14
H index
16
i10 index
670
Citations
York University | 14 H index 16 i10 index 670 Citations RESEARCH PRODUCTION: 60 Articles 15 Papers 5 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
---|---|
Papers / arXiv.org | 14 |
Year | Title of citing document |
---|---|
2020 | Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026. Full description at Econpapers || Download paper |
2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. Full description at Econpapers || Download paper |
2020 | Optimal investment-consumption problem post-retirement with a minimum guarantee. (2018). Dadashi, Hassan. In: Papers. RePEc:arx:papers:1803.00611. Full description at Econpapers || Download paper |
2020 | Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223. Full description at Econpapers || Download paper |
2020 | The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process. (2020). Xu, Xiao. In: Papers. RePEc:arx:papers:2005.10661. Full description at Econpapers || Download paper |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804. Full description at Econpapers || Download paper |
2020 | Deep neural network for optimal retirement consumption in defined contribution pension system. (2020). Langren, Nicolas ; Chen, Wen. In: Papers. RePEc:arx:papers:2007.09911. Full description at Econpapers || Download paper |
2020 | Nonparametric Predictive Inference for Asian options. (2020). He, Ting. In: Papers. RePEc:arx:papers:2008.13082. Full description at Econpapers || Download paper |
2020 | Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2020). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2009.09572. Full description at Econpapers || Download paper |
2020 | Quantifying the trade-off between income stability and the number of members in a pooled annuity fund. (2020). Donnelly, Catherine ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.16009. Full description at Econpapers || Download paper |
2021 | Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation. (2021). Westmacott, Graham ; Vetzal, Kenneth R ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:2101.02760. Full description at Econpapers || Download paper |
2022 | Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning. (2021). Li, Yuxuan ; Cui, Haoen ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:2107.03340. Full description at Econpapers || Download paper |
2021 | Wealth heterogeneity in a closed pooled annuity fund. (2021). Qu, GE ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2110.13467. Full description at Econpapers || Download paper |
2021 | Optimal allocation to deferred income annuities. (2021). Mauskopf, A ; Huang, H ; Habib, F ; Salisbury, T S ; Nikolic, B. In: Papers. RePEc:arx:papers:2111.01234. Full description at Econpapers || Download paper |
2021 | Dynamic Spending and Risk-Based Simulation in Retirement Planning. (2021). Panyagometh, Kamphol. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:337-346. Full description at Econpapers || Download paper |
2020 | Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver. (2020). Bianchi, Robert J ; MacDonald, Kirsten L ; Drew, Michael E. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3851-3873. Full description at Econpapers || Download paper |
2021 | The silver tsunami: an enquiry into the financial needs, preferences and behaviours of retirees. (2021). Gu, Yuanyuan ; Feng, Jun ; Walker, Ruth ; Chambers, Barbara. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:645-687. Full description at Econpapers || Download paper |
2021 | Who has a cushion? The interactive effect of social exclusion and gender on fixed savings. (2021). , Ruichen ; Zheng, Yuhuang ; Yang, LU ; Chen, Rui. In: Journal of Consumer Affairs. RePEc:bla:jconsa:v:55:y:2021:i:4:p:1398-1415. Full description at Econpapers || Download paper |
2022 | The Fragility of Market Risk Insurance. (2022). Yogo, Motohiro. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:815-862. Full description at Econpapers || Download paper |
2021 | Efficient valuation of variable annuity portfolios with dynamic programming. (2021). Moenig, Thorsten. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:1023-1055. Full description at Econpapers || Download paper |
2021 | High?water mark fee structure in variable annuities. (2021). Li, Dongchen ; Landriault, David ; Wang, Yumin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:1057-1094. Full description at Econpapers || Download paper |
2022 | How best to annuitize defined contribution assets?. (2022). Hou, Wenliang ; Wettstein, Gal ; Munnell, Alicia H. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:1:p:211-235. Full description at Econpapers || Download paper |
2021 | How competitive are income annuity providers over time?. (2021). Nikolic, Branislav ; Finke, Michael ; Blanchett, David. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:207-214. Full description at Econpapers || Download paper |
