18
H index
25
i10 index
983
Citations
Moshe Arye Milevsky : Citation Profile
York University | RESEARCH PRODUCTION: 69 Articles 17 Papers 7 Books 20 Chapters RESEARCH ACTIVITY:
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30 years (1994 - 2024). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Moshe Arye Milevsky. | Is cited by:
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Main data
Where Moshe Arye Milevsky has published?
| Working Papers Series with more than one paper published | # docs |
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| Papers / arXiv.org | 16 |
Recent works citing Moshe Arye Milevsky (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Equity Protection Swaps: An New Type of Insurance for Superannuation. (2023). Liu, Ruyi ; Xu, Huansang. In: Papers. RePEc:arx:papers:2305.09472. Full description at Econpapers || Download paper |
| 2024 | On variable annuities with surrender charges. (2024). Stabile, Gabriele ; Milazzo, Alessandro ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2405.02115. Full description at Econpapers || Download paper |
| 2025 | A note on bequest preferences in utility maximisation for modern tontines. (2025). Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2501.08972. Full description at Econpapers || Download paper |
| 2025 | Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security. (2025). Zongxia, Liang ; Runhuan, Feng ; Yilun, Song. In: Papers. RePEc:arx:papers:2502.13742. Full description at Econpapers || Download paper |
| 2024 | Exact simulation of the Hull and White stochastic volatility model. (2024). Gonzato, Luca ; Brignone, Riccardo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000538. Full description at Econpapers || Download paper |
| 2024 | Deferred annuities with gender-neutral pricing: Benefitting most women without adversely affecting too many men. (2024). Ying, Yinan ; Lau, Sau-Him Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001398. Full description at Econpapers || Download paper |
| 2024 | Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model. (2024). Lee, Jin Young ; Kim, Jeongsim ; Yoon, Hyungkuk. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001645. Full description at Econpapers || Download paper |
| 2024 | Risk-neutral valuation of GLWB riders in variable annuities. (2024). Zoccolan, Ivan ; Maggistro, Rosario ; Bacinello, Anna Rita. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:1-14. Full description at Econpapers || Download paper |
| 2024 | Optimal annuitization and asset allocation under linear habit formation. (2024). Ma, Xingjian ; Liang, Zongxia ; Guan, Guohui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:176-191. Full description at Econpapers || Download paper |
| 2024 | Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131. Full description at Econpapers || Download paper |
| 2024 | Benefit volatility-targeting strategies in lifetime pension pools. (2024). Begin, Jean-Franois ; Sanders, Barbara. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:72-94. Full description at Econpapers || Download paper |
| 2024 | Back to the funding ratio! Addressing the duration puzzle and retirement income risk of defined contribution pension plans. (2024). Martinez-Carrasco, Miguel ; Garcia-Huitron, Manuel E ; Martellini, Lionel ; Mantilla-Garcia, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002479. Full description at Econpapers || Download paper |
| 2024 | Optimal investor life cycle decisions with time-inconsistent preferences. (2024). Yao, Haixiang ; Luo, Dan ; Chen, Shumin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000359. Full description at Econpapers || Download paper |
| 2024 | Working longer or working harder? Subjective survival expectations and labor supply in China. (2024). Chen, Rongda ; Ye, Zihan ; Yang, Qianqian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:827-847. Full description at Econpapers || Download paper |
| 2024 | Why are pension schemes frozen, and how does a freeze affect the Employers risk?. (2024). Sutcliffe, Charles ; Zhao, Zucheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s105905602400385x. Full description at Econpapers || Download paper |
| 2024 | Determining Safe Withdrawal Rates for Post-Retirement via a Ruin-Theory Approach. (2024). Sendova, Kristina ; Daraei, Diba. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:4:p:70-:d:1378903. Full description at Econpapers || Download paper |
| 2024 | Optimal Benefit Distribution of a Tontine-like Annuity Fund with Age-Structured Models. (2024). Chen, Ping ; Zhang, Fan ; Wu, Xueyuan. In: Risks. RePEc:gam:jrisks:v:13:y:2024:i:1:p:4-:d:1557273. Full description at Econpapers || Download paper |
| 2024 | De-risking pension plans: the impact on firm value from lump-sum buyouts. (2024). Wingender, John R ; Obonyo, Tirimba ; Jorgensen, Randy. In: Risk Management. RePEc:pal:risman:v:26:y:2024:i:3:d:10.1057_s41283-024-00145-5. Full description at Econpapers || Download paper |
| 2024 | A hybrid variable annuity contract embedded with living and death benefit riders. (2024). Ziveyi, Jonathan ; Thirurajah, Samuel ; Garcia, Jennifer Alonso. In: ULB Institutional Repository. RePEc:ulb:ulbeco:2013/385588. Full description at Econpapers || Download paper |
Works by Moshe Arye Milevsky:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities In: Papers. [Full Text][Citation analysis] | paper | 27 |
| 2009 | Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities.(2009) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2012 | Optimal retirement consumption with a stochastic force of mortality In: Papers. [Full Text][Citation analysis] | paper | 24 |
