Publications Database

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.


Search Results

Milevsky, M. (2020). "Calibrating Gompertz in Reverse: What is Your Longevity-Risk-Adjusted Global Age?", Insurance: Mathematics and Economics, 92, 147-161.

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Abstract This paper develops a computational framework for inverting Gompertz–Makeham mortality hazard rates, consistent with compensation laws of mortality for heterogeneous populations, to define a longevity-risk-adjusted global (L-RaG) age. To illustrate its salience and possible applications, the paper calibrates and presents L-RaG values using country data from the Human Mortality Database (HMD). Among other things, the author demonstrates that when properly benchmarked, the longevity-risk-adjusted global age of a 55-year-old Swedish male is 48, whereas a 55-year-old Russian male is closer in age to 67. The paper also discusses the connection between the proposed L-RaG age and the related concept of Biological age, from the medical and gerontology literature. Practically speaking, in a world of growing mortality heterogeneity, the L-RaG age could be used for pension and retirement policy. In the language of behavioral finance and economics, a salient metric that adjusts chronological age for longevity risk might help capture the public’s attention, educate them about lifetime uncertainty and induce many of them to take action — such as working longer and/or retiring later.

Huang, H., Milevsky, M. and Salisbury, T. (2017). "Retirement Spending and Biological Age", Journal of Economic Dynamics and Control, 84, 58-76.

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Abstract 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 remaining lifetime and future mortality rates. It isn’t farfetched to argue that in the not-too-distant future personal age will be more closely associated with biological vs. calendar age. Thus, after introducing our stochastic mortality model we derive optimal consumption rates in a classic (Yaari, 1965) framework adjusted to our proper clock time. In addition to the normative implications of having access to biological age, our positive objective is to partially explain the cross-sectional heterogeneity in retirement spending rates at any given chronological age. In sum, we argue that neither biological nor chronological age alone is a sufficient statistic for making economic decisions. Rather, both ages are required to behave rationally.

Huang, H. and Milevsky, M. (2016). "Longevity Risk and Retirement Income Tax Efficiency: A Location Spending Rate Puzzle", Insurance: Mathematics and Economics, 71, 50-62.

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Abstract In this paper we model and solve a retirement consumption problem with differentially taxed accounts, parameterized by longevity risk aversion. The work is motivated by some observations on how Canadians de-accumulate financial wealth during retirement — which seem rather puzzling. While the Modigliani lifecycle model can justify a variety of (pre-tax) de-accumulation or draw down rates depending on risk preferences, the existence of asymmetric taxes implies that certain financial accounts should be depleted faster than others. Our analysis of data from the Survey of Financial Security indicates that Canadian retirees maintain approximately two-thirds of their financial wealth in tax-sheltered accounts and a third in taxable accounts regardless of age. The ratio of taxable to tax-sheltered wealth increases slightly or remains relatively constant depending on household income which is not what one would expect from the lifecycle model. Indeed, using our model we cannot locate a plausible tax function that justifies a constant “account ratio” regardless of age. For example under flat rates taxable accounts should be depleted well before tax-sheltered accounts are ever touched. The account ratio should go to zero quite rapidly in the absence of government mandated withdrawals. We also demonstrate that under progressive income taxes withdrawals are made from both accounts but at different rates depending on account size, pension income and longevity risk preferences. Again, the “account ratio” should eventually decline. We postulate that this sort of behavior is likely due to irrational considerations linked to mental accounting, etc. It remains to be seen whether this will persist over time and under a more careful analysis of Canadian cohorts or if retirees in other countries exhibit the same behavior.

Milevsky, M. and Salisbury, T. (2016). "Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating", ASTIN Bulletin: The Journal of the International Actuarial Association, 46(3), 571-604.

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Abstract There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to reduce capital and reserve requirements while retaining the value of mortality credits; see for example, Piggott et al. (2005) or Donnelly et al. (2014). In this paper, we generalize the natural retirement income tontine introduced by Milevsky and Salisbury (2015) by combining heterogeneous cohorts into one pool. We engineer this scheme by allocating tontine shares at either a premium or a discount to par based on both the age of the investor and the amount they invest. For example, a 55-year old allocating $10,000 to the tontine might be told to pay $200 per share and receive 50 shares, while a 75-year old allocating $8,000 might pay $40 per share and receive 200 shares. They would all be mixed together into the same tontine pool and each tontine share would have equal income rights. The current paper addresses existence and uniqueness issues and discusses the conditions under which this scheme can be constructed equitably — which is distinct from fairly — even though it isn't optimal for any cohort. As such, this also gives us the opportunity to compare and contrast various pooling schemes that have been proposed in the literature and to differentiate between arrangements that are socially equitable, vs. actuarially fair vs. economically optimal.