Moshe Arye Milevsky
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Moshe |
| middle: |
Arye |
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Milevsky |
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Affiliations
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York University
/ Schulich School of Business
Research profile
author of:
- Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments (RePEc:arx:papers:0705.1302)
by Moshe A. Milevsky & S. David Promislow & Virginia R. Young - Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities (RePEc:arx:papers:0802.3250)
by Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young - Optimal retirement consumption with a stochastic force of mortality (RePEc:arx:papers:1205.2295)
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury - A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA) (RePEc:arx:papers:1205.2513)
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury - Valuation and hedging of the ruin-contingent life annuity (RCLA) (RePEc:arx:papers:1205.3686)
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury - Optimal initiation of a GLWB in a variable annuity: no arbitrage approach (RePEc:arx:papers:1304.1821)
by H. Huang & M. A. Milevsky & T. S. Salisbury - Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693 (RePEc:arx:papers:1307.2824)
by Moshe A. Milevsky & Thomas S. Salisbury - Annuitization and asset allocation (RePEc:arx:papers:1506.05990)
by Moshe A. Milevsky & Virginia R. Young - Equitable retirement income tontines: Mixing cohorts without discriminating (RePEc:arx:papers:1610.09384)
by M. A. Milevsky & T. S. Salisbury - Optimal retirement income tontines (RePEc:arx:papers:1610.10078)
by Moshe A. Milevsky & Thomas S. Salisbury - Retirement spending and biological age (RePEc:arx:papers:1811.09921)
by Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury - The implied longevity curve: How long does the market think you are going to live? (RePEc:arx:papers:1811.09932)
by Moshe A. Milevsky & Thomas S. Salisbury & Alexander Chigodaev - Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling (RePEc:arx:papers:1811.11326)
by Moshe A. Milevsky - Refundable income annuities: Feasibility of money-back guarantees (RePEc:arx:papers:2111.01239)
by Moshe A. Milevsky & Thomas S. Salisbury - Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat (RePEc:arx:papers:2402.00855)
by Jan L. M. Dhaene & Moshe A. Milevsky - The Riccati Tontine: How to Satisfy Regulators on Average (RePEc:arx:papers:2402.14555)
by Moshe A. Milevsky & Thomas S. Salisbury - Book Review (RePEc:bla:jfinan:v:58:y:2003:i:4:p:1719-1722)
by Moshe A. Milevsky - Asset Allocation and the Liquidity Premium for Illiquid Annuities (RePEc:bla:jrinsu:v:70:y:2003:i:3:p:509-526)
by S. Browne & M. A. Milevsky & T. S. Salisbury - Florida's Pension Election: From DB to DC and Back (RePEc:bla:jrinsu:v:71:y:2004:i:3:p:381-404)
by Moshe A. Milevsky & S. David Promislow - The Implied Longevity Yield: A Note on Developing an Index for Life Annuities (RePEc:bla:jrinsu:v:72:y:2005:i:2:p:302-320)
by Moshe A. Milevsky - Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio (RePEc:bla:jrinsu:v:73:y:2006:i:4:p:673-686)
by M. A. Milevsky & S. D. Promislow & V. R. Young - Portfolio Choice and Life Insurance: The CRRA Case (RePEc:bla:jrinsu:v:75:y:2008:i:4:p:847-872)
by Huaxiong Huang & Moshe A. Milevsky & Jin Wang - Do Markets Like Frozen Defined Benefit Pensions? An Event Study (RePEc:bla:jrinsu:v:77:y:2010:i:4:p:893-909)
by Moshe A. Milevsky & Keke Song - Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA) (RePEc:bla:jrinsu:v:81:y:2014:i:2:p:367-395)
