Details about Moshe Arye Milevsky

Homepage:	https://moshemilevsky.com/university-research/
Workplace:	Schulich School of Business, York University, (more information at EDIRC)

Access statistics for papers by Moshe Arye Milevsky.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: pmi984

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Working Papers

2024

1. Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat
   Papers, arXiv.org
2. The Riccati Tontine: How to Satisfy Regulators on Average
   Papers, arXiv.org View citations (1)

2021

3. Refundable income annuities: Feasibility of money-back guarantees
   Papers, arXiv.org
   See also Journal Article Refundable income annuities: Feasibility of money-back guarantees, Insurance: Mathematics and Economics, Elsevier (2022) View citations (3) (2022)

2018

4. Retirement spending and biological age
   Papers, arXiv.org
   See also Journal Article Retirement spending and biological age, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (9) (2017)
5. Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling
   Papers, arXiv.org View citations (2)
   See also Journal Article Swimming with wealthy sharks: longevity, volatility and the value of risk pooling, Journal of Pension Economics and Finance, Cambridge University Press (2020) View citations (5) (2020)
6. The implied longevity curve: How long does the market think you are going to live?
   Papers, arXiv.org

2016

7. Equitable retirement income tontines: Mixing cohorts without discriminating
   Papers, arXiv.org View citations (20)
   See also Journal Article EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING, ASTIN Bulletin, Cambridge University Press (2016) View citations (20) (2016)
8. Optimal retirement income tontines
   Papers, arXiv.org View citations (2)
   See also Journal Article Optimal retirement income tontines, Insurance: Mathematics and Economics, Elsevier (2015) View citations (35) (2015)

2015

9. Annuitization and asset allocation
   Papers, arXiv.org
   See also Journal Article Annuitization and asset allocation, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (106) (2007)

2013

10. Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693
    Papers, arXiv.org
11. Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
    Papers, arXiv.org View citations (1)
    See also Journal Article Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach, Insurance: Mathematics and Economics, Elsevier (2014) View citations (9) (2014)

2012

12. A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)
    Papers, arXiv.org
13. Optimal retirement consumption with a stochastic force of mortality
    Papers, arXiv.org View citations (25)
    See also Journal Article Optimal retirement consumption with a stochastic force of mortality, Insurance: Mathematics and Economics, Elsevier (2012) View citations (26) (2012)
14. Valuation and hedging of the ruin-contingent life annuity (RCLA)
    Papers, arXiv.org View citations (2)
    See also Journal Article Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA), Journal of Risk & Insurance, The American Risk and Insurance Association (2014) (2014)

2008

15. Human Capital, Asset Allocation, and Life Insurance
    Yale School of Management Working Papers, Yale School of Management
    See also Journal Article Human Capital, Asset Allocation, and Life Insurance, Financial Analysts Journal, Taylor & Francis Journals (2006) (2006)
16. Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
    Papers, arXiv.org View citations (1)
    See also Journal Article Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (27) (2009)

2007

17. Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments
    Papers, arXiv.org

Journal Articles

2024

1. Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat?
   Insurance: Mathematics and Economics, 2024, 119, (C), 238-250

2023

2. Adam Smith's reversionary annuity: money's worth, default options and auto-enrollment
   Financial History Review, 2023, 30, (2), 162-197

2022

3. Refundable income annuities: Feasibility of money-back guarantees
   Insurance: Mathematics and Economics, 2022, 105, (C), 175-193 View citations (3)
   See also Working Paper Refundable income annuities: Feasibility of money-back guarantees, Papers (2021) (2021)

2020

4. Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?
   Insurance: Mathematics and Economics, 2020, 92, (C), 147-161 View citations (6)
5. Swimming with wealthy sharks: longevity, volatility and the value of risk pooling
   Journal of Pension Economics and Finance, 2020, 19, (2), 217-246 View citations (5)
   See also Working Paper Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling, Papers (2018) View citations (2) (2018)

