3 papers
econ.GN2025
Equitable Longevity Risk Sharing or, the raison d'être for a First Nations Pension Plan
Moshe A. Milevsky, Thomas S. Salisbury, Robyn Allen
We investigate the extent to which groups with elevated mortality rates ex ante might opt out of guaranteed national pensions in favour of demographically aligned plans, which we l…
q-fin.PM2025
Bifurcation in optimal retirement
Bushra Shehnam Ashraf, Thomas S. Salisbury
We study optimal consumption and retirement using a Cobb-Douglas utility and a simple model in which an interesting bifurcation arises. With high wealth, individuals plan to retire…
q-fin.MF2024
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…