by H. Huang & M. A. Milevsky & T. S. Salisbury - The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates (RePEc:bla:jrinsu:v:83:y:2016:i:3:p:519-555)
by Narat Charupat & Mark J. Kamstra & Moshe A. Milevsky - Asset Allocation And Annuity‐Purchase Strategies To Minimize The Probability Of Financial Ruin (RePEc:bla:mathfi:v:16:y:2006:i:4:p:647-671)
by Moshe A. Milevsky & Kristen S. Moore & Virginia R. Young - Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities (RePEc:ctf:journl:v:62:y:2014:i:4:p:971-983)
by Moshe A. Milevsky - Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating (RePEc:cup:astinb:v:46:y:2016:i:03:p:571-604_00)
by Milevsky, Moshe A. & Salisbury, Thomas S. - Strategic Financial Planning over the Lifecycle (RePEc:cup:cbooks:9780521148030)
by Charupat,Narat & Huang,Huaxiong & Milevsky,Moshe A. - Strategic Financial Planning over the Lifecycle (RePEc:cup:cbooks:9780521764568)
by Charupat,Narat & Huang,Huaxiong & Milevsky,Moshe A. - The Calculus of Retirement Income (RePEc:cup:cbooks:9780521842587)
by Milevsky,Moshe A. - King William's Tontine (RePEc:cup:cbooks:9781107076129)
by Milevsky,Moshe A. - King William's Tontine (RePEc:cup:cbooks:9781107430754)
by Milevsky,Moshe A. - Portfolio choice and longevity risk in the late seventeenth century: a re-examination of the first English tontine (RePEc:cup:fihrev:v:21:y:2014:i:03:p:225-258_00)
by Milevsky, Moshe A. - Adam Smith's reversionary annuity: money's worth, default options and auto-enrollment (RePEc:cup:fihrev:v:30:y:2023:i:2:p:162-197_2)
by Milevsky, Moshe A. - Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (RePEc:cup:jfinqa:v:33:y:1998:i:03:p:409-422_00)
by Milevsky, Moshe Arye & Posner, Steven E. - Overview of the Issue (RePEc:cup:jpenef:v:1:y:2002:i:02:p:85-87_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Overview of the Issue (RePEc:cup:jpenef:v:1:y:2002:i:03:p:193-195_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Lifetime ruin minimization: should retirees hedge inflation or just worry about it? (RePEc:cup:jpenef:v:10:y:2011:i:03:p:363-387_00)
by Huang, Huaxiong & Milevsky, Moshe A. - Swimming with wealthy sharks: longevity, volatility and the value of risk pooling (RePEc:cup:jpenef:v:19:y:2020:i:2:p:217-246_5)
by Milevsky, Moshe A. - Overview of the Issue (RePEc:cup:jpenef:v:2:y:2003:i:01:p:5-6_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Overview of the Issue (RePEc:cup:jpenef:v:2:y:2003:i:02:p:97-98_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Overview of the Issue (RePEc:cup:jpenef:v:2:y:2003:i:03:p:221-223_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Overview of the Issue (RePEc:cup:jpenef:v:4:y:2005:i:01:p:5-6_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Overview of the Issue (RePEc:cup:jpenef:v:4:y:2005:i:03:p:1-2_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Overview of the Issue (RePEc:cup:jpenef:v:5:y:2006:i:01:p:i-ii_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Overview of the Issue (RePEc:cup:jpenef:v:5:y:2006:i:02:p:i-ii_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - Overview of the Issue (RePEc:cup:jpenef:v:5:y:2006:i:03:p:i-ii_00)
by Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike - 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 (RePEc:cup:jpenef:v:8:y:2009:i:03:p:399-400_00)
by Milevsky, Moshe A. - Annuitization and asset allocation (RePEc:eee:dyncon:v:31:y:2007:i:9:p:3138-3177)
by Milevsky, Moshe A. & Young, Virginia R. - Erratum to: "Annuitization and asset allocation": [Journal of Economic Dynamics & Control 31 (9) (2007) 3138-3177] (RePEc:eee:dyncon:v:32:y:2008:i:11:p:3743-3744)
