This paper developed a wealth allocation framework for longevity risk protection under stochastic lifetime. By combining the dynamics of wealth evolution and health evolution in stochastic multi-period discrete-time models, an optimization problem was formulated with the objective of maximizing...

This paper presents and calibrates an individual’s stochastic health evolution model. In this health evolution model, the uncertainty of health incidents is described by a stochastic process with a finite number of possible outcomes. We construct a comprehensive health status index (HSI) to...