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Milevsky, Moshe Arye

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Author ID: milevsky.moshe-arye Recent zbMATH articles by "Milevsky, Moshe Arye"
Published as: Milevsky, Moshe A.; Milevsky, Moshe Arye; Milevsky, M. A.

Publications by Year

Citations contained in zbMATH Open

24 Publications have been cited 514 times in 364 Documents Cited by Year
Mortality derivatives and the option to annuitise. Zbl 1074.62530
Milevsky, Moshe A.; Promislow, S. David
112
2001
Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048
Milevsky, Moshe A.; Salisbury, Thomas S.
70
2006
Annuitization and asset allocation. Zbl 1163.91440
Milevsky, Moshe A.; Young, Virginia R.
67
2007
Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515
Milevsky, Moshe Arye; Robinson, Chris
39
2000
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406
Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R.
31
2009
Asset allocation and annuity-purchase strategies to minimize the probability of financial ruin. Zbl 1130.91031
Milevsky, Moshe A.; Moore, Kristen S.; Young, Virginia R.
28
2006
Optimal retirement income tontines. Zbl 1348.91176
Milevsky, Moshe A.; Salisbury, Thomas S.
21
2015
Optimal asset allocation in life annuities: a note. Zbl 1074.91548
Charupat, Narat; Milevsky, Moshe A.
20
2002
The present value of a stochastic perpetuity and the gamma distribution. Zbl 0903.60069
Milevsky, Moshe Arye
18
1997
Optimal retirement consumption with a stochastic force of mortality. Zbl 1284.91162
Huang, Huaxiong; Milevsky, Moshe A.; Salisbury, Thomas S.
16
2012
Optimal annuitization policies: analysis of the options. Zbl 1083.91522
Milevsky, Moshe Arye
16
2001
The calculus of retirement income. Financial models for pension annuities and life insurance. Zbl 1145.91036
Milevsky, Moshe A.
15
2006
Ruined moments in your life: how good are the approximations? Zbl 1188.91233
Huang, H.; Milevsky, M. A.; Wang, J.
12
2004
Equitable retirement income tontines: mixing cohorts without discriminating. Zbl 1390.91201
Milevsky, Moshe A.; Salisbury, Thomas S.
12
2016
Optimal initiation of a GLWB in a variable annuity: no arbitrage approach. Zbl 1304.91113
Huang, H.; Milevsky, M. A.; Salisbury, T. S.
10
2014
Real longevity insurance with a deductible: introduction to advanced-life delayed annuities (ALDA). Zbl 1215.91036
Milevsky, Moshe A.
7
2005
Optimal purchasing of deferred income annuities when payout yields are mean-reverting. Zbl 1402.91200
Huang, Huaxiong; Milevsky, Moshe A.; Young, Virginia R.
5
2017
The timing of annuitization: Investment dominance and mortality risk. Zbl 1273.91241
Milevsky, Moshe A.; Young, Virginia R.
4
2007
Martingales, scale functions and stochastic life annuities: A note. Zbl 0930.60060
Milevsky, Moshe Arye
3
1999
Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? Zbl 1446.91068
Milevsky, Moshe A.
3
2020
A continuous-time reexamination of dollar-cost averaging. Zbl 1079.91534
Milevsky, Moshe A.; Posner, Steven E.
2
2003
Longevity risk and retirement income tax efficiency: a location spending rate puzzle. Zbl 1371.91093
Huang, Huaxiong; Milevsky, Moshe A.
1
2016
