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Here is a list of research papers that have been coauthored by researchers affiliated with the IFID Centre.


[73.] Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating, (M. A. Milevsky and T. Salisbury) updated final version in ASTIN Bulletin: The Journal of the International Actuarial Association, 2016, Vol. 46(03), pg. 571-604.

[72.] Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting, (H. Huang, M. A. Milevsky, and V. R. Young) updated final version in Review of Finance, published online February 11, 2016.

[71.] Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities, (M. A. Milevsky) updated final version in Canadian Tax Journal (2014) Vol. 62(4), pg. 971 - 983.

[70.] Portfolio Choice and Longevity Risk in the Late Seventeenth Century. A Re-Examination of the First English Tontine, (M. A. Milevsky) updated final version in Financial History Review, December 2014, Vol. 21(3), pg. 225-258.

[69.] Valuation and Hedging of the Ruin‐Contingent Life Annuity (RCLA), (H. Huang, M. A. Milevsky, and T. Salisbury) updated final version in Journal of Risk and Insurance, Vol. 81(2) (2014), pg. 367-395.

[68.] How Long Does the Market Think You Will Live? Implying Longevity from Annuity Prices, (M. A. Milevsky, T. Salisbury and A. Chigodaev) updated and final version in the Journal of Investment Consulting, 2016, Vol. 17, No. 1.

[67.] Life Annuities: An Optimal Product for Retirement Income, (M. A. Milevsky) Research Foundation Publications, May 2013, Vol. 2013, No. 1.

[66.] Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693”, (M. A. Milevsky and T. Salisbury) May 28, 2013. Refereed conference proceeding: Living to 100 Symposium, Society of Actuaries, Orlando FL (2014).

[65.] “Complete Market Valuation of the Ruin-Contingent Life Annuity (RCLA)”, (H. Huang, M. A. Milevsky and T. Salisbury), Journal of Risk and Insurance, Spring 2013.

[64.] “Optimal Initiation of a GLWB in a Variable Annuity: No Arbitrage Approach”, (H. Huang, M. A. Milevsky and T. Salisbury), May 2014, Insurance: Mathematics and Economics , Vol. 56, pg. 102-111.

[63.] “Optimal Retirement Consumption with a Stochastic Force of Mortality" (H. Huang, M. A. Milevsky and T. Salisbury), updated final version in Insurance: Mathematics and Economics, September 2012, Vol. 51(2), pg. 282-292.

[62.] “The Annuity Duration Puzzle”, (N. Charupat, M. J. Kamstra and M. A. Milevsky) March 15, 2012.

[61.] “Longevity Risk Aversion and Tax-Efficient Withdrawals”, (H. Huang and M. A. Milevsky), October 25, 2011.

[60.] “Lifetime Ruin Minimization: Should Retirees Hedge Inflation or Just Worry About It?" (H. Huang and M. A. Milevsky), updated final version in the Journal of Pension Economics and Finance, July 2011, Vol. 10(3), pg. 363-388.

[59.] “Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates" (H. Huang and M. A. Milevsky), updated final version in the Financial Analyst Journal, March/April 2011, Vol. 67(2), pg. 45-58. (Edited and reprinted in the Journal of the American Association of Individual Investors, September 2011, as well as Risk Management Magazine in December 2011).

[58.] “Do Markets Like Frozen DB Pension Plans? An Event Study” (M. A. Milevsky and K. Song), updated and final version in the Journal of Risk and Insurance, December 2010, Vol. 77(4), pg. 893-909.

[57.] “Retirement Income Sustainability: How To Measure the Tail of a Black Swan”, The Journal of Financial Planning, (A. Abaimova, B. Cavalieri and M. A. Milevsky), October 2009, pg. 56-67.

[56.] “Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities” (M. A. Milevsky, J. Young, D. Promislow and E. Bayraktar), updated final version in the Journal of Economic Dynamics and Control, Vol. 33(3), March 2009, pg. 676-691.

[55.] “A Different Perspective on Retirement Income Sustainability: The Blueprint for Ruin Contingent Life Annuity” (H. Huang, M. A. Milevsky and T.S. Salisbury) updated final version in the Journal of Wealth Management. Spring 2009, page 1-8.

