19 citations · 20 across the 5 of their papers we have counts for
8 papers
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…
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…
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…