21 citations · 31 across the 15 of their papers we have counts for
17 papers
Equitable Longevity Risk Sharing or, the raison d'être for a First Nations Pension Plan
Moshe A. Milevsky, Thomas S. Salisbury, Robyn Allen
We investigate the extent to which groups with elevated mortality rates ex ante might opt out of guaranteed national pensions in favour of demographically aligned plans, which we l…
The Riccati Tontine: How to Satisfy Regulators on Average
Moshe A. Milevsky, Thomas S. Salisbury
This paper presents a new type of modern accumulation-based tontine, called the Riccati tontine, named after two Italians: mathematician Jacobo Riccati (b. 1676, d. 1754) and finan…
'Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat'
Jan L. M. Dhaene, Moshe A. Milevsky
There is little disagreement among insurance actuaries and financial economists about the societal benefits of longevity-risk pooling in the form of life annuities, defined benefit…
Refundable income annuities: Feasibility of money-back guarantees
Moshe A. Milevsky, Thomas S. Salisbury
Refundable income annuities (IA), such as cash-refund and instalment-refund, differ in material ways from the life-only version beloved by economists. In addition to lifetime incom…
Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling
Moshe A. Milevsky
Who {\em values} life annuities more? Is it the healthy retiree who expects to live long and might become a centenarian, or is the unhealthy retiree with a short life expectancy mo…
The implied longevity curve: How long does the market think you are going to live?
Moshe A. Milevsky, Thomas S. Salisbury, Alexander Chigodaev
We use life annuity prices to extract information about human longevity using a framework that links the term structure of mortality and interest rates. We invert the model and per…