[54.] “Portfolio Choice and Mortality Contingent Claims: The General HARA Case” (H. Huang and M. A. Milevsky), updated final version in the Journal of Banking and Finance, November 2008, Vol. 32(11), pg. 2444-2452.

[53.] “Portfolio Choice and Life Insurance: The CRRA Case” (M. A. Milevsky, J. Wang and H. Huang), December 2008. Updated final version in the Journal of Risk and Insurance, Vol. 75(4), pg. 847-872.

[52.] “Portfolio Choice with Puts: Evidence from Variable Annuities” (M. A. Milevsky and V. Kyrychenko), updated final version in the Financial Analysts Journal, May/June 2008, Volume 64(2), pg. 1-30.

[51.] “Asset Allocation and Annuitization” (M. A. Milevsky and V.R. Young), updated final version in the Journal of Economic Dynamics and Control, Volume 31, Issue 9, September 2007, Pg. 3138-3177. Erratum published in Vol. 32(11), pg. 3743-4744.

[50.] “A Gentle Introduction to the Calculus of Sustainable Income: What is Your Retirement RisQuotient?”, (M. A. Milevsky), Journal of Financial Service Professionals, July 2007, Volume 61(5), pg. 51-62. (Winner of the Kenneth Black Jr. Award for best paper in the JFSP in 2007.)

[49.] “The Timing of Annuitization, Investment Dominance and Mortality Risk” (M. A. Milevsky and V.R. Young), Insurance: Mathematics and Economics, January 2007, Vol. 40(1), pg. 135-144.

[48.] “Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio”, (M. A. Milevsky, V.R. Young and S.D. Promislow) updated final version in the Journal of Risk and Insurance, December 2006, Vol. 73(4), pg. 673-686.

[47.] “Asset Allocation and Annuity Purchase Strategies to Minimize the Probability of Financial Ruin” (M. A. Milevsky, V.R. Young and K. Moore), Mathematical Finance, October 2006 Vol. 16(4), pg. 647-671.

[46.] “Cleaning a Passive Index: How to Include CSR Constraints Using Portfolio Optimization” (M. A. Milevsky, A. Aziz, A. Goss, J. Thomson and D. Wheeler) updated final version in the Journal of Portfolio Management, Spring 2006, Vol. 32(3), pg. 110-118.

[45.] “Human Capital, Asset Allocation and Life Insurance" (M. A. Milevsky, P. Chen, R. Ibbotson and K. Zhu), updated final version in the Financial Analysts Journal, January/February 2006, Vol. 62(1), pg. 97-109 (winner of a 2006 Graham & Dodd Scroll Award from the CFA Institute).

[44.] “Will the True Monte Carlo Number, Please Stand Up?” (M. A. Milevsky and A. Abaimova), Journal of Financial Planning, Online Version (only), July 2006.

[43.] “Financial Valuation of Guaranteed Minimum Withdrawal Benefits” (M. A. Milevsky and T. Salisbury), Insurance: Mathematics and Economics, February 2006, Vol. 38(1), pg. 21-38.

[42.] “A Sustainable Spending Rate without Simulation” (M. A. Milevsky and C. Robinson), updated final version in the Financial Analysts Journal, November/December 2005, Vol. 61(6), pg. 89-100. (Reprinted as a chapter in Private Wealth: Advances in Wealth Management Practices, published by the CFA Institute, 2008.)

[41.] “Waiting for Returns: Testing GBM via Space Time Duality” (M. A. Milevsky and M. Kamstra), Quantitative Finance, Summer 2005, Vol. 5(3), pg. 237-244.

[40.] “Advanced Life Delayed Annuities: Pure Longevity Insurance with Deductibles”, (M. A. Milevsky), North American Actuarial Journal, October 2005, Vol. 9(4), pg. 109-122.

[39.] “Probabilistic Investing: Or How to Win the Globe and Mail’s Stock Picking Contest” (M. A. Milevsky and T. Salisbury), Financial Services Review, 2005, Vol. 14(3), pg. 197-211.

[38.] “Implied Longevity Yield: A Note on Developing an Index for Payout Annuities”, (M. A. Milevsky), Journal of Risk and Insurance, 2005, Vol. 72(2), pg. 301-320.

