R-scripts, Algorithms and Slides

Download a zipped file which includes the PDF slides used in lecture #1, where I introduced the types of problems we will solve in the course, instructions on how to download and install R-studio together with some basic R-scripts.

Download a zipped file which includes a (hypothetical) personal finance dataset in csv format, a number of R-scripts and the PDF slides used for lecture #2, in which we code-up a basic model of spending and saving over the lifecycle and compare with the data.

Download a zipped file which includes a number of R-scripts and the PDF slides used for lecture #3, in which we discuss how to model and measure the longevity of a portfolio subject to withdrawals, basic Monte Carlo (MC) simulations and the sequence of returns (SoR) effect.

Download a zipped file which includes a number of plot R-scripts, data files and the PDF slides used for lecture #4, in which we introduce and discuss basic cohort mortality tables, the implied mortality rates and the concept of a random remaining lifetime, all in discrete time. And, some financial economics at the very end.

Download a zipped file which includes a number of R-scripts, data files and the PDF slides used for lecture #5, in which we discuss period vs. cohort mortality tables, the Gompertz-Makeham law of mortality, estimating parameters via regression, projection factors and reduction scales, the Compensation Law of Mortality (CLaM), simulating random lifetimes and a brief discussion of biological versus chronological age.

Download a zipped file which includes a number of R-scripts, data files and the PDF slides used for lecture #6, in which discuss the lump-sum versus pension annuity dilemma, the valuation of life annuities under the Gompertz law of mortality, the general valuation of longevity-contingent claims via the Binomial distribution, the Law of Large Numbers and finally, we locate some mortality credits.

Download a zipped folder which includes the PDF slides used for lecture #7, in which I discuss modeling Defined Benefit (DB) versus Defined Contribution (DC) pensions, coding-up Monte Carlo simulation of DC account values at retirement in R, discussion of typical DB benefit formulas and whether or not to delay your pension (e.g. CPP or OAS) in exchange for higher benefits in the future, all under idealized conditions.

Download a zipped folder which includes PDF slides and R-scripts used for lecture #8, in which I discuss and solve the (Fisher-Yaari) retirement lifecycle model (LCM) with Gompertz mortality, the optimal consumption spending rate, and the wealth depletion time (WDT) in the presence of pension income.

Download a zipped folder which contains all the homework assignment questions with the final project used in the Winter 2019 semester plus an advanced reading list. The folder also contains a complete collection of all the R-scripts with a few extra ones I have used in some recent technical papers, all in one centralized location. (Note there are only 8 weeks of formal lecture notes. The other sessions were used to solve problems and for guest lectures.)