18
H index
22
i10 index
930
Citations
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. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pmi984 |
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 |
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Papers / arXiv.org | 14 |
Year | Title of citing document |
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2023 | Endowment contingency funds for mutual aid and public financing. (2023). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023009. Full description at Econpapers || Download paper |
2023 | Valuation of general GMWB annuities in a low interest rate environment. (2022). Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2208.10183. Full description at Econpapers || Download paper |
2023 | Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575. Full description at Econpapers || Download paper |
2023 | 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 |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Life cycle insurance, bequest motives and annuity loads. (2023). Shevchenko, Pavel V ; Kingston, Geoffrey ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2310.06274. Full description at Econpapers || Download paper |
2023 | Optimal Retirement Choice under Age-dependent Force of Mortality. (2023). Zhu, Shihao ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2311.12169. Full description at Econpapers || Download paper |
2023 | Striking 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. Full description at Econpapers || Download paper |
2023 | Optimal Retirement Choice under Age-dependent Force of Mortality. (2023). Zhu, Shihao ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:683. Full description at Econpapers || Download paper |
2023 | Striking 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Cheaper 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. Full description at Econpapers || Download paper |
2023 | Historical 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Optimal 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. Full description at Econpapers || Download paper |
2023 | Optimal 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. Full description at Econpapers || Download paper |
2023 | Optimal 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. Full description at Econpapers || Download paper |
2023 | Pricing 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. Full description at Econpapers || Download paper |
2023 | Valuation 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. Full description at Econpapers || Download paper |
2023 | Optimal 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. Full description at Econpapers || Download paper |
2023 | Annuitizing 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. Full description at Econpapers || Download paper |
2023 | An 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Hedging 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. Full description at Econpapers || Download paper |
2023 | Surrender 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Fixed 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 26 |
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: 26 | article | |
2012 | Optimal retirement consumption with a stochastic force of mortality In: Papers. [Full Text][Citation analysis] | paper | 22 |
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: 22 | 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 | 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 nother 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 | 99 |
2007 | Annuitization and asset allocation.(2007) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 99 | article | |
2016 | Equitable retirement income tontines: Mixing cohorts without discriminating In: Papers. [Full Text][Citation analysis] | paper | 18 |
2016 | EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING.(2016) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
2016 | Optimal retirement income tontines In: Papers. [Full Text][Citation analysis] | paper | 30 |
2015 | Optimal retirement income tontines.(2015) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2018 | Retirement spending and biological age In: Papers. [Full Text][Citation analysis] | paper | 4 |
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: 4 | 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 | 1 |
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: 1 | article | |
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 | 18 |
2008 | Portfolio Choice and Life Insurance: The CRRA Case In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 31 |
2010 | Do Markets Like Frozen Defined Benefit Pensions? An Event Study In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 8 |
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 | 4 |
2006 | ASSET ALLOCATION AND ANNUITY?PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN In: Mathematical Finance. [Full Text][Citation analysis] | article | 41 |
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 |
1998 | Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 81 |
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: 81 | 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 | 3 |
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 |
1997 | The present value of a stochastic perpetuity and the Gamma distribution In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
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 | 126 |
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 | 83 |
2007 | The timing of annuitization: Investment dominance and mortality risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
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 | 5 |
2008 | Portfolio choice and mortality-contingent claims: The general HARA case In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 29 |
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 | 11 |
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 | 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 | 20 |
2003 | A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
In: . [Full Text][Citation analysis] | paper | 0 |
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