26 citations · 73 across the 29 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…