26 citations · 73 across the 29 of their papers we have counts for
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q-fin.PR2021
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…
q-fin.PR2012
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 "…