21 citations · 31 across the 15 of their papers we have counts for
4 papers · 1 filter
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…
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 "…
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Erhan Bayraktar, Moshe Milevsky, David Promislow +1
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires comp…
Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments
Moshe A. Milevsky, S. David Promislow, Virginia R. Young
We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires comp…