2020 | Trends in Life Insurance Demand and Lapse Literature. (2020). Patricia, Born ; Klime, Poposki ; Fernanda, Strozzi ; Bojan, Srbinoski. In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:14:y:2020:i:2:p:46:n:2. Full description at Econpapers || Download paper |
2021 | Risk tolerance and household wealth--Evidence from Chinese households. (2021). Wang, Qin ; Li, Haiyang ; Fang, Ming. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:885-895. Full description at Econpapers || Download paper |
2020 | An effective hybrid variance reduction method for pricing the Asian options and its variants. (2020). Lee, Yi-Hsi ; Hsieh, Ming-Hua ; Liang, Chiung-Ju ; Lu, King-Jeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305825. Full description at Econpapers || Download paper |
2021 | Effectiveness of Augmented Dollar-Cost Averaging. (2021). Lien, Donald ; Kapalczynski, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000103. Full description at Econpapers || Download paper |
2022 | Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959. Full description at Econpapers || Download paper |
2020 | An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186. Full description at Econpapers || Download paper |
2021 | Time-consistent portfolio optimization. (2021). Kloeden, Peter E ; Peng, Ling. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:183-193. Full description at Econpapers || Download paper |
2021 | Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk. (2021). Clare, Andrew ; Jang, Chul ; Owadally, Iqbal. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1132-1146. Full description at Econpapers || Download paper |
2022 | Novel utility-based life cycle models to optimise income in retirement. (2022). Wang, Yunxiao ; Pantelous, Athanasios A ; Koo, Bonsoo. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:1:p:346-361. Full description at Econpapers || Download paper |
2022 | Peer-to-peer multi-risk insurance and mutual aid. (2022). Feng, Runhuan ; Abdikerimova, Samal. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:735-749. Full description at Econpapers || Download paper |
2020 | Efficient willow tree method for variable annuities valuation and risk management☆. (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149. Full description at Econpapers || Download paper |
2020 | Pricing arithmetic Asian options under jump diffusion CIR processes. (2020). Jang, Jiwook ; Park, Jong Jun. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612318305099. Full description at Econpapers || Download paper |
2021 | On retirement time decision making. (2021). Steffensen, Mogens ; Hentschel, Felix ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:107-129. Full description at Econpapers || Download paper |
2021 | A decomposition of general premium principles into risk and deviation. (2021). Schmeck, Maren Diane ; Riedel, Frank ; Nendel, Max. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:193-209. Full description at Econpapers || Download paper |
2021 | Closed-form solutions for an explicit modern ideal tontine with bequest motive. (2021). Dagpunar, John. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:261-273. Full description at Econpapers || Download paper |
2021 | The annuity puzzle and consumption hump under ambiguous life expectancy. (2021). Hung, Mao-Wei ; Han, Nan-Wei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:76-88. Full description at Econpapers || Download paper |
2021 | Fees in tontines. (2021). Rach, Manuel ; Guillen, Montserrat ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:89-106. Full description at Econpapers || Download paper |
2021 | Optimal retirement products under subjective mortality beliefs. (2021). Rach, Manuel ; Hieber, Peter ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:55-69. Full description at Econpapers || Download paper |
2021 | Optimal annuity demand for general expected utility agents. (2021). Levante, Lucia ; de Gennaro, Luca ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:70-79. Full description at Econpapers || Download paper |
2021 | Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341. Full description at Econpapers || Download paper |
2021 | Optimal fee structure of variable annuities. (2021). Zou, Bin ; Wang, GU. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:587-601. Full description at Econpapers || Download paper |
2022 | Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (2022). Xiong, Heng ; Mamon, Rogemar ; Huang, Yiming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:1-26. Full description at Econpapers || Download paper |
2020 | On log-normal convolutions: An analytical–numerical method with applications to economic capital determination. (2020). Kuznetsov, Alexey ; Hackmann, Daniel ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:120-134. Full description at Econpapers || Download paper |
2020 | Optimal allocation to Deferred Income Annuities. (2020). Nikolic, B ; Mauskopf, A ; Huang, H ; Habib, F ; Salisbury, T S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:94-104. Full description at Econpapers || Download paper |