| 2012 | Optimal retirement consumption with a stochastic force of mortality.(2012) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2012 | A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA) In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Valuation and hedging of the ruin-contingent life annuity (RCLA) In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA).(2014) In: Journal of Risk & Insurance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2013 | Optimal initiation of a GLWB in a variable annuity: no arbitrage approach In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2014 | Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach.(2014) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2013 | Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693 In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Annuitization and asset allocation In: Papers. [Full Text][Citation analysis] | paper | 102 |
| 2007 | Annuitization and asset allocation.(2007) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | article | |
| 2016 | Equitable retirement income tontines: Mixing cohorts without discriminating In: Papers. [Full Text][Citation analysis] | paper | 22 |
| 2016 | EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING.(2016) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2016 | Optimal retirement income tontines In: Papers. [Full Text][Citation analysis] | paper | 34 |
| 2015 | Optimal retirement income tontines.(2015) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2018 | Retirement spending and biological age In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2017 | Retirement spending and biological age.(2017) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2018 | The implied longevity curve: How long does the market think you are going to live? In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2020 | Swimming with wealthy sharks: longevity, volatility and the value of risk pooling.(2020) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2021 | Refundable income annuities: Feasibility of money-back guarantees In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Refundable income annuities: Feasibility of money-back guarantees.(2022) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2024 | Egalitarian pooling and sharing of longevity risk, a.k.a. The many ways to skin a tontine cat In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | The Riccati Tontine: How to Satisfy Regulators on Average In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Book Review In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2003 | Asset Allocation and the Liquidity Premium for Illiquid Annuities In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 17 |
| 2004 | Floridas Pension Election: From DB to DC and Back In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 8 |
| 2005 | The Implied Longevity Yield: A Note on Developing an Index for Life Annuities In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 5 |
| 2006 | Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 19 |
| 2008 | Portfolio Choice and Life Insurance: The CRRA Case In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 36 |
| 2010 | Do Markets Like Frozen Defined Benefit Pensions? An Event Study In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 10 |
| 2016 | The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 5 |
| 2006 | ASSET ALLOCATION AND ANNUITY‐PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN In: Mathematical Finance. [Full Text][Citation analysis] | article | 42 |
| 2014 | Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities In: Canadian Tax Journal. [Full Text][Citation analysis] | article | 1 |
| 2012 | Strategic Financial Planning over the Lifecycle In: Cambridge Books. [Citation analysis] | book | 3 |
| 2012 | Strategic Financial Planning over the Lifecycle.(2012) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 3 | book | |
| 2006 | The Calculus of Retirement Income In: Cambridge Books. [Citation analysis] | book | 42 |
| 2015 | King Williams Tontine In: Cambridge Books. [Citation analysis] | book | 1 |
| 2017 | King Williams Tontine.(2017) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 1 | book | |
| 2014 | Portfolio choice and longevity risk in the late seventeenth century: a re-examination of the first English tontine In: Financial History Review. [Full Text][Citation analysis] | article | 3 |
| 2023 | Adam Smiths reversionary annuity: moneys worth, default options and auto-enrollment In: Financial History Review. [Full Text][Citation analysis] | article | 0 |
| 1998 | Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 85 |
| 1999 | ASIAN OPTIONS, THE SUM OF LOGNORMALS, AND THE RECIPROCAL GAMMA DISTRIBUTION.(1999) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | chapter | |
| 2011 | Lifetime ruin minimization: should retirees hedge inflation or just worry about it?* In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2002 | Overview of the Issue In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2002 | Overview of the Issue.(2002) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2003 | Overview of the Issue.(2003) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2003 | Overview of the Issue.(2003) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2003 | Overview of the Issue.(2003) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2005 | Overview of the Issue.(2005) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2005 | Overview of the Issue.(2005) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2006 | Overview of the Issue.(2006) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2006 | Overview of the Issue.(2006) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2006 | Overview of the Issue.(2006) In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2009 | 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. In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2008 | Erratum to: Annuitization and asset allocation: [Journal of Economic Dynamics & Control 31 (9) (2007) 3138-3177] In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2001 | Variable annuities versus mutual funds: a Monte-Carlo analysis of the options In: Financial Services Review. [Full Text][Citation analysis] | article | 4 |
