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