Edit Profile (opens in new tab) Milevsky, Moshe Arye Co-Author Distance Author ID: milevsky.moshe-arye Published as: Milevsky, Moshe A.; Milevsky, Moshe Arye; Milevsky, M. A. more...less Documents Indexed: 29 Publications since 1997, including 1 Book and 1 Additional arXiv Preprint 1 Contribution as Editor Co-Authors: 15 Co-Authors with 24 Joint Publications 455 Co-Co-Authors all top 5 Co-Authors 6 single-authored 7 Huang, Huaxiong 7 Salisbury, Thomas S. 7 Young, Virginia R. 3 Promislov, S. David 2 Posner, Steven E. 1 Bayraktar, Erhan 1 Charupat, Narat 1 Kamstra, Mark 1 Laeven, Roger J. A. 1 Moore, Kristen S. 1 Robinson, Chris 1 Scherer, Matthias 1 Wang, Jin 1 Zagst, Rudi 1 Zhou, Xunyu all top 5 Serials 14 Insurance Mathematics & Economics 4 Journal of Economic Dynamics & Control 4 North American Actuarial Journal 1 Applied Mathematical Finance 1 Mathematical Finance 1 International Journal of Theoretical and Applied Finance 1 Quantitative Finance 1 ASTIN Bulletin 1 Review of Finance all top 5 Fields 27 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Probability theory and stochastic processes (60-XX) 3 Systems theory; control (93-XX) 2 Statistics (62-XX) 1 General and overarching topics; collections (00-XX) 1 Partial differential equations (35-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 24 Publications have been cited 577 times in 403 Documents Cited by ▼ Year ▼ Mortality derivatives and the option to annuitise. Zbl 1074.62530 Milevsky, Moshe A.; Promislow, S. David 120 2001 Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048 Milevsky, Moshe A.; Salisbury, Thomas S. 81 2006 Annuitization and asset allocation. Zbl 1163.91440 Milevsky, Moshe A.; Young, Virginia R. 72 2007 Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515 Milevsky, Moshe Arye; Robinson, Chris 42 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. 34 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. 31 2006 Optimal retirement income tontines. Zbl 1348.91176 Milevsky, Moshe A.; Salisbury, Thomas S. 30 2015 Optimal asset allocation in life annuities: a note. Zbl 1074.91548 Charupat, Narat; Milevsky, Moshe A. 20 2002 Equitable retirement income tontines: mixing cohorts without discriminating. Zbl 1390.91201 Milevsky, Moshe A.; Salisbury, Thomas S. 19 2016 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. 18 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. 16 2006 Optimal initiation of a GLWB in a variable annuity: no arbitrage approach. Zbl 1304.91113 Huang, H.; Milevsky, M. A.; Salisbury, T. S. 13 2014 Ruined moments in your life: how good are the approximations? Zbl 1188.91233 Huang, H.; Milevsky, M. A.; Wang, J. 12 2004 Real longevity insurance with a deductible: introduction to advanced-life delayed annuities (ALDA). Zbl 1215.91036 Milevsky, Moshe A. 7 2005 Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? Zbl 1446.91068 Milevsky, Moshe A. 6 2020 Optimal purchasing of deferred income annuities when payout yields are mean-reverting. Zbl 1402.91200 Huang, Huaxiong; Milevsky, Moshe A.; Young, Virginia R. 6 2017 A continuous-time reexamination of dollar-cost averaging. Zbl 1079.91534 Milevsky, Moshe A.; Posner, Steven E. 4 2003 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 Longevity risk and retirement income tax efficiency: a location spending rate puzzle. Zbl 1371.91093 Huang, Huaxiong; Milevsky, Moshe A. 2 2016 The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307 Milevsky, Moshe A.; Huang, Huaxiong 2 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. 6 2020 The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307 Milevsky, Moshe A.; Huang, Huaxiong 2 2018 Optimal purchasing of deferred income annuities when payout yields are mean-reverting. Zbl 1402.91200 Huang, Huaxiong; Milevsky, Moshe A.; Young, Virginia R. 6 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. 19 2016 Longevity risk and retirement income tax efficiency: a location spending rate puzzle. Zbl 1371.91093 Huang, Huaxiong; Milevsky, Moshe A. 2 2016 Optimal retirement income tontines. Zbl 1348.91176 Milevsky, Moshe A.; Salisbury, Thomas S. 30 2015 Optimal initiation of a GLWB in a variable annuity: no arbitrage approach. Zbl 1304.91113 Huang, H.; Milevsky, M. A.; Salisbury, T. S. 13 2014 Optimal retirement consumption with a stochastic force of mortality. Zbl 1284.91162 Huang, Huaxiong; Milevsky, Moshe A.; Salisbury, Thomas S. 18 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. 