Moshe Arye Milevsky : Citation Profile


Are you Moshe Arye Milevsky?

York University

18

H index

22

i10 index

930

Citations

RESEARCH PRODUCTION:

61

Articles

15

Papers

5

Books

1

Chapters

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 33
   Journals where Moshe Arye Milevsky has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 26 (2.72 %)

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   Permalink: http://citec.repec.org/pmi984
   Updated: 2024-01-16    RAS profile: 2022-06-14    
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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:

Mitchell, Olivia (81)

Dus, Ivica (26)

Bayraktar, Erhan (24)

Blake, David (20)

Menoncin, Francesco (17)

Regis, Luca (16)

Dhaene, Jan (14)

luciano, elisa (9)

Thorp, Susan (7)

Post, Thomas (7)

Ewald, Christian-Oliver (6)

Cites to:

merton, robert (27)

Brown, Jeffrey (24)

Mitchell, Olivia (17)

Bodie, Zvi (16)

Blake, David (14)

Poterba, James (14)

De Schepper, Ann (9)

Dhaene, Jan (7)

Diamond, Peter (7)

Piggott, John (6)

Mullainathan, Sendhil (6)

Main data


Where Moshe Arye Milevsky has published?


Journals with more than one article published# docs
Journal of Pension Economics and Finance13
Insurance: Mathematics and Economics13
Journal of Risk & Insurance8
North American Actuarial Journal4
Journal of Economic Dynamics and Control4
Financial Services Review3
Quantitative Finance2
Review of Quantitative Finance and Accounting2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org14

Recent works citing Moshe Arye Milevsky (2024 and 2023)


YearTitle of citing document
2023Endowment contingency funds for mutual aid and public financing. (2023). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023009.

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2023Valuation of general GMWB annuities in a low interest rate environment. (2022). Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2208.10183.

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2023Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575.

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2023Equity Protection Swaps: An New Type of Insurance for Superannuation. (2023). Liu, Ruyi ; Xu, Huansang. In: Papers. RePEc:arx:papers:2305.09472.

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2023A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. (2023). Dang, Duy-Minh ; Lu, Yaowen. In: Papers. RePEc:arx:papers:2310.00606.

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2023Life cycle insurance, bequest motives and annuity loads. (2023). Shevchenko, Pavel V ; Kingston, Geoffrey ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2310.06274.

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2023Optimal Retirement Choice under Age-dependent Force of Mortality. (2023). Zhu, Shihao ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2311.12169.

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2023Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. (2023). Ferrari, Giorgio ; Chen, AN ; Zhu, Shihao. In: Papers. RePEc:arx:papers:2312.02943.

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2023Optimal Retirement Choice under Age-dependent Force of Mortality. (2023). Zhu, Shihao ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:683.

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2023Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. (2023). Ferrari, Giorgio ; Chen, AN ; Zhu, Shihao. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:684.

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2023The day?of?the?month effect and the performance of the dollar cost averaging strategy: Evidence from China. (2023). Yu, Bin ; Li, Hongze ; Jin, Xuejun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:797-815.

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2023Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities. (2023). Moenig, Thorsten ; Bauer, Daniel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:459-486.

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2023Historical pricing variability in immediate and deferred income annuities. (2023). Nikolic, Branislav ; Blanchett, David. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:26:y:2023:i:2:p:271-280.

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2023The GMWB guarantee embedded in Life Insurance Contracts: Fair Value Pricing Problem. (2023). Abid, Ilyes ; Naoui, Kamel ; Hamdi, Haykel ; Mrad, Fatma. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005062.

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2023Optimal lifetime income annuity without bequest: Single and annual premiums. (2023). Anyomi, Siegfried Kafui ; Emire, Ebenezer Fiifi. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007899.

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2023Optimal investment and consumption strategies for pooled annuity with partial information. (2023). Li, Danping ; Qian, Linyi ; Chen, LV ; Xie, Lin ; Yang, Zhixin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:129-155.

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2023Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. (2023). Zhang, Qinyi ; Yu, Xiang ; Li, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:25-45.

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2023Pricing extreme mortality risk in the wake of the COVID-19 pandemic. (2023). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:84-106.

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2023Valuation of general GMWB annuities in a low interest rate environment. (2023). Rotondi, Francesco ; Fontana, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:142-167.

