Books & Writing
Moshe A. Milevsky has published 15 books and over 60 peer-reviewed scientific articles. Here are some noted and recent books which can be purchased directly from the publisher’s website or from Amazon.
Retirement Income Recipes in R
From Ruin Probabilities to Intelligent Drawdowns. Available for purchase from Springer.
King William's Tontine
Why the Retirement Annuity of the Future Should Resemble its Past. Available for purchase from Cambridge.
The 7 Most Important Equations for Your Retirement
The Fascinating People and Ideas Behind Planning Your Retirement Income. Available for purchase from Wiley.
Are You a Stock or a Bond?
Identify Your Own Human Capital for a Secure Financial Future, Updated and Revised. Available for purchase from FT/Pearson.
Pensionize Your Nest Egg
How to Use Product Allocation to Create a Guaranteed Income for Life. Second Edition. Available for purchase from Wiley.
Longevity Insurance for a Biological Age
Why Your Retirement Plan Shouldn’t Be Based on the Number of Times You Circled the Sun. Available for purchase from Amazon.
Here is a selection of recent technical articles published by Prof. Milevsky, written with a number of his research colleagues at the University. You can download a copy of the PDF for personal use from this website.
Retirement Spending and Biological Age
Authors: H. Huang, M.A. Milevsky and T.S. Salisbury
Published: Journal of Economic Dynamics and Control, 2017
We solve a lifecycle model in which the consumer’s chronological age does not move in lockstep with calendar time. Instead, biological age increases at a stochastic non-linear rate in time like a broken clock that might occasionally move backwards. In other words, biological age could actually decline. Our paper is inspired by the growing body of medical literature that has identified biomarkers which indicate how people age at different rates. This offers better estimates of expected…
Can Collars Reduce Retirement Sequencing Risk
Authors: M.A. Milevsky and M. Posner
Published: Journal of Retirement, 2014
Practitioners are well aware of the pernicious effect of the sequence of investment returns on retirement income sustainability. Poor markets early on during the drawdown phase will reduce the longevity of a portfolio, which is the expected number of years the money will last in retirement. In this paper we investigate how & when…
The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates
Authors: N. Charupat, M.J. Kamstra and M.A. Milevsky
Published: Journal of Risk and Insurance, 2016
Many assume that in the short run, annuity prices promptly and efficiently respond to changes in interest rates. Using a unique database of quotes, we show this is not the case. Prices are less sensitive to changes in rates than expected, and responses are asymmetric. Prices react more rapidly and with greater sensitivity to an increase than to a decrease in rates. The results are robust, but there is a small degree of heterogeneity in the responses of different insurance companies…
Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting
Authors: H. Huang, M.A. Milevsky and V.R. Young
Published: Review of Finance, 2017
We determine the optimal lifecycle purchasing strategy for deferred income annuities (DIAs)—which are distinct from single-premium income annuities (SPIAs)—for an individual who wishes to maximize the expected utility of his/her annuity income at a fixed time in the future. In contrast to the vast portfolio-choice literature for SPIAs, we focus on the stochasticity of the DIA’s payout yield…
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