2018

6. The Utility Value of Longevity Risk Pooling: Analytic Insights
   North American Actuarial Journal, 2018, 22, (4), 574-590 View citations (3)

2017

7. Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting
   Review of Finance, 2017, 21, (1), 327-361 View citations (12)
8. Retirement spending and biological age
   Journal of Economic Dynamics and Control, 2017, 84, (C), 58-76 View citations (9)
   See also Working Paper Retirement spending and biological age, Papers (2018) (2018)

2016

9. EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING
   ASTIN Bulletin, 2016, 46, (3), 571-604 View citations (20)
   See also Working Paper Equitable retirement income tontines: Mixing cohorts without discriminating, Papers (2016) View citations (20) (2016)
10. It’s Time to Retire Ruin (Probabilities)
    Financial Analysts Journal, 2016, 72, (2), 8-12 View citations (1)
11. Longevity risk and retirement income tax efficiency: A location spending rate puzzle
    Insurance: Mathematics and Economics, 2016, 71, (C), 50-62 View citations (3)
12. The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates
    Journal of Risk & Insurance, 2016, 83, (3), 519-555 View citations (6)

2015

13. Optimal retirement income tontines
    Insurance: Mathematics and Economics, 2015, 64, (C), 91-105 View citations (35)
    See also Working Paper Optimal retirement income tontines, Papers (2016) View citations (2) (2016)

2014

14. Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach
    Insurance: Mathematics and Economics, 2014, 56, (C), 102-111 View citations (9)
    See also Working Paper Optimal initiation of a GLWB in a variable annuity: no arbitrage approach, Papers (2013) View citations (1) (2013)
15. Portfolio choice and longevity risk in the late seventeenth century: a re-examination of the first English tontine
    Financial History Review, 2014, 21, (3), 225-258 View citations (5)
16. Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities
    Canadian Tax Journal, 2014, 62, (4), 971-983 View citations (2)
17. Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)
    Journal of Risk & Insurance, 2014, 81, (2), 367-395
    See also Working Paper Valuation and hedging of the ruin-contingent life annuity (RCLA), Papers (2012) View citations (2) (2012)

2012

18. Optimal retirement consumption with a stochastic force of mortality
    Insurance: Mathematics and Economics, 2012, 51, (2), 282-291 View citations (26)
    See also Working Paper Optimal retirement consumption with a stochastic force of mortality, Papers (2012) View citations (25) (2012)

2011

19. Lifetime ruin minimization: should retirees hedge inflation or just worry about it?*
    Journal of Pension Economics and Finance, 2011, 10, (3), 363-387
20. Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates (corrected July 2011)
    Financial Analysts Journal, 2011, 67, (2), 45-58

2010

21. Do Markets Like Frozen Defined Benefit Pensions? An Event Study
    Journal of Risk & Insurance, 2010, 77, (4), 893-909 View citations (10)

2009

22. Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Riccardo Rebonato. Princeton University Press, 2007, ISBN 978-0-691-13361-4, 304 pages
    Journal of Pension Economics and Finance, 2009, 8, (3), 399-400
23. Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities
    Journal of Economic Dynamics and Control, 2009, 33, (3), 676-691 View citations (27)
    See also Working Paper Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities, Papers (2008) View citations (1) (2008)

2008

24. Erratum to: "Annuitization and asset allocation": [Journal of Economic Dynamics & Control 31 (9) (2007) 3138-3177]
    Journal of Economic Dynamics and Control, 2008, 32, (11), 3743-3744
25. Portfolio Choice and Life Insurance: The CRRA Case
    Journal of Risk & Insurance, 2008, 75, (4), 847-872 View citations (36)
26. Portfolio Choice with Puts: Evidence from Variable Annuities
    Financial Analysts Journal, 2008, 64, (3), 80-95 View citations (1)
27. Portfolio choice and mortality-contingent claims: The general HARA case
    Journal of Banking & Finance, 2008, 32, (11), 2444-2452 View citations (31)

