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Moshe Arye Milevsky

Personal Details

First Name:Moshe
Middle Name:Arye
Last Name:Milevsky
Suffix:
RePEc Short-ID:pmi984
[This author has chosen not to make the email address public]
https://moshemilevsky.com/university-research/
Terminal Degree:1992 School of Administrative Studies; York University (from RePEc Genealogy)

Affiliation

Schulich School of Business
York University

Toronto, Canada
http://www.schulich.yorku.ca/
RePEc:edi:byorkca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Moshe A. Milevsky & Thomas S. Salisbury, 2024. "The Riccati Tontine: How to Satisfy Regulators on Average," Papers 2402.14555, arXiv.org.
  2. Jan L. M. Dhaene & Moshe A. Milevsky, 2024. "Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat," Papers 2402.00855, arXiv.org.
  3. Moshe A. Milevsky & Thomas S. Salisbury, 2021. "Refundable income annuities: Feasibility of money-back guarantees," Papers 2111.01239, arXiv.org.
  4. Moshe A. Milevsky, 2018. "Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling," Papers 1811.11326, arXiv.org.
  5. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2018. "Retirement spending and biological age," Papers 1811.09921, arXiv.org.
  6. Moshe A. Milevsky & Thomas S. Salisbury & Alexander Chigodaev, 2018. "The implied longevity curve: How long does the market think you are going to live?," Papers 1811.09932, arXiv.org.
  7. M. A. Milevsky & T. S. Salisbury, 2016. "Equitable retirement income tontines: Mixing cohorts without discriminating," Papers 1610.09384, arXiv.org.
  8. Moshe A. Milevsky & Thomas S. Salisbury, 2016. "Optimal retirement income tontines," Papers 1610.10078, arXiv.org.
  9. Moshe A. Milevsky & Virginia R. Young, 2015. "Annuitization and asset allocation," Papers 1506.05990, arXiv.org.
  10. Moshe A. Milevsky & Thomas S. Salisbury, 2013. "Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693," Papers 1307.2824, arXiv.org.
  11. H. Huang & M. A. Milevsky & T. S. Salisbury, 2013. "Optimal initiation of a GLWB in a variable annuity: no arbitrage approach," Papers 1304.1821, arXiv.org.
  12. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)," Papers 1205.2513, arXiv.org.
  13. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "Valuation and hedging of the ruin-contingent life annuity (RCLA)," Papers 1205.3686, arXiv.org.
  14. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "Optimal retirement consumption with a stochastic force of mortality," Papers 1205.2295, arXiv.org.
  15. Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008. "Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities," Papers 0802.3250, arXiv.org.
  16. Moshe A. Milevsky & S. David Promislow & Virginia R. Young, 2007. "Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments," Papers 0705.1302, arXiv.org.
  17. Roger Ibbotson & Peng Chen & Moshe Milevsky & Xingnong Zhu, 2005. "Human Capital, Asset Allocation, and Life Insurance," Yale School of Management Working Papers amz2513, Yale School of Management, revised 01 Nov 2008.

