Moshe Arye Milevsky : Citation Profile

Are you Moshe Arye Milevsky?

York University

17

H index

22

i10 index

916

Citations

RESEARCH PRODUCTION:

66

Articles

17

Papers

6

Books

13

Chapters

RESEARCH ACTIVITY:

   30 years (1994 - 2024). See details.
   Cites by year: 30
   Journals where Moshe Arye Milevsky has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 28 (2.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmi984
   Updated: 2024-11-04    RAS profile: 2024-08-08    
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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 (75)

Dus, Ivica (25)

Blake, David (20)

Menoncin, Francesco (17)

Regis, Luca (16)

Bayraktar, Erhan (15)

Dhaene, Jan (14)

Post, Thomas (10)

luciano, elisa (9)

Thorp, Susan (7)

Ewald, Christian-Oliver (6)

Cites to:

merton, robert (23)

Brown, Jeffrey (22)

Mitchell, Olivia (18)

Blake, David (14)

Bodie, Zvi (14)

Poterba, James (13)

Dhaene, Jan (11)

De Schepper, Ann (9)

Piggott, John (8)

Valdez, Emiliano (6)

Mullainathan, Sendhil (6)

Main data

Where Moshe Arye Milevsky has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics13
Journal of Pension Economics and Finance13
Journal of Risk & Insurance8
Financial Analysts Journal5
Journal of Economic Dynamics and Control4
North American Actuarial Journal4
Financial Services Review3
Quantitative Finance2
Financial History Review2
Review of Quantitative Finance and Accounting2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org16

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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2024Equity 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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2024On variable annuities with surrender charges. (2024). Stabile, Gabriele ; Milazzo, Alessandro ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2405.02115.

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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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2024Its RILA time: An introduction to registered index?linked annuities. (2022). Moenig, Thorsten. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:339-369.

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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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2023Life cycle insurance, bequest motives and annuity loads. (2023). Shevchenko, Pavel V ; Kingston, Geoffrey ; Arandjelovi, Aleksandar. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001653.

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2024Exact simulation of the Hull and White stochastic volatility model. (2024). Gonzato, Luca ; Brignone, Riccardo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000538.

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2023Efficient 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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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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2023Optimal investment, consumption and life insurance purchase with learning about return predictability. (2023). Li, Baihui ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:70-95.

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2024Risk-neutral valuation of GLWB riders in variable annuities. (2024). Zoccolan, Ivan ; Maggistro, Rosario ; Bacinello, Anna Rita. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:1-14.

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2024Optimal annuitization and asset allocation under linear habit formation. (2024). Ma, Xingjian ; Liang, Zongxia ; Guan, Guohui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:176-191.

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2024Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131.

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2024Back to the funding ratio! Addressing the duration puzzle and retirement income risk of defined contribution pension plans. (2024). Martinez-Carrasco, Miguel ; Garcia-Huitron, Manuel E ; Martellini, Lionel ; Mantilla-Garcia, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002479.

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2024Optimal investor life cycle decisions with time-inconsistent preferences. (2024). Yao, Haixiang ; Luo, Dan ; Chen, Shumin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000359.

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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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2024Working longer or working harder? Subjective survival expectations and labor supply in China. (2024). Chen, Rongda ; Ye, Zihan ; Yang, Qianqian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:827-847.

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2023.

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2023.

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2023Consumo óptimo en el retiro con diferentes leyes de mortalidad. (2023). Palafox-Roca, Alfredo Omar. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:18:y:2023:i:3:p:5.

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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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2024De-risking pension plans: the impact on firm value from lump-sum buyouts. (2024). Wingender, John R ; Obonyo, Tirimba ; Jorgensen, Randy. In: Risk Management. RePEc:pal:risman:v:26:y:2024:i:3:d:10.1057_s41283-024-00145-5.

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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 Quasi‐Analytical Pricing Model for Arithmetic Asian Options. (2013). Sun, Jianqiang ; Li, Shiyin ; Chen, Langnan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:12:p:1143-1166.