2007

28. Annuitization and asset allocation
    Journal of Economic Dynamics and Control, 2007, 31, (9), 3138-3177 View citations (106)
    See also Working Paper Annuitization and asset allocation, Papers (2015) (2015)
29. The timing of annuitization: Investment dominance and mortality risk
    Insurance: Mathematics and Economics, 2007, 40, (1), 135-144 View citations (15)

2006

30. ASSET ALLOCATION AND ANNUITY‐PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
    Mathematical Finance, 2006, 16, (4), 647-671 View citations (42)
31. Financial valuation of guaranteed minimum withdrawal benefits
    Insurance: Mathematics and Economics, 2006, 38, (1), 21-38 View citations (88)
32. Human Capital, Asset Allocation, and Life Insurance
    Financial Analysts Journal, 2006, 62, (1), 97-109
    See also Working Paper Human Capital, Asset Allocation, and Life Insurance, Yale School of Management Working Papers (2008) (2008)
33. Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio
    Journal of Risk & Insurance, 2006, 73, (4), 673-686 View citations (21)
34. Overview of the Issue
    Journal of Pension Economics and Finance, 2006, 5, (1), i-ii
    Also in Journal of Pension Economics and Finance, 2003, 2, (1), 5-6 (2003)
    Journal of Pension Economics and Finance, 2005, 4, (3), 1-2 (2005)
    Journal of Pension Economics and Finance, 2003, 2, (2), 97-98 (2003)
    Journal of Pension Economics and Finance, 2002, 1, (3), 193-195 (2002)
    Journal of Pension Economics and Finance, 2006, 5, (3), i-ii (2006)
    Journal of Pension Economics and Finance, 2002, 1, (2), 85-87 (2002)
    Journal of Pension Economics and Finance, 2006, 5, (2), i-ii (2006)
    Journal of Pension Economics and Finance, 2003, 2, (3), 221-223 (2003)
    Journal of Pension Economics and Finance, 2005, 4, (1), 5-6 (2005)

2005

35. A Sustainable Spending Rate without Simulation
    Financial Analysts Journal, 2005, 61, (6), 89-100
36. Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
    North American Actuarial Journal, 2005, 9, (4), 109-122 View citations (23)
37. The Implied Longevity Yield: A Note on Developing an Index for Life Annuities
    Journal of Risk & Insurance, 2005, 72, (2), 302-320 View citations (5)
38. Waiting for returns: using space-time duality to calibrate financial diffusions
    Quantitative Finance, 2005, 5, (3), 237-244 View citations (1)

2004

39. A diffusive wander through human life
    Quantitative Finance, 2004, 4, (2), 21-23 View citations (1)
40. Florida's Pension Election: From DB to DC and Back
    Journal of Risk & Insurance, 2004, 71, (3), 381-404 View citations (9)
41. Ruined moments in your life: how good are the approximations?
    Insurance: Mathematics and Economics, 2004, 34, (3), 421-447 View citations (7)

2003

42. A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING
    International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (02), 173-194 View citations (4)
43. Asset Allocation and the Liquidity Premium for Illiquid Annuities
    Journal of Risk & Insurance, 2003, 70, (3), 509-526 View citations (17)
44. Book Review
    Journal of Finance, 2003, 58, (4), 1719-1722

2002

45. Optimal asset allocation in life annuities: a note
    Insurance: Mathematics and Economics, 2002, 30, (2), 199-209 View citations (36)

2001

46. Mortality derivatives and the option to annuitise
    Insurance: Mathematics and Economics, 2001, 29, (3), 299-318 View citations (134)
47. Optimal Annuitization Policies
    North American Actuarial Journal, 2001, 5, (1), 57-69 View citations (24)
48. Variable annuities versus mutual funds: a Monte-Carlo analysis of the options
    Financial Services Review, 2001, 10, (1-4), 145-161 View citations (4)