Articles

  1. Milevsky, Moshe A., 2023. "Adam Smith's reversionary annuity: money's worth, default options and auto-enrollment," Financial History Review, Cambridge University Press, vol. 30(2), pages 162-197, August.
  2. Milevsky, Moshe A. & Salisbury, Thomas S., 2022. "Refundable income annuities: Feasibility of money-back guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 105(C), pages 175-193.
  3. Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
  4. Milevsky, Moshe A., 2020. "Swimming with wealthy sharks: longevity, volatility and the value of risk pooling," Journal of Pension Economics and Finance, Cambridge University Press, vol. 19(2), pages 217-246, April.
  5. Moshe A. Milevsky & Huaxiong Huang, 2018. "The Utility Value of Longevity Risk Pooling: Analytic Insights," North American Actuarial Journal, Taylor & Francis Journals, vol. 22(4), pages 574-590, October.
  6. Huaxiong Huang & Moshe A. Milevsky & Virginia R. Young, 2017. "Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting," Review of Finance, European Finance Association, vol. 21(1), pages 327-361.
  7. Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2017. "Retirement spending and biological age," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 58-76.
  8. Moshe A. Milevsky, 2016. "It’s Time to Retire Ruin (Probabilities)," Financial Analysts Journal, Taylor & Francis Journals, vol. 72(2), pages 8-12, March.
  9. Huang, Huaxiong & Milevsky, Moshe A., 2016. "Longevity risk and retirement income tax efficiency: A location spending rate puzzle," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 50-62.
  10. Milevsky, Moshe A. & Salisbury, Thomas S., 2016. "Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating," ASTIN Bulletin, Cambridge University Press, vol. 46(3), pages 571-604, September.
  11. Narat Charupat & Mark J. Kamstra & Moshe A. Milevsky, 2016. "The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 519-555, September.
  12. Milevsky, Moshe A. & Salisbury, Thomas S., 2015. "Optimal retirement income tontines," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 91-105.
  13. Milevsky, Moshe A., 2014. "Portfolio choice and longevity risk in the late seventeenth century: a re-examination of the first English tontine," Financial History Review, Cambridge University Press, vol. 21(3), pages 225-258, December.
  14. Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2014. "Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 102-111.
  15. H. Huang & M. A. Milevsky & T. S. Salisbury, 2014. "Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(2), pages 367-395, June.
  16. Moshe A. Milevsky, 2014. "Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities," Canadian Tax Journal, Canadian Tax Foundation, vol. 62(4), pages 971-983.
  17. Huang, Huaxiong & Milevsky, Moshe A. & Salisbury, Thomas S., 2012. "Optimal retirement consumption with a stochastic force of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 282-291.
  18. Huang, Huaxiong & Milevsky, Moshe A., 2011. "Lifetime ruin minimization: should retirees hedge inflation or just worry about it?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(3), pages 363-387, July.
  19. Moshe A. Milevsky & Huaxiong Huang, 2011. "Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates (corrected July 2011)," Financial Analysts Journal, Taylor & Francis Journals, vol. 67(2), pages 45-58, March.
  20. Moshe A. Milevsky & Keke Song, 2010. "Do Markets Like Frozen Defined Benefit Pensions? An Event Study," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 893-909, December.
  21. Milevsky, Moshe A., 2009. "Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Riccardo Rebonato. Princeton University Press, 2007, ISBN 978-0-691-13361-4, 304 pages," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(3), pages 399-400, July.
  22. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
  23. Milevsky, Moshe A. & Young, Virginia R., 2008. "Erratum to: "Annuitization and asset allocation": [Journal of Economic Dynamics & Control 31 (9) (2007) 3138-3177]," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3743-3744, November.
  24. Moshe A. Milevsky & Vladyslav Kyrychenko, 2008. "Portfolio Choice with Puts: Evidence from Variable Annuities," Financial Analysts Journal, Taylor & Francis Journals, vol. 64(3), pages 80-95, May.
  25. Huaxiong Huang & Moshe A. Milevsky & Jin Wang, 2008. "Portfolio Choice and Life Insurance: The CRRA Case," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(4), pages 847-872, December.
  26. Huang, Huaxiong & Milevsky, Moshe A., 2008. "Portfolio choice and mortality-contingent claims: The general HARA case," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2444-2452, November.
  27. Milevsky, Moshe A. & Young, Virginia R., 2007. "The timing of annuitization: Investment dominance and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 135-144, January.
  28. Milevsky, Moshe A. & Young, Virginia R., 2007. "Annuitization and asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.
