Welcome to the new Schulich Peer-Reviewed Publication Database!
The database is currently in beta-testing and will be updated with more features as time goes on. In the meantime, stakeholders are free to explore our faculty’s numerous works. The left-hand panel affords the ability to search by the following:
- Faculty Member’s Name;
- Area of Expertise;
- Whether the Publication is Open-Access (free for public download);
- Journal Name; and
- Date Range.
At present, the database covers publications from 2012 to 2020, but will extend further back in the future. In addition to listing publications, the database includes two types of impact metrics: Altmetrics and Plum. The database will be updated annually with most recent publications from our faculty.
If you have any questions or input, please don’t hesitate to get in touch.
M.A. Milevsky and T.S. Salisbury (2022). "Refundable Income Annuities: Feasibility of Money-Back Guarantees", Journal Insurance: Mathematics and Economics.
Abstract[Refundable income annuities (IA), such as cash-refund and instalment-refund, differ in material ways from the life-only version beloved by pension and financial economists. In addition to lifetime income they also guarantee the annuitant or beneficiary will receive their money back albeit slowly over time. We document that refundable IAs now represent the majority of sales in the U.S., yet they are mostly ignored by the literature. And, although their pricing, duration, and money's-worth-ratio is complicated by internal recursivity -- which is carefully explained in the paper -- we offer a path forward to make refundable IAs tractable. A key -- and perhaps even the primary and quotable -- result concerns the market price of cash-refund IAs, when the actuarial present value is grossed-up by an insurance loading. We prove that price is counterintuitively no longer a declining function of age and older buyers might pay more than younger ones for this type of pension annuity. Moreover, there exists a threshold valuation rate below which no market price is viable. The product can't exist. This may also explain why inflation-adjusted IAs have all but disappeared.
Milevsky, M. (2020). "Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling", Journal of Pension Finance and Economics , 19(2), 217-246.
AbstractWho values life annuities more? Is it the healthy retiree who expects to live long and might become a centenarian, or is the unhealthy retiree with a short life expectancy more likely to appreciate the pooling of longevity risk? What if the unhealthy retiree is pooled with someone who is much healthier and forced to pay an implicit loading? To answer these and related questions this paper examines the empirical conditions under which retirees benefit (or may not) from longevity risk pooling by linking the economics of annuity equivalent wealth to actuarially models of aging. I focus attention on the Compensation Law of Mortality which implies that individuals with higher relative mortality (e.g., lower income) age more slowly and experience greater longevity uncertainty. Ergo, they place higher utility value on the annuity. The impetus for this research today is the increasing evidence on the growing disparity in longevity expectations between rich and poor.
Milevsky, M. and Salisbury, T. (2015). "Optimal Retirement Income Tontines", Insurance: Mathematics and Economics, 64, 91-105.
AbstractTontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. While this design appealed to the gambling instinct, it is a suboptimal way to generate retirement income. Indeed, actuarially-fair life annuities making constant payments–where the insurance company is exposed to longevity risk–induce greater lifetime utility. However, tontines do not have to be structured the historical way, i.e. with a constant cash flow shared amongst a shrinking group of survivors. Moreover, insurance companies do not sell actuarially-fair life annuities, in part due to aggregate longevity risk.
Milevsky, M. (2014). "Portfolio Choice and Longevity Risk in the Late 17th Century: A Re-Examination of the First English Tontine", Financial History Review, 21(3), 225-258.