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Optimal asset allocation and the real option to delay annuitization : It's not now-or-never

Milevsky, Moshe A. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001703496

The timing of annuitization: Investment dominance and mortality risk

Milevsky, Moshe A.; Young, Virginia R. - In: Insurance: Mathematics and Economics 40 (2007) 1, pp. 135-144

Persistent link: https://www.econbiz.de/10005375270

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Bayraktar, Erhan; Milevsky, Moshe A.; David Promislow, S.; … - In: Journal of Economic Dynamics and Control 33 (2009) 3, pp. 676-691

We develop a theory for valuing non-diversifiable mortality risk in an incomplete market by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities....

Persistent link: https://www.econbiz.de/10005199960

The timing of annuitization: Investment dominance and mortality risk

Milevsky, Moshe A.; Young, Virginia R. - In: Insurance / Mathematics & economics 40 (2007) 1, pp. 135-144

Persistent link: https://www.econbiz.de/10007391679

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Bayraktar, Erhan; Milevsky, Moshe A.; David Promislow, S.; … - In: Journal of economic dynamics & control 33 (2009) 3, pp. 676-691

Persistent link: https://www.econbiz.de/10008175470

ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN

Milevsky, Moshe A.; Moore, Kristen S.; Young, Virginia R. - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 647-672

Persistent link: https://www.econbiz.de/10008222415

Annuitization and asset allocation

Milevsky, Moshe A.; Young, Virginia R. - In: Journal of economic dynamics & control 31 (2007) 9, pp. 3138

Persistent link: https://www.econbiz.de/10007757971

Erratum to: “Annuitization and asset allocation”

Milevsky, Moshe A.; Young, Virginia R. - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3743

Persistent link: https://www.econbiz.de/10008110419

Erratum to: “Annuitization and asset allocation”

Milevsky, Moshe A.; Young, Virginia R. - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3743-3745

Persistent link: https://www.econbiz.de/10008879633

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Bayraktar, Erhan; Milevsky, Moshe A.; David Promislow, S.; … - In: Journal of economic dynamics & control 33 (2009) 3, pp. 676-692

Persistent link: https://www.econbiz.de/10008890118