  29. M. A. Milevsky & S. D. Promislow & V. R. Young, 2006. "Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 673-686, December.
  30. Peng Chen & Roger G. Ibbotson & Moshe A. Milevsky & Kevin X. Zhu, 2006. "Human Capital, Asset Allocation, and Life Insurance," Financial Analysts Journal, Taylor & Francis Journals, vol. 62(1), pages 97-109, January.
  31. Moshe A. Milevsky & Kristen S. Moore & Virginia R. Young, 2006. "Asset Allocation And Annuity‐Purchase Strategies To Minimize The Probability Of Financial Ruin," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 647-671, October.
  32. Milevsky, Moshe A. & Salisbury, Thomas S., 2006. "Financial valuation of guaranteed minimum withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 21-38, February.
  33. Moshe A. Milevsky & Chris Robinson, 2005. "A Sustainable Spending Rate without Simulation," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(6), pages 89-100, November.
  34. Moshe Milevsky, 2005. "Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(4), pages 109-122.
  35. Mark Kamstra & Moshe Milevsky, 2005. "Waiting for returns: using space-time duality to calibrate financial diffusions," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 237-244.
  36. Moshe A. Milevsky, 2005. "The Implied Longevity Yield: A Note on Developing an Index for Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 302-320, June.
  37. Moshe Milevsky, 2004. "A diffusive wander through human life," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 21-23.
  38. Moshe A. Milevsky & S. David Promislow, 2004. "Florida's Pension Election: From DB to DC and Back," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 71(3), pages 381-404, September.
  39. Huang, H. & Milevsky, M. A. & Wang, J., 2004. "Ruined moments in your life: how good are the approximations?," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 421-447, June.
  40. S. Browne & M. A. Milevsky & T. S. Salisbury, 2003. "Asset Allocation and the Liquidity Premium for Illiquid Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(3), pages 509-526, September.
  41. Moshe A. Milevsky & Steven E. Posner, 2003. "A Continuous-Time Reexamination Of Dollar-Cost Averaging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 173-194.
  42. Moshe A. Milevsky, 2003. "Book Review," Journal of Finance, American Finance Association, vol. 58(4), pages 1719-1722, August.
  43. Charupat, Narat & Milevsky, Moshe A., 2002. "Optimal asset allocation in life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 199-209, April.
  44. Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike, 2002. "Overview of the Issue," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(2), pages 85-87, July.
  45. Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 299-318, December.
  46. Milevsky, Moshe Arye & Panyagometh, Kamphol, 2001. "Variable annuities versus mutual funds: a Monte-Carlo analysis of the options," Financial Services Review, Elsevier, vol. 10(1-4), pages 145-161.
  47. Moshe Arye Milevsky, 2001. "Optimal Annuitization Policies," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(1), pages 57-69.
  48. Moshe Milevsky & Chris Robinson, 2000. "Self-Annuitization and Ruin in Retirement," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(4), pages 112-124.
  49. Ho, Kwok & Milevsky, Moshe Arye & Robinson, Chris, 1999. "International equity diversification and shortfall risk," Financial Services Review, Elsevier, vol. 8(1), pages 11-25.
  50. Milevsky, Moshe Arye, 1999. "Martingales, scale functions and stochastic life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 149-154, March.
  51. Milevsky, Moshe Arye & Prisman, Eliezer Z., 1999. "Hedging and pricing with tax law uncertainty: Managing under an Arkansas Best doctrine," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 147-168.
  52. Milevsky, Moshe Arye, 1999. "Time Diversification, Safety-First and Risk," Review of Quantitative Finance and Accounting, Springer, vol. 12(3), pages 271-281, May.
  53. Moshe Arye Milevsky & Steven Posner, 1998. "A theoretical investigation of randomized asset allocation strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(2), pages 117-130.
  54. Milevsky, Moshe Arye & Posner, Steven E., 1998. "Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(3), pages 409-422, September.
  55. Milevsky, Moshe Arye & Ho, Kwok & Robinson, Chris, 1997. "Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money," Review of Quantitative Finance and Accounting, Springer, vol. 9(1), pages 53-70, July.
  56. Moshe Arye Milevsky & Eliezer Z. Prisman, 1997. "Tax Effects in Canadian Equity Option Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(2), pages 101-122, June.
  57. Milevsky, Moshe Arye, 1997. "The present value of a stochastic perpetuity and the Gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 243-250, October.
  58. Ho, Kwok & Milevsky, Moshe Arye & Robinson, Chris, 1994. "Asset allocation, life expectancy and shortfall," Financial Services Review, Elsevier, vol. 3(2), pages 109-126.

