26 citations · 73 across the 29 of their papers we have counts for
35 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…
Bifurcation in optimal retirement
Bushra Shehnam Ashraf, Thomas S. Salisbury
We study optimal consumption and retirement using a Cobb-Douglas utility and a simple model in which an interesting bifurcation arises. With high wealth, individuals plan to retire…
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…
A greedy algorithm for habit formation under multiplicative utility
Snezhana Kirusheva, Thomas S. Salisbury
We consider the problem of optimizing lifetime consumption under a habit formation model, both with and without an exogenous pension. Unlike much of the existing literature, we app…
Retirement spending problem under Habit Formation Model
S. Kirusheva, H. Huang, T. S. Salisbury
In this paper we consider the problem of optimizing lifetime consumption under a habit formation model. Our work differs from previous results, because we incorporate mortality and…
Percolation of terraces, and enhancements for the orthant model
Mark Holmes, Thomas S. Salisbury
We study a model of an i.i.d.~random environment in general dimensions , where each site is equipped with one of two environments. The model comes with a parameter whic…
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…
Optimal allocation to deferred income annuities
F. Habib, H. Huang, A. Mauskopf +2
In this paper we employ a lifecycle model that uses utility of consumption and bequest to determine an optimal Deferred Income Annuity (DIA) purchase policy. We lay out a mathemati…
Phase transitions for degenerate random environments
Mark Holmes, Thomas S. Salisbury
We study a class of models of i.i.d.~random environments in general dimensions , where each site is equipped randomly with an environment, and a parameter governs the f…
A shape theorem for the orthant model
Mark Holmes, Thomas S. Salisbury
We study a particular model of a random medium, called the orthant model, in general dimensions . Each site independently has arrows pointing to its positive ne…
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…
Retirement spending and biological age
Huaxiong Huang, Moshe A. Milevsky, Thomas S. Salisbury
We solve a lifecycle model in which the consumer's chronological age does not move in lockstep with calendar time. Instead, biological age increases at a stochastic non-linear rate…
Conditions for ballisticity and invariance principle for random walk in non-elliptic random environment
Mark Holmes, Thomas S. Salisbury
We study the asymptotic behaviour of random walks in i.i.d. non-elliptic random environments on . Standard conditions (and proofs) for ballisticity and the central li…
Optimal retirement income tontines
Moshe A. Milevsky, Thomas S. Salisbury
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this desi…
Equitable retirement income tontines: Mixing cohorts without discriminating
M. A. Milevsky, T. S. Salisbury
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated…
How round are the complementary components of planar Brownian motion?
Nina Holden, Serban Nacu, Yuval Peres +1
Consider a Brownian motion in started from and run for time 1. Let denote the bounded connected components of . Let (re…
Notes on oriented percolation
Mark Holmes, Thomas S. Salisbury
These notes fill in results about oriented percolation that are required for the paper [3] ("Forward clusters for degenerate random environments"). Since these are essentially modi…
Uniqueness for Volterra-type stochastic integral equations
Leonid Mytnik, Thomas S. Salisbury
We study uniqueness for a class of Volterra-type stochastic integral equations. We focus on the case of non-Lipschitz noise coefficients. The connection of these equations to certa…
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…
Forward clusters for degenerate random environments
Mark Holmes, Thomas S. Salisbury
We consider connectivity properties and asymptotic slopes for certain random directed graphs on in which the set of points that the origin connects to is always infinit…
Speed calculations for random walks in degenerate random environments
Mark Holmes, Thomas S. Salisbury
We calculate explicit speeds for random walks in uniform degenerate random environments. For certain non-uniform random environments, we calculate speeds that are non-monotone.
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…
Non-Existence of Stabilizing Policies for the Critical Push-Pull Network and Generalizations
Yoni Nazarathy, Leonardo Rojas-Nandayapa, Thomas S. Salisbury
The push-pull queueing network is a simple example in which servers either serve jobs or generate new arrivals. It was previously conjectured that there is no policy that makes the…
Moment densities of super-Brownian motion, and a Harnack estimate for a class of X-harmonic functions
Thomas S. Salisbury, A. Deniz Sezer
This paper features a comparison inequality for the densities of the moment measures of super-Brownian motion. These densities are defined recursively for each in terms o…