73 citations · 235 across the 26 of their papers we have counts for
4 papers · 1 filter
A mathematical model of the metabolic and perfusion effects on cortical spreading depression
Joshua C. Chang, K. C. Brennan, Dongdong He +4
Cortical spreading depression (CSD) is a slow-moving ionic and metabolic disturbance that propagates in cortical brain tissue. In addition to massive cellular depolarization, CSD a…
Valuation and hedging of the ruin-contingent life annuity (RCLA)
Huaxiong Huang, Moshe A. Milevsky, Thomas S. Salisbury
This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "…
A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)
Huaxiong Huang, Moshe A. Milevsky, Thomas S. Salisbury
The purpose of this article is twofold. First, we motivate the need for a new type of stand-alone retirement income insurance product that would help individuals protect against pe…
Optimal retirement consumption with a stochastic force of mortality
Huaxiong Huang, Moshe A. Milevsky, Thomas S. Salisbury
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as oppos…