Follow
Moshe Arye Milevsky
Moshe Arye Milevsky
Professor of Finance, Schulich School of Business, York University
Verified email at yorku.ca - Homepage
Title
Cited by
Cited by
Year
Mortality derivatives and the option to annuitise
MA Milevsky, SD Promislow
Insurance: Mathematics and Economics 29 (3), 299-318, 2001
4732001
Asian options, the sum of lognormals, and the reciprocal gamma distribution
MA Milevsky, SE Posner
Journal of financial and quantitative analysis 33 (3), 409-422, 1998
3631998
Annuitization and asset allocation
MA Milevsky, VR Young
Journal of Economic Dynamics and Control 31 (9), 3138-3177, 2007
3292007
Financial valuation of guaranteed minimum withdrawal benefits
MA Milevsky, TS Salisbury
Insurance: Mathematics and Economics 38 (1), 21-38, 2006
3272006
The calculus of retirement income: financial models for pension annuities and life insurance
MA Milevsky
Cambridge University Press, 2006
2432006
The titanic option: valuation of the guaranteed minimum death benefit in variable annuities and mutual funds
MA Milevsky, SE Posner
Journal of Risk and Insurance, 93-128, 2001
2422001
Optimal asset allocation towards the end of the life cycle: to annuitize or not to annuitize?
MA Milevsky
Journal of Risk and Insurance, 401-426, 1998
2021998
Optimal asset allocation during retirement in the presence of fixed and variable immediate life annuities (payout annuities)
P Chen, MA Milevsky
US Patent 7,120,601, 2006
1592006
Self-annuitization and ruin in retirement
MA Milevsky, C Robinson
North American Actuarial Journal 4 (4), 112-124, 2000
1522000
Real longevity insurance with a deductible: Introduction to advanced-life delayed annuities (ALDA)
MA Milevsky
North American Actuarial Journal 9 (4), 109-122, 2005
1482005
A closed-form approximation for valuing basket options
MA Milevsky, SE Posner
Journal of Derivatives 5, 54-61, 1998
1481998
Optimal retirement income tontines
MA Milevsky, TS Salisbury
Insurance: Mathematics and economics 64, 91-105, 2015
1362015
Human capital, asset allocation, and life insurance
P Chen, RG Ibbotson, MA Milevsky, KX Zhu
Financial Analysts Journal 62 (1), 97-109, 2006
1362006
Spending retirement on planet vulcan: The impact of longevity risk aversion on optimal withdrawal rates (corrected July 2011)
MA Milevsky, H Huang
Financial Analysts Journal 67 (2), 45-58, 2011
1232011
Asset allocation, life expectancy and shortfall
K Ho, MA Milevsky, C Robinson
Financial Services Review 3 (2), 109-126, 1994
1231994
Asset allocation via the conditional first exit time or how to avoid outliving your money
MA Milevsky, K Ho, C Robinson
Review of Quantitative Finance and Accounting 9 (1), 53-70, 1997
1201997
Portfolio choice and life insurance: The CRRA case
H Huang, MA Milevsky, J Wang
Journal of Risk and Insurance 75 (4), 847-872, 2008
1142008
A sustainable spending rate without simulation
MA Milevsky, C Robinson
Financial Analysts Journal 61 (6), 89-100, 2005
1142005
Asset allocation and annuity‐purchase strategies to minimize the probability of financial ruin
MA Milevsky, KS Moore, VR Young
Mathematical Finance 16 (4), 647-671, 2006
1132006
Killing the law of large numbers: Mortality risk premiums and the sharpe ratio
MA Milevsky, SD Promislow, VR Young
Journal of Risk and Insurance 73 (4), 673-686, 2006
1052006
The system can't perform the operation now. Try again later.
Articles 1–20