2020 | Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes. (2020). Cheng, Xiang ; Wei, Jiaqin ; Wang, Hao ; Jin, Zhuo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:244-256. Full description at Econpapers || Download paper |
2020 | Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR. (2020). Forsyth, Peter A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:230-245. Full description at Econpapers || Download paper |
2020 | Optimal investment–consumption problem: Post-retirement with minimum guarantee. (2020). Dadashi, Hassan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:160-181. Full description at Econpapers || Download paper |
2021 | Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:1-14. Full description at Econpapers || Download paper |
2021 | Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247. Full description at Econpapers || Download paper |
2021 | Model-independent price bounds for Catastrophic Mortality Bonds. (2021). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:276-291. Full description at Econpapers || Download paper |
2021 | Pricing longevity derivatives via Fourier transforms. (2021). Vidal, Joo Pedro ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:81-97. Full description at Econpapers || Download paper |
2021 | Mortality options: The point of view of an insurer. (2021). Schmidli, Hanspeter ; Schmeck, Maren Diane. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:98-115. Full description at Econpapers || Download paper |
2021 | Fair dynamic valuation of insurance liabilities via convex hedging. (2021). Dhaene, Jan ; Chen, ZE ; Yang, Tianyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:1-13. Full description at Econpapers || Download paper |
2021 | Optimal investment for a retirement plan with deferred annuities. (2021). Jang, Chul ; Owadally, Iqbal ; Clare, Andrew. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:51-62. Full description at Econpapers || Download paper |
2021 | Addressing the life expectancy gap in pension policy. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:200-221. Full description at Econpapers || Download paper |
2021 | The role of a longevity insurance for defined contribution pension systems. (2021). Morales, Marco ; Berstein, Solange. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:233-240. Full description at Econpapers || Download paper |
2021 | Macro longevity risk and the choice between annuity products: Evidence from Denmark. (2021). Rangvid, Jesper ; Kallestrup-Lamb, Malene ; Balter, Anne G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:355-362. Full description at Econpapers || Download paper |
2021 | Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439. Full description at Econpapers || Download paper |
2021 | Variable annuities: Market incompleteness and policyholder behavior. (2021). Moenig, Thorsten. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:63-78. Full description at Econpapers || Download paper |
2020 | Putting the pension back in 401(k) retirement plans: Optimal versus default deferred longevity income annuities. (2020). Mitchell, Olivia ; Maurer, Raimond ; Horneff, Vanya. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300510. Full description at Econpapers || Download paper |
2020 | Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets. (2020). Regis, Luca ; Menoncin, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620301977. Full description at Econpapers || Download paper |
2020 | What age do you feel? – Subjective age identity and economic behaviors. (2020). Post, Thomas ; Ye, Zihan . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:173:y:2020:i:c:p:322-341. Full description at Econpapers || Download paper |
2021 | Would you prefer your retirement income to depend on your life expectancy?. (2021). Schernberg, Helene ; Bommier, Antoine. In: Journal of Economic Theory. RePEc:eee:jetheo:v:191:y:2021:i:c:s0022053120301198. Full description at Econpapers || Download paper |
2020 | Displaced, disliked and misunderstood: A systematic review of the reasons for low uptake of long-term care insurance and life annuities. (2020). Schut, Frederik T ; Lambregts, Timo R. In: The Journal of the Economics of Ageing. RePEc:eee:joecag:v:17:y:2020:i:c:s2212828x20300013. Full description at Econpapers || Download paper |
2021 | Why do we postpone annuity purchases?. (2021). d'Albis, Hippolyte ; Kalk, Andrei ; Dalbis, Hippolyte. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:95:y:2021:i:c:s0304406821000380. Full description at Econpapers || Download paper |
2020 | Verification theorems for models of optimal consumption and investment with annuitization. (2020). Park, Seyoung. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:103:y:2020:i:c:p:36-44. Full description at Econpapers || Download paper |
