This is my valley. My house is just about right in the middle of that rain storm maybe 10-15 miles away (haven't looked the distance up). It is not an unpleasant place to be. There is certainly more to do here than quant retirement finance. On this day I was taking advantage of that fact and hiking up a hill on the west side of the Bridger range. If we are all lucky there will be more posts like this and fewer like the last one ;-)
I thought I'd try this kind of thing again just for "fun." Fun! ;-) Heh.
I've used a number of different evaluative frameworks over the years including fail rates/Monte Carlo, Lifetime Probability of Ruin, Perfect Withdrawal Rates (PWR), consumption utility, formulas, etc. A while back I took PWR (Suarez 2015) and feathered in random life time by way of Gompertz math that I used to take a random draw on terminal age consistent with a distribution tuned to actuarial tables. That was interesting and while I don't have my link handy I recall that I got some counter-intuitive results (misc measures of spend rates went up) due to the inclusion of the possibility of very very short lifetimes vs the typical "30 years" combined with the fact that long lifetimes will still be circumspect with respect to spending.
This time I wanted to shake up the "PWR + random life" thing a little more. This was spurred by reading Huang et al 2011 which presented a way of randomizing force of mortality via diffusion process. Just out of curiosity I wanted to see what happened in a PWR context when doing that. (recall that PWR is the consumption rate that with perfect foreknowledge of returns would allow one to spend to zero over a given horizon.). After messing around with this a little too much for some very minor new info I had these various ways of shaking things up:
1. No shakeup, just PWR and 30 year horizon
2. PWR with a simple parameterized Gompertz derived distribution.
3. PWR with parameter uncertainty
4. PWR with parameter uncertainty - bias to the dispersion param
5. PWR with parameter uncertainty - bias to the mode param
6. PWR with a faked pseudo-chaotic nudge
7. PWR with stochastic force of mortality - lower sigma
8. PWR with stochastic force of mortality - higher sigma