21 citations · 31 across the 15 of their papers we have counts for
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q-fin.MF2024★ 1 cited
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…
q-fin.RM2024
'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…