2020 | Cost saving and the freezing of corporate pension plans. (2020). Zeldes, Stephen P ; Stefanescu, Irina ; Rauh, Joshua D. In: Journal of Public Economics. RePEc:eee:pubeco:v:188:y:2020:i:c:s004727272030075x. Full description at Econpapers || Download paper |
2021 | The Complex-Number Mortality Model (CNMM) based on orthonormal expansion of membership function. (2021). Rossa, Agnieszka ; Szymaski, Andrzej. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:3:p:31-57. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2020 | Stochastic Mortality Modelling for Dependent Coupled Lives. (2020). Pamen, Olivier Menoukeu ; Constantinescu, Corina ; Henshaw, Kira. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:17-:d:319039. Full description at Econpapers || Download paper |
2020 | Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework. (2020). Devolder, Pierre ; Zeddouk, Fadoua. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:121-:d:445668. Full description at Econpapers || Download paper |
2021 | Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario. (2021). Olivieri, Annamaria. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:189-:d:662618. Full description at Econpapers || Download paper |
2021 | Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters. (2021). Ayuso, Mercedes ; Palmer, Edward ; Holzmann, Robert ; Bravo, Jorge M. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:96-:d:554249. Full description at Econpapers || Download paper |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141. Full description at Econpapers || Download paper |
2020 | Deep neural network for optimal retirement consumption in defined contribution pension system. (2020). Langrene, Nicolas ; Chen, Wen. In: Working Papers. RePEc:hal:wpaper:hal-02909818. Full description at Econpapers || Download paper |
2021 | Longevity-risk-adjusted global age as a measure of well-being. (2021). Recchioni, Maria Cristina ; Mariani, Francesca ; Polinesi, Gloria ; Mezzelani, Mattia. In: RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies. RePEc:ite:iteeco:210403. Full description at Econpapers || Download paper |
2020 | Cost Saving and the Freezing of Corporate Pension Plans. (2020). Zeldes, Stephen P ; Stefanescu, Irina ; Rauh, Joshua D. In: NBER Working Papers. RePEc:nbr:nberwo:27251. Full description at Econpapers || Download paper |
2021 | Characteristics of random responders in a financial risk-tolerance questionnaire. (2021). Rabbani, Abed ; Heo, Wookjae ; Grable, John E. In: Journal of Financial Services Marketing. RePEc:pal:jofsma:v:26:y:2021:i:1:d:10.1057_s41264-020-00078-6. Full description at Econpapers || Download paper |
2021 | Mediation between financial risk tolerance and equity ownership: assessing the role of financial knowledge underconfidence. (2021). Rabbani, Abed G ; Heo, Wookjae ; Lee, Jaemin. In: Journal of Financial Services Marketing. RePEc:pal:jofsma:v:26:y:2021:i:3:d:10.1057_s41264-021-00088-y. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2020 | IMPACT OF LIFE ANNUITY AS PAYMENT OPTION ON NIGERIAN PENSION FUNDS. (2020). Salisu, Shehu Jafaru ; Sambo, Halimah Sani. In: Proceedings of Administration and Public Management International Conference. RePEc:rom:compca:v:16:y:2020:i:1:p:103-111. Full description at Econpapers || Download paper |
2021 | Quadratic Funding with Incomplete Information. (2021). Maldonado, Wilfredo ; Luis , . In: Working Papers, Department of Economics. RePEc:spa:wpaper:2021wpecon24. Full description at Econpapers || Download paper |
2020 | Market attention and Bitcoin price modeling: theory, estimation and option pricing. (2020). Patacca, Marco ; Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00262-x. Full description at Econpapers || Download paper |
2022 | Does social responsibility begin at home? The relation between firms’ pension policies and corporate social responsibility (CSR) activities. (2022). Manchiraju, Hariom ; Gao, Feng ; Anantharaman, Divya. In: Review of Accounting Studies. RePEc:spr:reaccs:v:27:y:2022:i:1:d:10.1007_s11142-021-09615-7. Full description at Econpapers || Download paper |
2021 | Minimum return rate guarantees under default risk: optimal design of quantile guarantees. (2021). Offermann, Sascha ; Lubos, Oliver ; Mahayni, Antje. In: Review of Managerial Science. RePEc:spr:rvmgts:v:15:y:2021:i:7:d:10.1007_s11846-020-00410-3. Full description at Econpapers || Download paper |
2020 | Mathematical Reserves vs Longevity Risk in Life Insurances. (2020). Magdalena, Homa. In: Econometrics. Advances in Applied Data Analysis. RePEc:vrs:eaiada:v:24:y:2020:i:1:p:23-38:n:3. Full description at Econpapers || Download paper |
2021 | Closed?form lower bounds for the price of arithmetic average Asian options by multiple conditioning. (2021). Ho, Geon ; Kim, Min Seok. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:1916-1932. Full description at Econpapers || Download paper |
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 | 20 |
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 another version. Agregated cites: 20 | article | |
