21 citations · 31 across the 15 of their papers we have counts for
Showing q-fin.PMShow all
3 papers · 1 filter
q-fin.PM2015
Annuitization and asset allocation
Moshe A. Milevsky, Virginia R. Young
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 institutio…
q-fin.PM2013
Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693
Moshe A. Milevsky, Thomas S. Salisbury
Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal…
q-fin.PM2013★ 3 cited
Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
H. Huang, M. A. Milevsky, T. S. Salisbury
This paper offers a financial economic perspective on the optimal time (and age) at which the owner of a Variable Annuity (VA) policy with a Guaranteed Living Withdrawal Benefit (G…