Moshe Arye Milevsky
Moshe Arye Milevsky
Professor of Finance, Schulich School of Business, York University
Verified email at - Homepage
Cited by
Cited by
Mortality derivatives and the option to annuitise
MA Milevsky, SD Promislow
Insurance: Mathematics and Economics 29 (3), 299-318, 2001
Asian options, the sum of lognormals, and the reciprocal gamma distribution
MA Milevsky, SE Posner
Quantitative Analysis In Financial Markets: Collected Papers of the New York …, 1999
Annuitization and asset allocation
MA Milevsky, VR Young
Journal of Economic Dynamics and Control 31 (9), 3138-3177, 2007
Financial valuation of guaranteed minimum withdrawal benefits
MA Milevsky, TS Salisbury
Insurance: Mathematics and Economics 38 (1), 21-38, 2006
The calculus of retirement income: Financial models for pension annuities and life insurance
MA Milevsky
Cambridge University Press, 2006
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
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
Self-annuitization and ruin in retirement
MA Milevsky, C Robinson
North American Actuarial Journal 4 (4), 112-124, 2000
A closed-form approximation for valuing basket options
MA Milevsky, SE Posner
Journal of Derivatives 5, 54-61, 1998
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
Real longevity insurance with a deductible: Introduction to advanced-life delayed annuities (ALDA)
MA Milevsky
North American Actuarial Journal 9 (4), 109-122, 2005
Human capital, asset allocation, and life insurance
P Chen, RG Ibbotson, MA Milevsky, KX Zhu
Financial Analysts Journal 62 (1), 97-109, 2006
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
A sustainable spending rate without simulation
MA Milevsky, C Robinson
Financial Analysts Journal 61 (6), 89-100, 2005
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
Asset allocation, life expectancy and shortfall
K Ho, MA Milevsky, C Robinson
Financial Services Review 3 (2), 109-126, 1994
Valuing exotic options by approximating the SPD with higher moments
SE Posner, MA Milevsky
The Journal of Financial Engineering 7 (2), 1998
Lifetime financial advice: human capital, asset allocation, and insurance
RG Ibbotson, MA Milevsky, P Chen, KX Zhu
The Research Foundation of CFA Institute, 1-103, 2007
Optimal annuitization policies: Analysis of the options
MA Milevsky
North American Actuarial Journal 5 (1), 57-69, 2001
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
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