by Milevsky, Moshe A. & Young, Virginia R. - Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities (RePEc:eee:dyncon:v:33:y:2009:i:3:p:676-691)
by Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R. - Retirement spending and biological age (RePEc:eee:dyncon:v:84:y:2017:i:c:p:58-76)
by Huang, H. & Milevsky, M.A. & Salisbury, T.S. - Variable annuities versus mutual funds: a Monte-Carlo analysis of the options (RePEc:eee:finser:v:10:y:2001:i:1-4:p:145-161)
by Milevsky, Moshe Arye & Panyagometh, Kamphol - Asset allocation, life expectancy and shortfall (RePEc:eee:finser:v:3:y:1994:i:2:p:109-126)
by Ho, Kwok & Milevsky, Moshe Arye & Robinson, Chris - International equity diversification and shortfall risk (RePEc:eee:finser:v:8:y:1999:i:1:p:11-25)
by Ho, Kwok & Milevsky, Moshe Arye & Robinson, Chris - Refundable income annuities: Feasibility of money-back guarantees (RePEc:eee:insuma:v:105:y:2022:i:c:p:175-193)
by Milevsky, Moshe A. & Salisbury, Thomas S. - The present value of a stochastic perpetuity and the Gamma distribution (RePEc:eee:insuma:v:20:y:1997:i:3:p:243-250)
by Milevsky, Moshe Arye - Martingales, scale functions and stochastic life annuities: a note (RePEc:eee:insuma:v:24:y:1999:i:1-2:p:149-154)
by Milevsky, Moshe Arye - Mortality derivatives and the option to annuitise (RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318)
by Milevsky, Moshe A. & David Promislow, S. - Optimal asset allocation in life annuities: a note (RePEc:eee:insuma:v:30:y:2002:i:2:p:199-209)
by Charupat, Narat & Milevsky, Moshe A. - Ruined moments in your life: how good are the approximations? (RePEc:eee:insuma:v:34:y:2004:i:3:p:421-447)
by Huang, H. & Milevsky, M. A. & Wang, J. - Financial valuation of guaranteed minimum withdrawal benefits (RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38)
by Milevsky, Moshe A. & Salisbury, Thomas S. - The timing of annuitization: Investment dominance and mortality risk (RePEc:eee:insuma:v:40:y:2007:i:1:p:135-144)
by Milevsky, Moshe A. & Young, Virginia R. - Optimal retirement consumption with a stochastic force of mortality (RePEc:eee:insuma:v:51:y:2012:i:2:p:282-291)
by Huang, Huaxiong & Milevsky, Moshe A. & Salisbury, Thomas S. - Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach (RePEc:eee:insuma:v:56:y:2014:i:c:p:102-111)
by Huang, H. & Milevsky, M.A. & Salisbury, T.S. - Optimal retirement income tontines (RePEc:eee:insuma:v:64:y:2015:i:c:p:91-105)
by Milevsky, Moshe A. & Salisbury, Thomas S. - Longevity risk and retirement income tax efficiency: A location spending rate puzzle (RePEc:eee:insuma:v:71:y:2016:i:c:p:50-62)
by Huang, Huaxiong & Milevsky, Moshe A. - Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? (RePEc:eee:insuma:v:92:y:2020:i:c:p:147-161)
by Milevsky, Moshe A. - Portfolio choice and mortality-contingent claims: The general HARA case (RePEc:eee:jbfina:v:32:y:2008:i:11:p:2444-2452)
by Huang, Huaxiong & Milevsky, Moshe A. - Hedging and pricing with tax law uncertainty: Managing under an Arkansas Best doctrine (RePEc:eee:quaeco:v:39:y:1999:i:1:p:147-168)
by Milevsky, Moshe Arye & Prisman, Eliezer Z. - Time Diversification, Safety-First and Risk (RePEc:kap:rqfnac:v:12:y:1999:i:3:p:271-81)
by Milevsky, Moshe Arye - Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money (RePEc:kap:rqfnac:v:9:y:1997:i:1:p:53-70)
by Milevsky, Moshe Arye & Ho, Kwok & Robinson, Chris - Tax Effects in Canadian Equity Option Markets (RePEc:mfj:journl:v:1:y:1997:i:2:p:101-122)
by Moshe Arye Milevsky & Eliezer Z. Prisman - Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting (RePEc:oup:revfin:v:21:y:2017:i:1:p:327-361.)
