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Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Moshe A. Milevsky · Study

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Moshe A. Milevsky

45 works· latest 2021· 1 institutionscluster: provisionalORCID 0000-0002-5176-8904

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Citations3,824

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Most cited in this library

Mortality derivatives and the option to annuitise2001 · 314 citations
Annuitization and asset allocation2007 · 272 citations
Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution1998 · 264 citations
Financial valuation of guaranteed minimum withdrawal benefits2005 · 252 citations
The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds2001 · 193 citations

Works

45 shown

Editorial to the special issue on Behavioral Insurance: Mathematics and Economics

Insurance Mathematics and Economics·2021·5 authors·editorial·Open access

3citations

Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?

Insurance Mathematics and Economics·2020·1 author·Open access

31citations

EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING

Astin Bulletin·2016·2 authors·Open access

67citations

Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting

European Finance Review·2016·3 authors

36citations

It’s Time to Retire Ruin (Probabilities)

Financial Analysts Journal·2016·1 author

25citations

Optimal retirement income tontines

Insurance Mathematics and Economics·2015·2 authors

114citations

Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating

SSRN Electronic Journal·2015·2 authors·preprint·Open access

27citations

Strategic Financial Planning over the Lifecycle

Cambridge University Press eBooks·2012·3 authors·book

41citations

Optimal retirement consumption with a stochastic force of mortality

Insurance Mathematics and Economics·2012·3 authors

56citations

Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates (corrected July 2011)

Financial Analysts Journal·2011·2 authors

63citations

The Centenarian Transition: Life Satisfaction and Wealth

PsycEXTRA Dataset·2011·3 authors·dataset

1citations

Do Markets Like Frozen Defined Benefit Pensions? An Event Study

Journal of Risk & Insurance·2010·2 authors

33citations

Portfolio Choice and Life Insurance: The CRRA Case

Journal of Risk & Insurance·2008·2 authors

82citations

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Journal of Economic Dynamics and Control·2008·4 authors·Open access

58citations

Portfolio choice and mortality-contingent claims: The general HARA case

Journal of Banking & Finance·2008·2 authors

82citations

Portfolio Choice with Puts: Evidence from Variable Annuities

Financial Analysts Journal·2008·2 authors·Open access

33citations

Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments

RePEc: Research Papers in Economics·2007·3 authors·preprint·Open access

30citations

Annuitization and asset allocation

Journal of Economic Dynamics and Control·2007·2 authors

272citations

Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio

Journal of Risk & Insurance·2006·3 authors

78citations

ASSET ALLOCATION AND ANNUITY‐PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN

Mathematical Finance·2006·3 authors

97citations

The timing of annuitization: Investment dominance and mortality risk

Insurance Mathematics and Economics·2006·2 authors

46citations

The Calculus of Retirement Income

Cambridge University Press eBooks·2006·1 author·book

134citations

The Calculus of Retirement Income: Financial Models for Pension Annuities and Life Insurance

·2006·1 author

84citations

Human Capital, Asset Allocation, and Life Insurance

Financial Analysts Journal·2006·4 authors

83citations

A Sustainable Spending Rate without Simulation

Financial Analysts Journal·2005·2 authors

69citations

Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

North American Actuarial Journal·2005·1 author

177citations

Financial valuation of guaranteed minimum withdrawal benefits

Insurance Mathematics and Economics·2005·2 authors

252citations

The Implied Longevity Yield: A Note on Developing an Index for Life Annuities

Journal of Risk & Insurance·2005·1 author

25citations

Ruined moments in your life: how good are the approximations?

Insurance Mathematics and Economics·2004·2 authors

45citations

Asset Allocation and the Liquidity Premium for Illiquid Annuities

Journal of Risk & Insurance·2003·3 authors

55citations

Merging Asset Allocation and Longevity Insurance: An Optimal Perspective on Payout Annuities

·2003·2 authors

34citations

Optimal asset allocation in life annuities: a note

Insurance Mathematics and Economics·2002·2 authors

65citations

Optimal Asset Allocation and The Real Option to Delay Annuitization: It’s Not Now-or-Never

OpenGrey (Institut de l'Information Scientifique et Technique)·2002·2 authors

55citations

Mortality derivatives and the option to annuitise

Insurance Mathematics and Economics·2001·2 authors

314citations

The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds

Journal of Risk & Insurance·2001·2 authors

193citations

Mortality Derivatives and the Option to Annuitize

SSRN Electronic Journal·2001·2 authors·preprint·Open access

103citations

Optimal Annuitization Policies

North American Actuarial Journal·2001·1 author

62citations

The Real Option to Delay Annuitization: It's Not Now-or-Never

SSRN Electronic Journal·2001·2 authors·preprint·Open access

25citations

Personal Value-at-Risk: An Overview of the Real Options in Your Life

·2001·1 author

0citations

Self-Annuitization and Ruin in Retirement

North American Actuarial Journal·2000·2 authors

116citations

Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution

Journal of Financial and Quantitative Analysis·1998·2 authors

264citations

Optimal Asset Allocation towards the End of the Life Cycle: To Annuitize or Not to Annuitize?

Journal of Risk & Insurance·1998·1 author·Open access

135citations

A Closed-Form Approximation for Valuing Basket Options

The Journal of Derivatives·1998·2 authors

116citations

Asset Allocation Via The Conditional First Exit Time or How To Avoid Outliving Your Money

Review of Quantitative Finance and Accounting·1997·3 authors

74citations

Asset Allocation, Life Expectancy and Shortfall

Financial Services Review·1994·3 authors·Open access

69citations