2000

49. Self-Annuitization and Ruin in Retirement
    North American Actuarial Journal, 2000, 4, (4), 112-124 View citations (32)

1999

50. Hedging and pricing with tax law uncertainty: Managing under an Arkansas Best doctrine
    The Quarterly Review of Economics and Finance, 1999, 39, (1), 147-168 View citations (4)
51. International equity diversification and shortfall risk
    Financial Services Review, 1999, 8, (1), 11-25 View citations (2)
52. Martingales, scale functions and stochastic life annuities: a note
    Insurance: Mathematics and Economics, 1999, 24, (1-2), 149-154 View citations (3)
53. Time Diversification, Safety-First and Risk
    Review of Quantitative Finance and Accounting, 1999, 12, (3), 271-81 View citations (7)

1998

54. A theoretical investigation of randomized asset allocation strategies
    Applied Mathematical Finance, 1998, 5, (2), 117-130
55. Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution
    Journal of Financial and Quantitative Analysis, 1998, 33, (3), 409-422 View citations (87)
    See also Chapter ASIAN OPTIONS, THE SUM OF LOGNORMALS, AND THE RECIPROCAL GAMMA DISTRIBUTION, World Scientific Book Chapters, 1999, 203-218 (1999) (1999)

1997

56. Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money
    Review of Quantitative Finance and Accounting, 1997, 9, (1), 53-70 View citations (22)
57. Tax Effects in Canadian Equity Option Markets
    Multinational Finance Journal, 1997, 1, (2), 101-122 View citations (1)
58. The present value of a stochastic perpetuity and the Gamma distribution
    Insurance: Mathematics and Economics, 1997, 20, (3), 243-250 View citations (13)

1994

59. Asset allocation, life expectancy and shortfall
    Financial Services Review, 1994, 3, (2), 109-126 View citations (14)

Undated

60. Space–time diversification: which dimension is better?
    Journal of Risk

Books

2024

1. The Religious Roots of Longevity Risk Sharing
   Springer Books, Springer

2017

2. King William's Tontine
   Cambridge Books, Cambridge University Press
   Also in Cambridge Books, Cambridge University Press (2015) View citations (1)
3. The Day the King Defaulted
   Springer Books, Springer

2012

4. Strategic Financial Planning over the Lifecycle
   Cambridge Books, Cambridge University Press View citations (3)
   Also in Cambridge Books, Cambridge University Press (2012) View citations (3)

2006

5. The Calculus of Retirement Income
   Cambridge Books, Cambridge University Press View citations (46)

Chapters

2024

1. A Presbyterian Scheme for Ministers
   Springer
2. Alexander Webster and the Archives
   Springer
3. An Enlightened Financial Innovation
   Springer
4. Annuity Management in the Eighteenth Century
   Springer
5. Do You Believe in Pensions?
   Springer
6. From Church PAYGO to Fully Funded
   Springer
7. Longevity Heterogeneity in the Twenty-First Century
   Springer
8. Longevity Risk and Religion
   Springer
9. Pension Resistance in the Nineteenth Century
   Springer
10. Scientific Models Versus Religious Beliefs
    Springer
11. The Benefits of Pooling
    Springer
12. The First Biblical Annuity
    Springer

2017

13. Bankers Then and Now
    Springer
14. Concluding Thoughts for the Twenty-First Century
    Springer
15. Diary of a Default
    Springer
16. Dramatis Personae
    Springer
17. Paid Upon Orders from the Treasury
    Springer
18. Personal Finances of a King
    Springer
19. The Goldsmith-Bankers
    Springer

1999

20. ASIAN OPTIONS, THE SUM OF LOGNORMALS, AND THE RECIPROCAL GAMMA DISTRIBUTION
    Chapter 7 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 203-218
    See also Journal Article Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution, Cambridge University Press (1998) View citations (87) (1998)