[37.] “The Erosion Effects of Income Taxes and Inflation on GIC Investment Returns” (M. A. Milevsky, A. Mawani and J. Landzberg, updated final version in the Canadian Tax Journal, 2004, Vol. 52(4), pg. 1-21.

[36.] “A Diffusive Wander Through Human Life", (M. A. Milevsky), Quantitative Finance, April 2004, Vol. 4(2), pg. 21-23.

[35.] “Florida’s Pension Election: From DB to DC and Back” (M. A. Milevsky and D. Promislow), updated final version in the Journal of Risk and Insurance, 2004 Vol. 71(3), pg. 351-557.

[34.] “Illiquid Asset Allocation and Policy Weights: How Far Can they Deviate?”, (M. A. Milevsky), The Journal of Wealth Management, Winter 2004, Vol. 7(3), pg. 27-34.

[33.] “Ruined Moments in Your Life: How Good Are the Approximations?” (M. A. Milevsky, J. Wang and H. Huang), updated final version in Insurance: Mathematics and Economics, 2004 Vol. 34(3), pg. 421-447.

[32.] “Exchanging Variable Annuities: An Optional Test for Suitability” (M. A. Milevsky and K. Panyagometh), updated final version in the Journal of Financial Planning, April 2004, Vol. 17(4), pg. 56-66.

[31.] “Asset Allocation and the Liquidity Premium for Illiquid Annuities” (M. A. Milevsky, S. Browne, and T. S. Salisbury), Journal of Risk and Insurance, 2003 Vol. 70(3), pg. 509-526.

[30.] “The Impact of Personal Income Taxes on Returns and Rankings of Canadian Equity Mutual Funds”, (M. A. Milevsky, A. Mawani and K. Panyagometh), Canadian Tax Journal, 2003 Vol. 51(2), pg. 863-901.

[29.] “Merging Asset Allocation and Longevity Insurance: An Optimal Perspective on Payout Annuities”, (M. A. Milevsky and P. Chen), Journal of Financial Planning, June 2003, pg. 64-72.

[28.] “A Continuous Time Reexamination of Dollar-Cost Averaging”, (M. A. Milevsky and S. Posner) updated final version in the International Journal of Theoretical and Applied Finance, 2003 Vol. 6(2), pg. 173-194.

[27.] “Space-Time Diversification: Which Dimension is Better?”, (M. A. Milevsky), updated final version in the Journal of Risk, Vol. 5(2), Winter 2002, pg. 45-71.

[26.] “Variable Annuities vs. Mutual Funds: A Monte Carlo Analysis of the Options”, (M. A. Milevsky and K. Panyagometh), updated final version in Financial Services Review, Vol. 10, 2002, pg. 145-162.

[25.] “Asset Allocation in Variable Annuities: A Note”, (M. A. Milevsky and N. Charupat), Insurance: Mathematics and Economics, Vol. 30(2), April 2002, pg. 199-210.

[24.] “Mortality Derivatives and the Option to Annuitize”, (M. A. Milevsky and D.S. Promislow), updated final version in Insurance: Mathematics and Economics, Vol. 29 (3), December 2001, pg. 299-318.

[23.] “The Real Option to Lapse a Variable Annuity: Can Surrender Charges Complete the Market?”, (M. A. Milevsky and T. S. Salisbury), Proceedings of the 11th Annual Actuarial Approach for Financial Risks International Colloquium, Vol. 2, pg. 200, 2001.

[22.] “Mortality Swaps and Tax Arbitrage in the Canadian Insurance Market”, (M. A. Milevsky and N. Charupat), Journal of Risk and Insurance, Vol. 68(2), June 2001, pg. 124-147.

[21.] “The Titanic Option: Valuation of Guaranteed Minimum Death Benefits in Variable Annuities and Mutual Funds”, (M. A. Milevsky and S. Posner), Journal of Risk and Insurance, Vol. 68(1), March 2001, pg. 55-79.

[20.] "Spending Your Retirement in Monte Carlo", (M. A. Milevsky), Journal of Retirement Planning, January/February, 2001, pg. 21-29.

[19.] “Optimal Annuitization Policies: Analysis of the Options”, (M. A. Milevsky), North American Actuarial Journal, Vol. 5(1), January 2001, pg. 57-69.