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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.
[Full Text][Citation analysis]		paper0
2008Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities In: Papers.
[Full Text][Citation analysis]		paper27
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: 27		article
2012Optimal retirement consumption with a stochastic force of mortality In: Papers.
[Full Text][Citation analysis]		paper24
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: 24		article
2012A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA) In: Papers.
[Full Text][Citation analysis]		paper0
2012Valuation and hedging of the ruin-contingent life annuity (RCLA) In: Papers.
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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.
[Full Text][Citation analysis]		paper8
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: 8		article
2013Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693 In: Papers.
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2015Annuitization and asset allocation In: Papers.
[Full Text][Citation analysis]		paper102
2007Annuitization and asset allocation.(2007) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 102		article
2016Equitable retirement income tontines: Mixing cohorts without discriminating In: Papers.
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2016EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING.(2016) In: ASTIN Bulletin.
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This paper has nother version. Agregated cites: 19		article
2016Optimal retirement income tontines In: Papers.
[Full Text][Citation analysis]		paper31
2015Optimal retirement income tontines.(2015) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 31		article
2018Retirement spending and biological age In: Papers.
[Full Text][Citation analysis]		paper6
2017Retirement spending and biological age.(2017) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 6		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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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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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
2024Egalitarian pooling and sharing of longevity risk, a.k.a. The many ways to skin a tontine cat In: Papers.
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2024The Riccati Tontine: How to Satisfy Regulators on Average In: Papers.
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2003Book Review In: Journal of Finance.
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2003Asset Allocation and the Liquidity Premium for Illiquid Annuities In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article17
2004Floridas Pension Election: From DB to DC and Back In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article8
2005The Implied Longevity Yield: A Note on Developing an Index for Life Annuities In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article5
2006Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article19
2008Portfolio Choice and Life Insurance: The CRRA Case In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article33
2010Do Markets Like Frozen Defined Benefit Pensions? An Event Study In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article9
2016The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article4
2014Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities In: Canadian Tax Journal.
[Full Text][Citation analysis]		article1
2012Strategic Financial Planning over the Lifecycle In: Cambridge Books.
[Citation analysis]		book3
2012Strategic Financial Planning over the Lifecycle.(2012) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 3		book
2006The Calculus of Retirement Income In: Cambridge Books.
[Citation analysis]		book42
2015King Williams Tontine In: Cambridge Books.
[Citation analysis]		book1
2017King Williams Tontine.(2017) In: Cambridge Books.
[Citation analysis]
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.
[Full Text][Citation analysis]		article3
2023Adam Smiths reversionary annuity: moneys worth, default options and auto-enrollment In: Financial History Review.
[Full Text][Citation analysis]		article0
1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article84
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: 84		chapter
2011Lifetime ruin minimization: should retirees hedge inflation or just worry about it?* In: Journal of Pension Economics and Finance.
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2002Overview of the Issue In: Journal of Pension Economics and Finance.
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2002Overview of the Issue.(2002) 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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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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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.
[Full Text][Citation analysis]		article0
2001Variable annuities versus mutual funds: a Monte-Carlo analysis of the options In: Financial Services Review.
[Full Text][Citation analysis]		article3
1994Asset allocation, life expectancy and shortfall In: Financial Services Review.
[Full Text][Citation analysis]		article14
1999International equity diversification and shortfall risk In: Financial Services Review.
[Full Text][Citation analysis]		article2
1997The present value of a stochastic perpetuity and the Gamma distribution In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
1999Martingales, scale functions and stochastic life annuities: a note In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2001Mortality derivatives and the option to annuitise In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article128
2002Optimal asset allocation in life annuities: a note In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article33
2004Ruined moments in your life: how good are the approximations? In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
2006Financial valuation of guaranteed minimum withdrawal benefits In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article84
2007The timing of annuitization: Investment dominance and mortality risk In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article14
2016Longevity risk and retirement income tax efficiency: A location spending rate puzzle In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article3
2020Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article5
2008Portfolio choice and mortality-contingent claims: The general HARA case In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article30
1999Hedging and pricing with tax law uncertainty: Managing under an Arkansas Best doctrine In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article4
1999Time Diversification, Safety-First and Risk. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article7
1997Asset 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]		article21
1997Tax Effects in Canadian Equity Option Markets In: Multinational Finance Journal.
[Full Text][Citation analysis]		article1
2017Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting In: Review of Finance.
[Full Text][Citation analysis]		article11
2024The Religious Roots of Longevity Risk Sharing In: Springer Books.
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2024Do You Believe in Pensions? In: Springer Books.
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2024The First Biblical Annuity In: Springer Books.
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2024Pension Resistance in the Nineteenth Century In: Springer Books.
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2024Longevity Heterogeneity in the Twenty-First Century In: Springer Books.
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2024Longevity Risk and Religion In: Springer Books.
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2024The Benefits of Pooling In: Springer Books.
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2024An Enlightened Financial Innovation In: Springer Books.
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2024A Presbyterian Scheme for Ministers In: Springer Books.
[Citation analysis]		chapter0
2024Alexander Webster and the Archives In: Springer Books.
[Citation analysis]		chapter0
2024Annuity Management in the Eighteenth Century In: Springer Books.
[Citation analysis]		chapter0
2024From Church PAYGO to Fully Funded In: Springer Books.
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2024Scientific Models Versus Religious Beliefs In: Springer Books.
[Citation analysis]		chapter0
1998A theoretical investigation of randomized asset allocation strategies In: Applied Mathematical Finance.
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2004A diffusive wander through human life In: Quantitative Finance.
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2005Waiting for returns: using space-time duality to calibrate financial diffusions In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2018The Utility Value of Longevity Risk Pooling: Analytic Insights In: North American Actuarial Journal.
[Full Text][Citation analysis]		article2
2000Self-Annuitization and Ruin in Retirement In: North American Actuarial Journal.
[Full Text][Citation analysis]		article31
2001Optimal Annuitization Policies In: North American Actuarial Journal.
[Full Text][Citation analysis]		article24
2005Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) In: North American Actuarial Journal.
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2003A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF).
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