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The Calculus of Retirement Income

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Please note that these are working papers and that more recent and updated versions might have been published since being posted on the website. If you would like to know if newer a version is available, please contact info@ifid.ca.

        

Portfolio Choice:

  • "Portfolio Choice and Mortality-Contingent Claims: The general HARA case"
    (H. Huang and M.A. Milevsky) 292KB, May 2008
    Updated final version in the Journal of Banking and Finance
  • "Portfolio Choice with Puts: Evidence from Variable Annuities"
    (M.A. Milevsky and V. Kyrychenko) 256KB, January 2008
    Updated final version in the Financial Analysts Journal

Pensions:

  • "Do Markets Like Frozen DB Pensions? An Event Study" (M.A. Milevsky and K. Song) 556KB, April 2008
  • "Variable Payout Annuities with Downside Protection: How to Replace the Lost Longevity Insurance in DC Plans" (M.A. Milevsky and A. Abaimova) 421KB, October 2005
  • "From Defined Benefit to Defined Contribution and Back: A Derivative Valuation of the Florida Pension Election" (M.A. Milevsky, S. D. Promislow) 499KB, October 2003
    Updated final version in the Journal of Risk and Insurance

Annuities:

  • "Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities" (E. Bayraktar, M.A. Milevsky, S.D. Promislow, V.R. Young) 220KB, March 2008
  • "A Different Perspective on Retirement Income Sustainability: Introducing the Ruin Contingent Life Annuity (RCLA)" (H. Huang, M.A. Milevsky, T.S. Salisbury) 160KB, September 2007
  • "Efficiency Dynamics of the Canadian SPIA Market" (M.A. Milevsky, F. Li) 112KB, Summer 2007
  • "Asset Allocation within Variable Annuities: The Impact of Guarantees" (V. Kyrychenko and M.A. Milevsky) 272KB, June 2007
    Forthcoming in "Managing Retirement Payouts", published by Oxford University Press
  • "Longevity Risk and Life Annuities" (M.A. Milevsky) 144KB, November 2006
     Updated final version to appear in the Encyclopedia of Quantitative Risk Assessment, published by John Wiley & Sons
  • "The Implied Longevity Yield. A Note on Developing an Index for Life Annuities" (M.A. Milevsky) 270KB, September 2004
    Updated final version in the Journal of Risk and Insurance
  • "Optimal Asset Allocation and Ruin-Minimization Annuitization Strategies" (M.A. Milevsky, K. Moore, V. Young) 339KB, May 2004
    Updated final version in Mathematical Finance
  • "Real Longevity Insurance with a Deductible: Introduction to Advanced- Life Delayed Annuities" (M.A. Milevsky) 72.6KB, February 2004
    Updated final version in the North American Actuarial Journal
  • "Exchanging Variable Annuities: An Optional Test for Suitability"
    (M.A. Milevsky, K. Panyagometh) 209KB, December 2003
    Updated final version in the Journal of Financial Planning
  • "Merging Asset Allocation and Longevity Insurance: An Optimal Perspective on Payout Annuities" (P. Chen, M.A. Milevsky) 140KB, June 2003
    Updated final version in the Journal of Financial Planning
  • "Optimal Annuity Purchasing" (M.A. Milevsky, V. Young) 217KB January 2003
    Updated in     "Annuitization and Asset Allocation" (see above)
  • "The Liquidity Premium for Illiquid Annuities"
    (M.A. Milevsky, S. Browne and T. Salisbury) 245KB, October 2002
    Updated final version in the Journal of Risk and Insurance
  • "Optimal Asset Allocation and The Real Option to Delay Annuitization: It's Not Now-or-Never" (M.A. Milevsky, V. Young) 390KB, April 2002
  • "Credit Implications of the Payout Annuity Market"
    (M.A. Milevsky, A. Fliegelman and S. Robinson) 245KB, April 2002
    Updated final version in Moody's Investor Services

Derivatives:

  • "Complete Market Valuation of the Ruin-Contingent Life Annuity (RCLA)" (H. Huang, M.A. Milevsky, T. Salisbury) 513KB, January 2009
     
  • "Static and Dynamic Valuation of Guaranteed Minimum Withdrawal Benefits" (M.A. Milevsky, T. Salisbury) 271.8KB, August 2004
    Updated final version in Insurance: Mathematics and Economics
  • "Stochastic Annuities Under Exponential Mortality" (M.A. Milevsky, J. Wang) 339KB, August 2004
  • "The Real Option to Lapse and the Valuation of Death-Protected Investments" (M.A. Milevsky, T. Salisbury) 390KB January 2002

Insurance:

  • "A Gentle Introduction to the Calculus of Retirement Income: What is Your Retirement RisQuotient?" Updated final version (M.A. Milevsky) 172KB, June 2007
  • "Lifetime Financial Advice: Human Capital, Asset Allocation, and Insurance" CFA Digest (R. Ibbotson, M.A. Milevsky, P. Chen and K. Zhu) May 2007, Vol. 37, No.2
  • "Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio" (M.A. Milevsky, S. D. Promislow, V. R. Young) 170KB, June 2006
    Updated final version in the Journal of Risk and Insurance
  • "Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio" (M.A. Milevsky, S.D. Promislow and V.R. Young) 255KB, November 2005
  • "Portfolio Choice and Life Insurance" (H. Huang, M.A. Milevsky and J. Wang) 254KB, September 2005
    Updated final version in the Journal of Risk and Insurance
  • "Human Capital, Asset Allocation, and Life Insurance" (P. Chen, R. Ibbotson, M.A. Milevsky, K. Zhu) 213.87KB, December 2004
    Updated final version in the Financial Analysts Journal
  • "Can Life Insurance be used to Hedge Payout Annuities? Part 1: Modeling Longevity Risk" (M.A. Milevsky and S.D. Promlislow) 49.1KB, Summer 2003
  • "The Term Structure of Mortality-Contingent Claims: Some Canadian Evidence" (M.A. Milevsky, J. Giang and S.D. Promislow) 332KB, August 2001
    Updated final version in the proceedings of the     IME Conference 2001

Retirement:

  • "Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates" (M.A. Milevsky and H. Huang) 661KB, March 2010
  • "Lifetime Ruin Minimization: Should Retirees Hedge Inflation or Just Worry About It?" (H. Huang and M.A. Milevsky) 500KB, January 2009
  • "A Gentle Introduction to the Calculus of Retirement Income: What is Your Retirement RisQuotient?" Updated version (M.A. Milevsky) 172KB, June 2007   Updated final version in the Journal of Financial Services Professionals
  • "Asset Allocation and the Transition to Income: The Importance of Product Allocation in the Retirement Risk Zone" (M.A. Milevsky and T.S. Salisbury) 495KB, October 2006
  • "What is a Sustainable Withdrawal Rate? A Simpler Answer (That Doesn't Require Simulation)" (M.A. Milevsky) 339KB, December 2004 ** For accompanying spreadsheet, click here.
    Updated final version entitled "A Sustainable Spending Rate without Simulation" with Chris Robinson in the Financial Analysts Journal
  • "How to Completely Avoid Outliving Your Money: An Introduction to Variable Payout Annuities for Retiring Canadians" (M.A. Milevsky) 217KB, October 2002

Debt and Mortgages:

  • "Canadians' Debt Diversification: Why These Eggs Belong in One Basket" (M.A. Milevsky and A. Abaimova) 106KB, October 2005
  • "Mortgage Financing: Floating Your Way to Prosperity"
    (    M.A. Milevsky) 205KB, March 2001

Other:

  • "Cleaning a Passive Index: How to Use Portfolio Optimization to Satisfy CSR Constraints" (M.A. Milevsky, A. Aziz, A. Goss, J. Thomson, D. Wheeler) 164KB, December 2004
    Updated final version in the     Journal of Portfolio Management
     
  • "Waiting for Returns: Using Space-Time Duality to Calibrate Financial Diffusions" (M. Kamstra, M.A. Milevsky) 270KB, September 2004
     
  • "Illiquid Asset Allocation and Policy Weights: How Far Can They Deviate?" (M.A. Milevsky) 251KB, July 2004
    Updated final version in the Journal of Wealth Management
     
  • "The Erosion Effects of Income Taxes and Inflation on GIC Investment Returns" (A. Mawani, M.A. Milevsky and J. Landzberg) 82KB, March 2004
    Updated final version in the Canadian Tax Journal
     
  • "Probabilistic Investing: or How to Win the Globe and Mail Stock Picking Contest (50% of the time)" (M.A. Milevsky and T. Salisbury) 104KB, February 2004
    Updated final version in the Financial Services Review
     
  • "A Diffusive Wander Over the Human Life Cycle: How Quantitative Finance is Transforming the Field of Personal Wealth Management"
    (M.A. Milevsky) 44KB, February 2004
    Updated final version in Quantitative Finance
     
  • "A New Perspective on Endowments" (M.A. Milevsky) 173KB March 2003
     
  • "Alpha, Beta Gamma: Hedge Funds for the Retail Investor" (D. Varadi) 332KB June 2001

For other papers by Moshe Milevsky, please visit www.yorku.ca/milevsky/papers.html