Chapters

  1. Moshe A. Milevsky, 2024. "From Church PAYGO to Fully Funded," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 171-190, Springer.
  2. Moshe A. Milevsky, 2024. "Do You Believe in Pensions?," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 3-23, Springer.
  3. Moshe A. Milevsky, 2024. "A Presbyterian Scheme for Ministers," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 85-106, Springer.
  4. Moshe A. Milevsky, 2024. "Annuity Management in the Eighteenth Century," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 145-169, Springer.
  5. Moshe A. Milevsky, 2024. "Longevity Heterogeneity in the Twenty-First Century," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 243-262, Springer.
  6. Moshe A. Milevsky, 2024. "Scientific Models Versus Religious Beliefs," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 191-203, Springer.
  7. Moshe A. Milevsky, 2024. "The First Biblical Annuity," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 205-223, Springer.
  8. Moshe A. Milevsky, 2024. "Longevity Risk and Religion," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 25-48, Springer.
  9. Moshe A. Milevsky, 2024. "Pension Resistance in the Nineteenth Century," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 227-242, Springer.
  10. Moshe A. Milevsky, 2024. "An Enlightened Financial Innovation," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 71-84, Springer.
  11. Moshe A. Milevsky, 2024. "The Benefits of Pooling," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 49-67, Springer.
  12. Moshe A. Milevsky, 2024. "Alexander Webster and the Archives," Springer Books, in: The Religious Roots of Longevity Risk Sharing, chapter 0, pages 107-144, Springer.
  13. Moshe Arye Milevsky, 2017. "Dramatis Personae," Springer Books, in: The Day the King Defaulted, chapter 0, pages 21-50, Springer.
  14. Moshe Arye Milevsky, 2017. "Diary of a Default," Springer Books, in: The Day the King Defaulted, chapter 0, pages 121-191, Springer.
  15. Moshe Arye Milevsky, 2017. "Bankers Then and Now," Springer Books, in: The Day the King Defaulted, chapter 0, pages 1-20, Springer.
  16. Moshe Arye Milevsky, 2017. "Concluding Thoughts for the Twenty-First Century," Springer Books, in: The Day the King Defaulted, chapter 0, pages 193-199, Springer.
  17. Moshe Arye Milevsky, 2017. "Personal Finances of a King," Springer Books, in: The Day the King Defaulted, chapter 0, pages 73-93, Springer.
  18. Moshe Arye Milevsky, 2017. "The Goldsmith-Bankers," Springer Books, in: The Day the King Defaulted, chapter 0, pages 51-71, Springer.
  19. Moshe Arye Milevsky, 2017. "Paid Upon Orders from the Treasury," Springer Books, in: The Day the King Defaulted, chapter 0, pages 95-120, Springer.
  20. Moshe Arye Milevsky & Steven E. Posner, 1999. "Asian Options, The Sum Of Lognormals, And The Reciprocal Gamma Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 7, pages 203-218, World Scientific Publishing Co. Pte. Ltd..

Books

  1. Moshe A. Milevsky, 2024. "The Religious Roots of Longevity Risk Sharing," Springer Books, Springer, number 978-3-031-62403-2, January.
  2. Moshe Arye Milevsky, 2017. "The Day the King Defaulted," Springer Books, Springer, number 978-3-319-59987-8, January.
  3. Milevsky,Moshe A., 2015. "King William's Tontine," Cambridge Books, Cambridge University Press, number 9781107076129, September.
  4. Charupat,Narat & Huang,Huaxiong & Milevsky,Moshe A., 2012. "Strategic Financial Planning over the Lifecycle," Cambridge Books, Cambridge University Press, number 9780521148030, September.
  5. Milevsky,Moshe A., 2006. "The Calculus of Retirement Income," Cambridge Books, Cambridge University Press, number 9780521842587, September.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works
  2. Number of Distinct Works, Weighted by Number of Authors
  3. h-index
  4. Number of Journal Pages
  5. Number of Journal Pages, Weighted by Number of Authors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-AGE: Economics of Ageing (12) 2012-05-22 2012-05-22 2012-05-22 2013-04-13 2015-06-27 2016-11-06 2016-11-06 2018-12-10 2018-12-10 2018-12-17 2021-11-29 2024-03-11. Author is listed
  2. NEP-RMG: Risk Management (4) 2013-07-15 2016-11-06 2018-12-17 2024-03-11
  3. NEP-IAS: Insurance Economics (3) 2012-05-22 2012-05-22 2021-11-29
  4. NEP-DEM: Demographic Economics (2) 2012-05-22 2013-07-15
  5. NEP-UPT: Utility Models and Prospect Theory (2) 2015-06-27 2016-11-06
  6. NEP-HEA: Health Economics (1) 2012-05-22
  7. NEP-HIS: Business, Economic and Financial History (1) 2013-07-15

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