User profiles for M. A. Milevsky
Moshe Arye MilevskyProfessor of Finance, Schulich School of Business, York University Verified email at yorku.ca Cited by 6391 |
Mortality derivatives and the option to annuitise
MA Milevsky, SD Promislow - Insurance: Mathematics and Economics, 2001 - Elsevier
Most US-based insurance companies offer holders of their tax-sheltered savings plans (VAs),
the long-term option to annuitise their policy at a pre-determined rate over a pre-specified …
the long-term option to annuitise their policy at a pre-determined rate over a pre-specified …
Asian options, the sum of lognormals, and the reciprocal gamma distribution
MA Milevsky, SE Posner - Journal of financial and quantitative …, 1998 - cambridge.org
Arithmetic Asian options are difficult to price and hedge as they do not have closed-form
analytic solutions. The main theoretical reason for this difficulty is that the payoff depends on the …
analytic solutions. The main theoretical reason for this difficulty is that the payoff depends on the …
Financial valuation of guaranteed minimum withdrawal benefits
MA Milevsky, TS Salisbury - Insurance: Mathematics and Economics, 2006 - Elsevier
Financial valuation OF GMWBs: We develop a variety of methods for assessing the cost and
value of a very popular ‘rider’ available to North American investors on variable annuity (VA) …
value of a very popular ‘rider’ available to North American investors on variable annuity (VA) …
Annuitization and asset allocation
MA Milevsky, VR Young - Journal of Economic Dynamics and Control, 2007 - Elsevier
This paper examines the optimal annuitization, investment and consumption strategies of a
utility-maximizing retiree facing a stochastic time of death under a variety of institutional …
utility-maximizing retiree facing a stochastic time of death under a variety of institutional …
The titanic option: valuation of the guaranteed minimum death benefit in variable annuities and mutual funds
MA Milevsky, SE Posner - Journal of Risk and Insurance, 2001 - JSTOR
… From a contingent claims perspective, the guaranteed minimum death benefit (GMDB) on a
VA or DPMF is essentially an increasing-strike put option with a stochastic maturity date. The …
VA or DPMF is essentially an increasing-strike put option with a stochastic maturity date. The …
[BOOK][B] The calculus of retirement income: financial models for pension annuities and life insurance
MA Milevsky - 2006 - books.google.com
This 2006 book introduces and develops the basic actuarial models and underlying pricing
of life-contingent pension annuities and life insurance from a unique financial perspective. …
of life-contingent pension annuities and life insurance from a unique financial perspective. …
Optimal asset allocation towards the end of the life cycle: to annuitize or not to annuitize?
MA Milevsky - Journal of Risk and Insurance, 1998 - JSTOR
Most individuals must decide how much of their marketable wealth should be annuitized at
retirement. The natural alternative to annuitization is investing the wealth and withdrawing the …
retirement. The natural alternative to annuitization is investing the wealth and withdrawing the …
Optimal retirement income tontines
MA Milevsky, TS Salisbury - Insurance: Mathematics and economics, 2015 - Elsevier
Tontines were once a popular type of mortality-linked investment pool. They promised
enormous rewards to the last survivors at the expense of those died early. While this design …
enormous rewards to the last survivors at the expense of those died early. While this design …
Real longevity insurance with a deductible: Introduction to advanced-life delayed annuities (ALDA)
MA Milevsky - North American Actuarial Journal, 2005 - Taylor & Francis
This paper explores the financial properties of a concept product called an advanced-life
delayed annuity (ALDA). The ALDA is a variant of a pure deferred annuity contract that is …
delayed annuity (ALDA). The ALDA is a variant of a pure deferred annuity contract that is …
Life annuities: An optimal product for retirement income
MA Milevsky - CFA Institute Research Foundation Monograph, 2013 - papers.ssrn.com
… Milevsky is an associate professor of finance at the Schulich School of Business and a
member of the graduate faculty in the Department of Mathematics and Statistics at York University …
member of the graduate faculty in the Department of Mathematics and Statistics at York University …