The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307
Milevsky, Moshe A.; Huang, Huaxiong
1
2018
Retirement spending and biological age. Zbl 1401.91519
Huang, H.; Milevsky, M. A.; Salisbury, T. S.
1
2017
Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? Zbl 1446.91068
Milevsky, Moshe A.
3
2020
The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307
Milevsky, Moshe A.; Huang, Huaxiong
1
2018
Optimal purchasing of deferred income annuities when payout yields are mean-reverting. Zbl 1402.91200
Huang, Huaxiong; Milevsky, Moshe A.; Young, Virginia R.
5
2017
Retirement spending and biological age. Zbl 1401.91519
Huang, H.; Milevsky, M. A.; Salisbury, T. S.
1
2017
Equitable retirement income tontines: mixing cohorts without discriminating. Zbl 1390.91201
Milevsky, Moshe A.; Salisbury, Thomas S.
12
2016
Longevity risk and retirement income tax efficiency: a location spending rate puzzle. Zbl 1371.91093
Huang, Huaxiong; Milevsky, Moshe A.
1
2016
Optimal retirement income tontines. Zbl 1348.91176
Milevsky, Moshe A.; Salisbury, Thomas S.
21
2015
Optimal initiation of a GLWB in a variable annuity: no arbitrage approach. Zbl 1304.91113
Huang, H.; Milevsky, M. A.; Salisbury, T. S.
10
2014
Optimal retirement consumption with a stochastic force of mortality. Zbl 1284.91162
Huang, Huaxiong; Milevsky, Moshe A.; Salisbury, Thomas S.
16
2012
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406
Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R.
31
2009
Annuitization and asset allocation. Zbl 1163.91440
Milevsky, Moshe A.; Young, Virginia R.
67
2007
The timing of annuitization: Investment dominance and mortality risk. Zbl 1273.91241
Milevsky, Moshe A.; Young, Virginia R.
4
2007
Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048
Milevsky, Moshe A.; Salisbury, Thomas S.
70
2006
Asset allocation and annuity-purchase strategies to minimize the probability of financial ruin. Zbl 1130.91031
Milevsky, Moshe A.; Moore, Kristen S.; Young, Virginia R.
28
2006
The calculus of retirement income. Financial models for pension annuities and life insurance. Zbl 1145.91036
Milevsky, Moshe A.
15
2006
Real longevity insurance with a deductible: introduction to advanced-life delayed annuities (ALDA). Zbl 1215.91036
Milevsky, Moshe A.
7
2005
Ruined moments in your life: how good are the approximations? Zbl 1188.91233
Huang, H.; Milevsky, M. A.; Wang, J.
12
2004
A continuous-time reexamination of dollar-cost averaging. Zbl 1079.91534
Milevsky, Moshe A.; Posner, Steven E.
2
2003
Optimal asset allocation in life annuities: a note. Zbl 1074.91548
Charupat, Narat; Milevsky, Moshe A.
20
2002
Mortality derivatives and the option to annuitise. Zbl 1074.62530
Milevsky, Moshe A.; Promislow, S. David
112
2001
Optimal annuitization policies: analysis of the options. Zbl 1083.91522
Milevsky, Moshe Arye
16
2001
Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515
Milevsky, Moshe Arye; Robinson, Chris
39
2000
Martingales, scale functions and stochastic life annuities: A note. Zbl 0930.60060
Milevsky, Moshe Arye
3
1999
The present value of a stochastic perpetuity and the gamma distribution. Zbl 0903.60069
Milevsky, Moshe Arye
18
1997
all top 5