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2023Optimal retirement savings over the life cycle: A deterministic analysis in closed form. (2023). Koch, Marlene ; Jensen, Bjarne Astrup ; Fischer, Marcel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:48-58.

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2023Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin. (2023). Young, Virginia R ; Liang, Xiaoqing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:80-96.

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2023An imprecise pricing model for Asian options based on Nonparametric predictive inference. (2023). He, Ting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000070.

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2023.

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2023.

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2023A stochastic Asset Liability Management model for life insurance companies. (2023). Simonella, Roberta ; di Francesco, Marco. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00411-0.

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2023Hedging longevity risk in defined contribution pension schemes. (2023). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00440-8.

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2023Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods. (2023). Staino, Alessandro ; Russo, Emilio ; Martire, Antonio L. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00383-w.

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2023A new option for mortality–interest rates. (2023). Tsai, Cary Chiliang ; Lin, Tzuling. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:273-293.

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2023Fixed and variable longevity annuities in defined contribution plans: Optimal retirement portfolios taking social security into account. (2023). Mitchell, Olivia S ; Maurer, Raimond ; Horneff, Vanya. In: CFS Working Paper Series. RePEc:zbw:cfswop:684.

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Works by Moshe Arye Milevsky:


YearTitleTypeCited
2007Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments In: Papers.
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2008Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities In: Papers.
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paper26
2009Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities.(2009) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 26
article
2012Optimal retirement consumption with a stochastic force of mortality In: Papers.
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paper22
2012Optimal retirement consumption with a stochastic force of mortality.(2012) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 22
article
2012A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA) In: Papers.
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paper0
2012Valuation and hedging of the ruin-contingent life annuity (RCLA) In: Papers.
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paper2
2014Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA).(2014) In: Journal of Risk & Insurance.
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This paper has nother version. Agregated cites: 2
article
2013Optimal initiation of a GLWB in a variable annuity: no arbitrage approach In: Papers.
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paper7
2014Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach.(2014) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 7
article
2013Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693 In: Papers.
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paper0
2015Annuitization and asset allocation In: Papers.
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paper99
2007Annuitization and asset allocation.(2007) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 99
article
2016Equitable retirement income tontines: Mixing cohorts without discriminating In: Papers.
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paper18
2016EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING.(2016) In: ASTIN Bulletin.
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This paper has nother version. Agregated cites: 18
article
2016Optimal retirement income tontines In: Papers.
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paper30
2015Optimal retirement income tontines.(2015) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 30
article
2018Retirement spending and biological age In: Papers.
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paper4
2017Retirement spending and biological age.(2017) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 4
article
2018The implied longevity curve: How long does the market think you are going to live? In: Papers.
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2018Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling In: Papers.
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paper6
2020Swimming with wealthy sharks: longevity, volatility and the value of risk pooling.(2020) In: Journal of Pension Economics and Finance.
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This paper has nother version. Agregated cites: 6
article
2021Refundable income annuities: Feasibility of money-back guarantees In: Papers.
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paper1
2022Refundable income annuities: Feasibility of money-back guarantees.(2022) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 1
article
2003Book Review In: Journal of Finance.
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article0
2003Asset Allocation and the Liquidity Premium for Illiquid Annuities In: Journal of Risk & Insurance.
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article17
2004Floridas Pension Election: From DB to DC and Back In: Journal of Risk & Insurance.
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article8
2005The Implied Longevity Yield: A Note on Developing an Index for Life Annuities In: Journal of Risk & Insurance.
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article5
2006Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio In: Journal of Risk & Insurance.
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article18
2008Portfolio Choice and Life Insurance: The CRRA Case In: Journal of Risk & Insurance.
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article31
2010Do Markets Like Frozen Defined Benefit Pensions? An Event Study In: Journal of Risk & Insurance.
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article8
2016The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates In: Journal of Risk & Insurance.
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article4
2006ASSET ALLOCATION AND ANNUITY?PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN In: Mathematical Finance.
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article41
2014Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities In: Canadian Tax Journal.
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article1
2012Strategic Financial Planning over the Lifecycle In: Cambridge Books.
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book3