[18.] “Self-Annuitization and Ruin in Retirement”, (M. A. Milevsky and C. Robinson), North American Actuarial Journal, Vol. 4(4), October 2000, pg. 112-129.

[17.] “International Equity Diversification and Shortfall Risk”, (M. A. Milevsky, K. Ho and C. Robinson), Financial Services Review, Vol. 8, 1999, pg. 11-25.

[16.] “Martingales, Scale Functions and Stochastic Life Annuities: A Note”, (M. A. Milevsky), Insurance: Mathematics and Economics, Vol. 24(1-2), March 1999, pg. 149-154.

[15.] “Time Diversification, Safety-First and Risk”, (M. A. Milevsky), Review of Quantitative Finance and Accounting, Vol. 12(3), May 1999, pg. 271-281.

[14.] “Hedging and Pricing with Tax Law Uncertainty: Managing Under an Arkansas Best Doctrine”, (M. A. Milevsky and E. Prisman), updated final version in The Quarterly Review of Economics and Finance, Vol. 39(1), Spring 1999, pg. 149-170.

[13.] “Asian Options, The Sum of Lognormals and the Reciprocal Gamma Distribution”, (M. A. Milevsky and S. Posner), Journal of Financial and Quantitative Analysis, Vol. 33(3), September 1998, pg. 409-422. Extended version was published in the book Quantitative Analysis in Financial Markets: Collected Papers of the NYU Mathematical Finance Seminar, edited by M. Avellaneda, World Scientific Publishing, 1999.

[12.] “Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize?”, (M. A. Milevsky), Journal of Risk and Insurance, Vol. 65(3), September 1998, pg. 401-426.

[11.] “A Closed-Form Approximation for Valuing Basket Options”, (M. A. Milevsky and S. Posner), The Journal of Derivatives, Vol. 5(4), Summer 1998, pg. 54-61.

[10.] “Valuing Exotic Options by Approximating the SPD with Higher Moments” (M. A. Milevsky and S. Posner), updated final version in The Journal of Financial Engineering, Vol. 7(2), June 1998, pg. 109-125.

[9.] “A Theoretical Investigation of Randomized Asset Allocation Strategies”, (M. A. Milevsky and S. Posner), 1998, Applied Mathematical Finance, Vol. 5(2), June 1998, pg. 117-130.

[8.] “The Optimal Choice of Indexed Linked GICs: Some Canadian Evidence”, (M. A. Milevsky and S. Kim), Financial Services Review, Vol. 6(4), 1997, pg. 271-284.

[7.] “The Present Value of a Stochastic Perpetuity and the Gamma Distribution”, (M. A. Milevsky), Insurance: Mathematics and Economics, Vol. 20(3), October 1997, pg. 243-250.

[6.] “Asset Allocation via the Conditional First Exit Time or How To Avoid Outliving your Money” (M. A. Milevsky, K. Ho and C. Robinson), Review of Quantitative Finance and Accounting, Vol. 9(1), July 1997, pg. 53-70.

[5.] “Optional Taxes” (M. A. Milevsky and E. Prisman), RISK Magazine, Vol. 10(9), September 1997, pg. 133-137.

[4.] “Tax Effects in Canadian Equity Option Markets”, (M. A. Milevsky and E. Prisman), Multinational Finance Journal, Vol. 1(2), June 1997, pg. 101-122.

[3.] “Risk-Adjusted Retirement” (M. A. Milevsky, K. Ho and C. Robinson), Canadian Investment Review, Vol. 9(1), Spring 1996, pg. 19-27.

[2.] “How to Avoid Outliving Your Money” (M. A. Milevsky, K. Ho and C. Robinson), Canadian Investment Review , Vol. 7(3), Fall 1994, pg. 35-38.

[1.] “Asset Allocation, Life Expectancy and Shortfall” (M. A. Milevsky, K. Ho and C. Robinson), Financial Services Review, Vol. 3(2), 1994, pg. 109-126.

Note: A number of the research papers noted on this page are *draft* or pre-publication versions. If you are interested in the final published paper, please contact the listed journal directly or the IFID Centre office for more information about the journal in which the final article appeared. Also, some of the above-noted studies utiilized data available (exclusively) from CANNEX Financial Exchanges. If you are interested in acquiring (or borrowing) this data, please contact CANNEX directly at www.cannex.com.