2012 | Optimal retirement consumption with a stochastic force of mortality In: Papers. [Full Text][Citation analysis] | paper | 17 |
2012 | Optimal retirement consumption with a stochastic force of mortality.(2012) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | 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 another 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 | 7 |
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 another version. Agregated cites: 7 | 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 | 84 |
2007 | Annuitization and asset allocation.(2007) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | article | |
2016 | Equitable retirement income tontines: Mixing cohorts without discriminating In: Papers. [Full Text][Citation analysis] | paper | 13 |
2016 | EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING.(2016) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2016 | Optimal retirement income tontines In: Papers. [Full Text][Citation analysis] | paper | 19 |
2015 | Optimal retirement income tontines.(2015) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2018 | Retirement spending and biological age In: Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Retirement spending and biological age.(2017) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | 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 | 2 |
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 another version. Agregated cites: 2 | article | |
2021 | Refundable income annuities: Feasibility of money-back guarantees In: Papers. [Full Text][Citation analysis] | paper | 0 |
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 | 14 |
2008 | Portfolio Choice and Life Insurance: The CRRA Case In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 27 |
2010 | Do Markets Like Frozen Defined Benefit Pensions? An Event Study In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 5 |
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 | 2 |
2006 | ASSET ALLOCATION AND ANNUITY?PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN In: Mathematical Finance. [Full Text][Citation analysis] | article | 27 |
2014 | Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities In: Canadian Tax Journal. [Full Text][Citation analysis] | article | 0 |
2012 | Strategic Financial Planning over the Lifecycle In: Cambridge Books. [Citation analysis] | book | 0 |
2012 | Strategic Financial Planning over the Lifecycle.(2012) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 0 | book | |
2006 | The Calculus of Retirement Income In: Cambridge Books. [Citation analysis] | book | 7 |
2015 | King Williams Tontine In: Cambridge Books. [Citation analysis] | book | 0 |
2017 | King Williams Tontine.(2017) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 0 | 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 | 1 |
1998 | Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 62 |
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 another version. Agregated cites: 62 | 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 | 1 |
1994 | Asset allocation, life expectancy and shortfall In: Financial Services Review. [Full Text][Citation analysis] | article | 9 |
1999 | International equity diversification and shortfall risk In: Financial Services Review. [Full Text][Citation analysis] | article | 2 |
1997 | The present value of a stochastic perpetuity and the Gamma distribution In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
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 | 115 |
2002 | Optimal asset allocation in life annuities: a note In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 28 |
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 | 70 |
2007 | The timing of annuitization: Investment dominance and mortality risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 12 |
2016 | Longevity risk and retirement income tax efficiency: A location spending rate puzzle In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
2020 | Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
2008 | Portfolio choice and mortality-contingent claims: The general HARA case In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 23 |
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 | 2 |
1999 | Time Diversification, Safety-First and Risk. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 4 |
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 | 15 |
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 | 8 |
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 | 1 |
2000 | Self-Annuitization and Ruin in Retirement In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 4 |
2001 | Optimal Annuitization Policies In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 3 |
2005 | Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 7 |
2003 | A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 3 |
2008 | Human Capital, Asset Allocation, and Life Insurance In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team