26 citations · 73 across the 29 of their papers we have counts for
6 papers · 1 filter
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…
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 "…
A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)
Huaxiong Huang, Moshe A. Milevsky, Thomas S. Salisbury
The purpose of this article is twofold. First, we motivate the need for a new type of stand-alone retirement income insurance product that would help individuals protect against pe…
Optimal retirement consumption with a stochastic force of mortality
Huaxiong Huang, Moshe A. Milevsky, Thomas S. Salisbury
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as oppos…
Conditioning super-Brownian motion on its boundary statistics, and fragmentation
Thomas S. Salisbury, A. Deniz Sezer
We condition super-Brownian motion on "boundary statistics" of the exit measure from a bounded domain . These are random variables defined on an auxiliary probability spac…