Retirement Income Recipes in R by Moshe Arye Milevsky

Author:Moshe Arye Milevsky
Language: eng
Format: epub
ISBN: 9783030514341
Publisher: Springer International Publishing

In my first run, the best-fitting value of m is close to 89 years, but the lowest function value is $objective=0.70, which is much higher than $objective=0.068 when I tested the procedure on the simulated data. Now, it could simply be that Gompertz is a worse fit, or perhaps the (forced) value of b wasn’t quite right. So, let me try to increase the dispersion coefficient, and run the exact same script with b=11.

The best-fitting value of m remains in the vicinity of 89 years, but the gap or error is reduced from $objective=0.70 to a much smaller $objective=0.188, which is much better. So, the “true” value of the Gompertz b coefficient capturing the 1925 cohort is higher than 10 years, which will do for now. But, for the sake of completeness, let’s do the same for males. I’ll start with the same b = 10 assumption.

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