983 hasConceptScore W3121569983C162118730 @default.
- W3121569983 hasConceptScore W3121569983C162324750 @default.
- W3121569983 hasConceptScore W3121569983C168725872 @default.
- W3121569983 hasConceptScore W3121569983C17618745 @default.
- W3121569983 hasConceptScore W3121569983C19244329 @default.
- W3121569983 hasConceptScore W3121569983C2780619108 @default.
- W3121569983 hasConceptScore W3121569983C33923547 @default.
- W3121569983 hasConceptScore W3121569983C36289849 @default.
- W3121569983 hasLocation W31215699831 @default.
- W3121569983 hasOpenAccess W3121569983 @default.
- W3121569983 hasPrimaryLocation W31215699831 @default.
- W3121569983 hasRelatedWork W1491106936 @default.
- W3121569983 hasRelatedWork W1598854432 @default.
- W3121569983 hasRelatedWork W2020760886 @default.
- W3121569983 hasRelatedWork W2108194505 @default.
- W3121569983 hasRelatedWork W2111241797 @default.
- W3121569983 hasRelatedWork W2201907921 @default.
- W3121569983 hasRelatedWork W2509064626 @default.
- W3121569983 hasRelatedWork W2899274713 @default.
- W3121569983 hasRelatedWork W2976409720 @default.
- W3121569983 hasRelatedWork W3037590945 @default.
- W3121569983 hasRelatedWork W3104702493 @default.
- W3121569983 hasRelatedWork W3121431363 @default.
- W3121569983 hasRelatedWork W3122599042 @default.
- W3121569983 hasRelatedWork W3125888577 @default.
- W3121569983 hasRelatedWork W3196933557 @default.
- W3121569983 hasRelatedWork W333893104 @default.
- W3121569983 hasRelatedWork W781122205 @default.
- W3121569983 hasRelatedWork W2435837079 @default.
- W3121569983 hasRelatedWork W2774572864 @default.
- W3121569983 hasRelatedWork W2978883904 @default.
- W3121569983 isParatext "false" @default.
- W3121569983 isRetracted "false" @default.
- W3121569983 magId "3121569983" @default.
- W3121569983 workType "article" @default.