34 2009 Annuitization and asset allocation. Zbl 1163.91440 Milevsky, Moshe A.; Young, Virginia R. 72 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. 81 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. 31 2006 The calculus of retirement income. Financial models for pension annuities and life insurance. Zbl 1145.91036 Milevsky, Moshe A. 16 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. 4 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 120 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 42 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 cited Publications top 5 cited Publications all top 5 Cited by 509 Authors 31 Young, Virginia R. 19 Milevsky, Moshe Arye 15 Chen, An 13 Bayraktar, Erhan 13 Forsyth, Peter A. 11 Dhaene, Jan 10 Blake, David 10 Vigna, Elena 9 Feng, Runhuan 9 Goovaerts, Marc J. 9 Ziveyi, Jonathan 8 Huang, Huaxiong 8 Liang, Xiaoqing 7 Salisbury, Thomas S. 6 Jevtić, Petar 6 Kwok, Yue-Kuen 6 Rach, Manuel 6 Regis, Luca 6 Sherris, Michael 5 Cairns, Andrew J. G. 5 Haberman, Steven 5 Liang, Zongxia 5 Lin, X. Sheldon 5 Mamon, Rogemar S. 5 Maurer, Raimond H. 5 Moore, Kristen S. 5 Shen, Yang 5 Vetzal, Kenneth R. 4 Ballotta, Laura 4 Cox, Samuel H. jun. 4 Delong, Łukasz 4 Gan, Guojun 4 Giacometti, Rosella 4 Hainaut, Donatien 4 He, Lin 4 Hieber, Peter 4 Ignatieva, Katja 4 Kaas, Rob 4 Li, Johnny Siu-Hang 4 Lin, Yijia 4 Liu, Xiaoming 4 Luciano, Elisa 4 MacMinn, Richard D. 4 Menoncin, Francesco 4 Mitchell, Olivia S. 4 Steffensen, Mogens 4 Tsai, Jeffrey Tzuhao 4 Tzeng, Larry Yu-Ren 4 Ulm, Eric R. 4 Vanduffel, Steven 3 Azimzadeh, Parsiad 3 Bauer, Daniel J. 3 Biffis, Enrico 3 Blackburn, Craig 3 Bravo, Jorge Miguel 3 Dahl, Mikkel 3 Deelstra, Griselda 3 Denuit, Michel M. 3 Donnelly, Catherine 3 Dowd, Kevin 3 Fabozzi, Frank J. 3 Gao, Jin 3 Gerrard, Russell 3 Guillen, Montserrat 3 Henrard, Luc 3 Huang, Yao Tung 3 Jang, Bong-Gyu 3 Konicz, Agnieszka Karolina 3 MacDonald, Bonnie-Jeanne 3 Millossovich, Pietro 3 Moenig, Thorsten 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 Xu, Wei (David) 3 Yang, Hailiang 3 Yang, Sharon S. 2 Ahcan, Ales 2 Bacinello, Anna Rita 2 Ballestra, Luca Vincenzo 2 Barigou, Karim 2 Bernard, Carole L. 2 Bernhardt, Thomas 2 Bertocchi, Marida 2 Brown, Hayden 2 Buchardt, Kristian 2 Chen, Zhuliang 2 Christiansen, Marcus Christian 2 Clare, Andrew 2 Dadashi, Hassan 2 Dai, Tian-Shyr 2 D’Albis, Hippolyte ...and 409 more Authors all top 5 Cited in 58 Serials 167 Insurance Mathematics & Economics 43 North American Actuarial Journal 27 Scandinavian Actuarial Journal 24 ASTIN Bulletin 13 Journal of Economic Dynamics & Control 13 Quantitative Finance 11 European Actuarial Journal 9 European Journal of Operational Research 7 Journal of Computational and Applied Mathematics 7 Finance and Stochastics 5 International Journal of Theoretical and Applied Finance 5 Methodology and Computing in Applied Probability 5 Decisions in Economics and Finance 3 Annals of Operations Research 3 Communications in Statistics. Theory and Methods 3 Mathematical Finance 3 Computational Management Science 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 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 Operations Research 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. Simulation and Computation 1 International Journal of Computer Mathematics 1 Journal of Nonlinear Science 1 Economic Theory 1 Mathematical Problems in Engineering 1 Soft Computing 1 Discrete Dynamics in Nature and Society 1 Journal of Applied Statistics 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 all top 5 Cited in 15 Fields 386 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 78 Probability theory and stochastic processes (60-XX) 65 Statistics (62-XX) 54 Systems theory; control (93-XX) 23 Calculus of variations and optimal control; optimization (49-XX) 18 Operations research, mathematical programming (90-XX) 17 Numerical analysis (65-XX) 12 Partial differential equations (35-XX) 5 General and overarching topics; collections (00-XX) 2 Integral transforms, operational calculus (44-XX) 2 Biology and other natural sciences (92-XX) 1 Special functions (33-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Computer science (68-XX) Citations by Year