by Huaxiong Huang & Moshe A. Milevsky & Virginia R. Young - The Religious Roots of Longevity Risk Sharing (RePEc:spr:sprbok:978-3-031-62403-2)
by Moshe A. Milevsky - The Day the King Defaulted (RePEc:spr:sprbok:978-3-319-59987-8)
by Moshe Arye Milevsky - Do You Believe in Pensions? (RePEc:spr:sprchp:978-3-031-62403-2_1)
by Moshe A. Milevsky - The First Biblical Annuity (RePEc:spr:sprchp:978-3-031-62403-2_10)
by Moshe A. Milevsky - Pension Resistance in the Nineteenth Century (RePEc:spr:sprchp:978-3-031-62403-2_11)
by Moshe A. Milevsky - Longevity Heterogeneity in the Twenty-First Century (RePEc:spr:sprchp:978-3-031-62403-2_12)
by Moshe A. Milevsky - Longevity Risk and Religion (RePEc:spr:sprchp:978-3-031-62403-2_2)
by Moshe A. Milevsky - The Benefits of Pooling (RePEc:spr:sprchp:978-3-031-62403-2_3)
by Moshe A. Milevsky - An Enlightened Financial Innovation (RePEc:spr:sprchp:978-3-031-62403-2_4)
by Moshe A. Milevsky - A Presbyterian Scheme for Ministers (RePEc:spr:sprchp:978-3-031-62403-2_5)
by Moshe A. Milevsky - Alexander Webster and the Archives (RePEc:spr:sprchp:978-3-031-62403-2_6)
by Moshe A. Milevsky - Annuity Management in the Eighteenth Century (RePEc:spr:sprchp:978-3-031-62403-2_7)
by Moshe A. Milevsky - From Church PAYGO to Fully Funded (RePEc:spr:sprchp:978-3-031-62403-2_8)
by Moshe A. Milevsky - Scientific Models Versus Religious Beliefs (RePEc:spr:sprchp:978-3-031-62403-2_9)
by Moshe A. Milevsky - Bankers Then and Now (RePEc:spr:sprchp:978-3-319-59987-8_1)
by Moshe Arye Milevsky - Dramatis Personae (RePEc:spr:sprchp:978-3-319-59987-8_2)
by Moshe Arye Milevsky - The Goldsmith-Bankers (RePEc:spr:sprchp:978-3-319-59987-8_3)
by Moshe Arye Milevsky - Personal Finances of a King (RePEc:spr:sprchp:978-3-319-59987-8_4)
by Moshe Arye Milevsky - Paid Upon Orders from the Treasury (RePEc:spr:sprchp:978-3-319-59987-8_5)
by Moshe Arye Milevsky - Diary of a Default (RePEc:spr:sprchp:978-3-319-59987-8_6)
by Moshe Arye Milevsky - Concluding Thoughts for the Twenty-First Century (RePEc:spr:sprchp:978-3-319-59987-8_7)
by Moshe Arye Milevsky - A theoretical investigation of randomized asset allocation strategies (RePEc:taf:apmtfi:v:5:y:1998:i:2:p:117-130)
by Moshe Arye Milevsky & Steven Posner - A diffusive wander through human life (RePEc:taf:quantf:v:4:y:2004:i:2:p:21-23)
by Moshe Milevsky - Waiting for returns: using space-time duality to calibrate financial diffusions (RePEc:taf:quantf:v:5:y:2005:i:3:p:237-244)
by Mark Kamstra & Moshe Milevsky - The Utility Value of Longevity Risk Pooling: Analytic Insights (RePEc:taf:uaajxx:v:22:y:2018:i:4:p:574-590)
by Moshe A. Milevsky & Huaxiong Huang - Self-Annuitization and Ruin in Retirement (RePEc:taf:uaajxx:v:4:y:2000:i:4:p:112-124)
by Moshe Milevsky & Chris Robinson - Optimal Annuitization Policies (RePEc:taf:uaajxx:v:5:y:2001:i:1:p:57-69)
by Moshe Arye Milevsky - Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) (RePEc:taf:uaajxx:v:9:y:2005:i:4:p:109-122)
by Moshe Milevsky - A Sustainable Spending Rate without Simulation (RePEc:taf:ufajxx:v:61:y:2005:i:6:p:89-100)
by Moshe A. Milevsky & Chris Robinson - Human Capital, Asset Allocation, and Life Insurance (RePEc:taf:ufajxx:v:62:y:2006:i:1:p:97-109)
by Peng Chen & Roger G. Ibbotson & Moshe A. Milevsky & Kevin X. Zhu - Portfolio Choice with Puts: Evidence from Variable Annuities (RePEc:taf:ufajxx:v:64:y:2008:i:3:p:80-95)
by Moshe A. Milevsky & Vladyslav Kyrychenko - Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates (corrected July 2011) (RePEc:taf:ufajxx:v:67:y:2011:i:2:p:45-58)
by Moshe A. Milevsky & Huaxiong Huang - It’s Time to Retire Ruin (Probabilities) (RePEc:taf:ufajxx:v:72:y:2016:i:2:p:8-12)
by Moshe A. Milevsky - A Continuous-Time Reexamination Of Dollar-Cost Averaging (RePEc:wsi:ijtafx:v:06:y:2003:i:02:n:s0219024903001888)
by Moshe A. Milevsky & Steven E. Posner - Asian Options, The Sum Of Lognormals, And The Reciprocal Gamma Distribution (RePEc:wsi:wschap:9789812812599_0007)
by Moshe Arye Milevsky & Steven E. Posner - Human Capital, Asset Allocation, and Life Insurance (RePEc:ysm:wpaper:amz2513)
by Roger Ibbotson & Peng Chen & Moshe Milevsky & Xingnong Zhu