Cited by 462 Authors

29 Young, Virginia R.
17 Milevsky, Moshe Arye
14 Chen, An
13 Bayraktar, Erhan
13 Forsyth, Peter A.
11 Dhaene, Jan
10 Blake, David
10 Vigna, Elena
9 Goovaerts, Marc J.
8 Feng, Runhuan
7 Huang, Huaxiong
7 Ziveyi, Jonathan
6 Kwok, Yue-Kuen
6 Liang, Xiaoqing
6 Salisbury, Thomas S.
6 Sherris, Michael
5 Cairns, Andrew J. G.
5 Haberman, Steven
5 Lin, X. Sheldon
5 Mamon, Rogemar S.
5 Maurer, Raimond H.
5 Moore, Kristen S.
5 Rach, Manuel
5 Regis, Luca
5 Vetzal, Kenneth R.
4 Ballotta, Laura
4 Cox, Samuel H. jun.
4 Delong, Łukasz
4 Giacometti, Rosella
4 He, Lin
4 Ignatieva, Katja
4 Jevtić, Petar
4 Kaas, Rob
4 Li, Johnny Siu-Hang
4 Liang, Zongxia
4 Lin, Yijia
4 Liu, Xiaoming
4 Luciano, Elisa
4 MacMinn, Richard D.
4 Menoncin, Francesco
4 Mitchell, Olivia S.
4 Shen, Yang
4 Steffensen, Mogens
4 Tsai, Jeffrey Tzuhao
4 Tzeng, Larry Yu-Ren
4 Ulm, Eric R.
4 Vanduffel, Steven
3 Azimzadeh, Parsiad
3 Biffis, Enrico
3 Blackburn, Craig
3 Dahl, Mikkel
3 Deelstra, Griselda
3 Denuit, Michel M.
3 Donnelly, Catherine
3 Dowd, Kevin
3 Fabozzi, Frank J.
3 Gan, Guojun
3 Gao, Jin
3 Gerrard, Russell
3 Guillen, Montserrat
3 Henrard, Luc
3 Hieber, Peter
3 Huang, Yao Tung
3 Jang, Bong-Gyu
3 Konicz, Agnieszka Karolina
3 MacDonald, Bonnie-Jeanne
3 Millossovich, Pietro
3 Park, Seyoung
3 Pelsser, Antoon A. J.
3 Pisinger, David
3 Promislov, S. David
3 Rachev, Svetlozar T.
3 Rogalla, Ralph
3 Shevchenko, Pavel V.
3 Tan, Ken Seng
3 Valdez, Emiliano A.
3 Wang, Jennifer L.
3 Wang, Ting
3 Yang, Hailiang
3 Yang, Sharon S.
2 Ahcan, Ales
2 Ballestra, Luca Vincenzo
2 Barigou, Karim
2 Bauer, Daniel J.
2 Bernard, Carole L.
2 Bernhardt, Thomas
2 Bertocchi, Marida
2 Bravo, Jorge Miguel
2 Buchardt, Kristian
2 Chen, Zhuliang
2 Christiansen, Marcus Christian
2 Clare, Andrew
2 Dadashi, Hassan
2 Dai, Tian-Shyr
2 D’Albis, Hippolyte
2 De Schepper, Ann
2 Devolder, Pierre
2 Di Giacinto, Marina
2 Dong, Yinghui
2 E, Weinan
...and 362 more Authors
all top 5

Cited in 54 Serials

155 Insurance Mathematics & Economics
41 North American Actuarial Journal
24 Scandinavian Actuarial Journal
19 ASTIN Bulletin
13 Journal of Economic Dynamics & Control
13 Quantitative Finance
9 European Journal of Operational Research
8 European Actuarial Journal
7 Journal of Computational and Applied Mathematics
7 Finance and Stochastics
3 Annals of Operations Research
3 Mathematical Finance
3 International Journal of Theoretical and Applied Finance
3 Methodology and Computing in Applied Probability
3 Decisions in Economics and Finance
3 Journal of Industrial and Management Optimization
3 Mathematics and Financial Economics
2 Theory of Probability and its Applications
2 Journal of Mathematical Economics
2 Journal of Optimization Theory and Applications
2 Numerische Mathematik
2 Operations Research Letters
2 Applied Mathematical Finance
2 Computational Management Science
2 SIAM Journal on Financial Mathematics
1 Journal of Mathematical Analysis and Applications
1 Lithuanian Mathematical Journal
1 Applied Mathematics and Optimization
1 Journal of Economic Theory
1 SIAM Journal on Numerical Analysis
1 Statistica Neerlandica
1 Theory and Decision
1 Mathematical Social Sciences
1 Stochastic Analysis and Applications
1 Mathematical and Computer Modelling
1 Journal of Scientific Computing
1 Journal of Applied Mathematics and Stochastic Analysis
1 Economics Letters
1 Communications in Statistics. Theory and Methods
1 International Journal of Computer Mathematics
1 Journal of Nonlinear Science
1 Economic Theory
1 Mathematical Problems in Engineering
1 Discrete Dynamics in Nature and Society
1 CEJOR. Central European Journal of Operations Research
1 Brazilian Journal of Probability and Statistics
1 Stochastic Models
1 OR Spectrum
1 Journal of the Korean Statistical Society
1 AStA. Advances in Statistical Analysis
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Science China. Mathematics
1 Statistics & Risk Modeling
1 Cogent Mathematics

Citations by Year