Mortality dynamics are characterized by changes in mortality regimes. This paper describes a Markov regime switching model which incorporates mortality state switches into mortality dynamics. Using the 1901-2005 US population mortality data, we illustrate that regime switching models perform...

This paper proposes a model for a defined benefit pension plan to minimize total funding variation while controlling expected total pension cost and funding downside risk throughout the life of a pension cohort. With this setup, we first investigate the plan's optimal contribution and asset...