Moshe Arye Milevsky : Citation Profile

Are you Moshe Arye Milevsky?

York University

14

H index

16

i10 index

670

Citations

RESEARCH PRODUCTION:

60

Articles

15

Papers

5

Books

1

Chapters

RESEARCH ACTIVITY:

   27 years (1994 - 2021). See details.
   Cites by year: 24
   Journals where Moshe Arye Milevsky has often published
   Relations with other researchers
   Recent citing documents: 91.    Total self citations: 21 (3.04 %)

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   Permalink: http://citec.repec.org/pmi984
   Updated: 2022-05-14    RAS profile: 2021-11-09    
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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 (57)

Blake, David (18)

Regis, Luca (16)

Menoncin, Francesco (13)

Dhaene, Jan (13)

Bayraktar, Erhan (12)

Dus, Ivica (12)

luciano, elisa (9)

Goovaerts, Marc (8)

Thorp, Susan (6)

Bravo, Jorge (5)

Cites to:

merton, robert (23)

Brown, Jeffrey (22)

Mitchell, Olivia (16)

Bodie, Zvi (15)

Goovaerts, Marc (14)

Poterba, James (13)

Blake, David (12)

Feldstein, Martin (10)

De Schepper, Ann (9)

Dhaene, Jan (7)

Kling, Jeffrey (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 Economics12
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 (2021 and 2020)

YearTitle of citing document
2020Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2020Optimal investment-consumption problem post-retirement with a minimum guarantee. (2018). Dadashi, Hassan. In: Papers. RePEc:arx:papers:1803.00611.

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2020Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223.

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2020The 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.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804.

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2020Deep neural network for optimal retirement consumption in defined contribution pension system. (2020). Langren, Nicolas ; Chen, Wen. In: Papers. RePEc:arx:papers:2007.09911.

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2020Nonparametric Predictive Inference for Asian options. (2020). He, Ting. In: Papers. RePEc:arx:papers:2008.13082.

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2020Volterra 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.

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2020Quantifying 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.

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2021Optimal 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.

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2022Pseudo-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.

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2021Wealth heterogeneity in a closed pooled annuity fund. (2021). Qu, GE ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2110.13467.

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2021Optimal allocation to deferred income annuities. (2021). Mauskopf, A ; Huang, H ; Habib, F ; Salisbury, T S ; Nikolic, B. In: Papers. RePEc:arx:papers:2111.01234.

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2021Dynamic Spending and Risk-Based Simulation in Retirement Planning. (2021). Panyagometh, Kamphol. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:337-346.

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2020Equity 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.

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2021The 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.

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2021Who 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.

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2022The Fragility of Market Risk Insurance. (2022). Yogo, Motohiro. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:815-862.

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2021Efficient 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.

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2021High?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.

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2022How 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.

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2021How 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.

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2020Trends 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.

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2021Risk 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.

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2020An 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.

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2021Effectiveness 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.

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2022Price 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.

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2020An 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.

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2021Time-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.

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2021Optimal 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.

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2022Novel 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.

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2022Peer-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.

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2020Efficient 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.

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2020Pricing 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.

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2021On 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.

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2021A 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.

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2021Closed-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.

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2021The 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.

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2021Fees 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.

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2021Optimal 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.

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2021Optimal 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.

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2021Fourier 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.

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2021Optimal 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.

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2022Valuing 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.

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2020On 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.

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2020Optimal 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.

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2020Optimal 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.

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2020Optimal 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.

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2020Optimal 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.

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2021Volterra 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.

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2021Moment-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.

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2021Model-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.

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2021Pricing 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.

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2021Mortality 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.

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2021Fair 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.

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2021Optimal 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.

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2021Addressing 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.

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2021The 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.

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2021Macro 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.

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2021Longevity 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.

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2021Variable 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.

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2020Putting 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.

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2020Optimal 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.

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2020What 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.

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2021Would 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.

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2020Displaced, 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.

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2021Why 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.

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2020Verification 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.

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2020Cost 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.

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2021The 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.

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2020.

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2021.

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2020Stochastic 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.

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2020Longevity 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.

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2021Designing 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.

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2021Automatic 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.

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2021Pricing 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.

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2020Deep neural network for optimal retirement consumption in defined contribution pension system. (2020). Langrene, Nicolas ; Chen, Wen. In: Working Papers. RePEc:hal:wpaper:hal-02909818.

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2021Longevity-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.

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2020Cost 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.

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2021Characteristics 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.

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2021Mediation 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.

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2022.

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2020IMPACT 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.

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2021Quadratic Funding with Incomplete Information. (2021). Maldonado, Wilfredo ; Luis , . In: Working Papers, Department of Economics. RePEc:spa:wpaper:2021wpecon24.

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2020Market 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.

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2022Does 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.

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2021Minimum 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.

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2020Mathematical 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.

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2021Closed?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.

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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.
[Full Text][Citation analysis]		paper0
2008Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities In: Papers.
[Full Text][Citation analysis]		paper20
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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2012Optimal retirement consumption with a stochastic force of mortality In: Papers.
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2012Optimal retirement consumption with a stochastic force of mortality.(2012) In: Insurance: Mathematics and Economics.
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2012Valuation and hedging of the ruin-contingent life annuity (RCLA) In: Papers.
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2013Optimal initiation of a GLWB in a variable annuity: no arbitrage approach In: Papers.
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2007Annuitization and asset allocation.(2007) In: Journal of Economic Dynamics and Control.
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2016EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING.(2016) In: ASTIN Bulletin.
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2017Retirement spending and biological age.(2017) In: Journal of Economic Dynamics and Control.
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2018Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling In: Papers.
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2020Swimming with wealthy sharks: longevity, volatility and the value of risk pooling.(2020) In: Journal of Pension Economics and Finance.
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2004Floridas Pension Election: From DB to DC and Back In: Journal of Risk & Insurance.
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2005The Implied Longevity Yield: A Note on Developing an Index for Life Annuities In: Journal of Risk & Insurance.
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2006Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio In: Journal of Risk & Insurance.
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2008Portfolio Choice and Life Insurance: The CRRA Case In: Journal of Risk & Insurance.
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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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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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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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1999Martingales, scale functions and stochastic life annuities: a note In: Insurance: Mathematics and Economics.
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2001Mortality derivatives and the option to annuitise In: Insurance: Mathematics and Economics.
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2002Optimal asset allocation in life annuities: a note In: Insurance: Mathematics and Economics.
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2004Ruined moments in your life: how good are the approximations? In: Insurance: Mathematics and Economics.
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2006Financial valuation of guaranteed minimum withdrawal benefits In: Insurance: Mathematics and Economics.
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2007The timing of annuitization: Investment dominance and mortality risk In: Insurance: Mathematics and Economics.
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2016Longevity risk and retirement income tax efficiency: A location spending rate puzzle In: Insurance: Mathematics and Economics.
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2020Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? In: Insurance: Mathematics and Economics.
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2008Portfolio choice and mortality-contingent claims: The general HARA case In: Journal of Banking & Finance.
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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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1999Time Diversification, Safety-First and Risk. In: Review of Quantitative Finance and Accounting.
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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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2005Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) In: North American Actuarial Journal.
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