2012Strategic Financial Planning over the Lifecycle.(2012) In: Cambridge Books.
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This paper has nother version. Agregated cites: 3
book
2006The Calculus of Retirement Income In: Cambridge Books.
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book42
2015King Williams Tontine In: Cambridge Books.
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book1
2017King Williams Tontine.(2017) In: Cambridge Books.
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This paper has nother version. Agregated cites: 1
book
2014Portfolio choice and longevity risk in the late seventeenth century: a re-examination of the first English tontine In: Financial History Review.
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article3
1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution In: Journal of Financial and Quantitative Analysis.
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article81
1999ASIAN OPTIONS, THE SUM OF LOGNORMALS, AND THE RECIPROCAL GAMMA DISTRIBUTION.(1999) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 81
chapter
2011Lifetime ruin minimization: should retirees hedge inflation or just worry about it?* In: Journal of Pension Economics and Finance.
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article0
2002Overview of the Issue In: Journal of Pension Economics and Finance.
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article0
2002Overview of the Issue.(2002) In: Journal of Pension Economics and Finance.
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This paper has nother version. Agregated cites: 0
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2003Overview of the Issue.(2003) In: Journal of Pension Economics and Finance.
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2003Overview of the Issue.(2003) In: Journal of Pension Economics and Finance.
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2003Overview of the Issue.(2003) In: Journal of Pension Economics and Finance.
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2005Overview of the Issue.(2005) In: Journal of Pension Economics and Finance.
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2005Overview of the Issue.(2005) In: Journal of Pension Economics and Finance.
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2006Overview of the Issue.(2006) In: Journal of Pension Economics and Finance.
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2006Overview of the Issue.(2006) In: Journal of Pension Economics and Finance.
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2006Overview of the Issue.(2006) In: Journal of Pension Economics and Finance.
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article
2009Plight 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.
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article0
2008Erratum to: Annuitization and asset allocation: [Journal of Economic Dynamics & Control 31 (9) (2007) 3138-3177] In: Journal of Economic Dynamics and Control.
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article0
2001Variable annuities versus mutual funds: a Monte-Carlo analysis of the options In: Financial Services Review.
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article3
1994Asset allocation, life expectancy and shortfall In: Financial Services Review.
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article14
1999International equity diversification and shortfall risk In: Financial Services Review.
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article2
1997The present value of a stochastic perpetuity and the Gamma distribution In: Insurance: Mathematics and Economics.
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article9
1999Martingales, scale functions and stochastic life annuities: a note In: Insurance: Mathematics and Economics.
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article2
2001Mortality derivatives and the option to annuitise In: Insurance: Mathematics and Economics.
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article126
2002Optimal asset allocation in life annuities: a note In: Insurance: Mathematics and Economics.
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article33
2004Ruined moments in your life: how good are the approximations? In: Insurance: Mathematics and Economics.
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article4
2006Financial valuation of guaranteed minimum withdrawal benefits In: Insurance: Mathematics and Economics.
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article83
2007The timing of annuitization: Investment dominance and mortality risk In: Insurance: Mathematics and Economics.
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article13
2016Longevity risk and retirement income tax efficiency: A location spending rate puzzle In: Insurance: Mathematics and Economics.
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article3
2020Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? In: Insurance: Mathematics and Economics.
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article5
2008Portfolio choice and mortality-contingent claims: The general HARA case In: Journal of Banking & Finance.
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article29
1999Hedging and pricing with tax law uncertainty: Managing under an Arkansas Best doctrine In: The Quarterly Review of Economics and Finance.
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article4
1999Time Diversification, Safety-First and Risk. In: Review of Quantitative Finance and Accounting.
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article7
1997Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money. In: Review of Quantitative Finance and Accounting.
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article21
1997Tax Effects in Canadian Equity Option Markets In: Multinational Finance Journal.
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article1
2017Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting In: Review of Finance.
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article11
1998A theoretical investigation of randomized asset allocation strategies In: Applied Mathematical Finance.
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article0
2004A diffusive wander through human life In: Quantitative Finance.
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article1
2005Waiting for returns: using space-time duality to calibrate financial diffusions In: Quantitative Finance.
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article1
2018The Utility Value of Longevity Risk Pooling: Analytic Insights In: North American Actuarial Journal.
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article1
2000Self-Annuitization and Ruin in Retirement In: North American Actuarial Journal.
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article31
2001Optimal Annuitization Policies In: North American Actuarial Journal.
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article24
2005Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) In: North American Actuarial Journal.
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article20
2003A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF).
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