| 1994 | Asset allocation, life expectancy and shortfall In: Financial Services Review. [Full Text][Citation analysis] | article | 14 |
| 1999 | International equity diversification and shortfall risk In: Financial Services Review. [Full Text][Citation analysis] | article | 2 |
| 2024 | Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat? In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 1997 | The present value of a stochastic perpetuity and the Gamma distribution In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
| 1999 | Martingales, scale functions and stochastic life annuities: a note In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2001 | Mortality derivatives and the option to annuitise In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 128 |
| 2002 | Optimal asset allocation in life annuities: a note In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 33 |
| 2004 | Ruined moments in your life: how good are the approximations? In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
| 2006 | Financial valuation of guaranteed minimum withdrawal benefits In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 86 |
| 2007 | The timing of annuitization: Investment dominance and mortality risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 14 |
| 2016 | Longevity risk and retirement income tax efficiency: A location spending rate puzzle In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
| 2020 | Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
| 2008 | Portfolio choice and mortality-contingent claims: The general HARA case In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 31 |
| 1999 | Hedging and pricing with tax law uncertainty: Managing under an Arkansas Best doctrine In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 1999 | Time Diversification, Safety-First and Risk. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 7 |
| 1997 | Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 21 |
| 1997 | Tax Effects in Canadian Equity Option Markets In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 1 |
| 2017 | Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting In: Review of Finance. [Full Text][Citation analysis] | article | 12 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2024 | The Religious Roots of Longevity Risk Sharing In: Springer Books. [Citation analysis] | book | 0 |
| 2017 | The Day the King Defaulted In: Springer Books. [Citation analysis] | book | 0 |
| 2024 | Do You Believe in Pensions? In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | The First Biblical Annuity In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | Pension Resistance in the Nineteenth Century In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | Longevity Heterogeneity in the Twenty-First Century In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | Longevity Risk and Religion In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | The Benefits of Pooling In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | An Enlightened Financial Innovation In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | A Presbyterian Scheme for Ministers In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | Alexander Webster and the Archives In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | Annuity Management in the Eighteenth Century In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | From Church PAYGO to Fully Funded In: Springer Books. [Citation analysis] | chapter | 0 |
| 2024 | Scientific Models Versus Religious Beliefs In: Springer Books. [Citation analysis] | chapter | 0 |
| 2017 | Bankers Then and Now In: Springer Books. [Citation analysis] | chapter | 0 |
| 2017 | Dramatis Personae In: Springer Books. [Citation analysis] | chapter | 0 |
| 2017 | The Goldsmith-Bankers In: Springer Books. [Citation analysis] | chapter | 0 |
| 2017 | Personal Finances of a King In: Springer Books. [Citation analysis] | chapter | 0 |
| 2017 | Paid Upon Orders from the Treasury In: Springer Books. [Citation analysis] | chapter | 0 |
| 2017 | Diary of a Default In: Springer Books. [Citation analysis] | chapter | 0 |
| 2017 | Concluding Thoughts for the Twenty-First Century In: Springer Books. [Citation analysis] | chapter | 0 |
| 1998 | A theoretical investigation of randomized asset allocation strategies In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2004 | A diffusive wander through human life In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2005 | Waiting for returns: using space-time duality to calibrate financial diffusions In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2018 | The Utility Value of Longevity Risk Pooling: Analytic Insights In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 2 |
| 2000 | Self-Annuitization and Ruin in Retirement In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 31 |
| 2001 | Optimal Annuitization Policies In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 24 |
| 2005 | Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 22 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | ||
| In: . [Full Text][Citation analysis] | article | 1 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 1 | |
| 2003 | A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
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