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). "Calibrating Gompertz in Reverse: What is Your Longevity-Risk-Adjusted Global Age?", Insurance: Mathematics and Economics, 92, 147-161.
AbstractThis 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.
AbstractWe 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.
Crane, A., Graham, C. and Himick, D. (2015). "Financializing Stakeholder Claims", Journal of Management Studies, 52(7), 878–906.
AbstractThis paper examines the role of accounting in assigning financial values to stakeholder claims. Stakeholder theorists have called for metrics managers can use to coordinate stakeholder claims. We argue that accounting already serves as the dominant example of such a tool, and that its role in measuring and representing stakeholder claims, and how those representations are used by stakeholders and managers, is not well understood. We suggest that accounting financializes stakeholder claims along three inductivelydeveloped dimensions, namely time, security, and priority. We analyse the case of pension accounting at General Electric to theorize concerning how these dimensions shape stakeholder claims and are used by stakeholders and managers to trade-off claims, demarcate claimants into groups, and reconstruct claims during negotiations.
Graham, C. (2014). "The Calculation of Age", Organization Studies, 35(11), 1627-1653.
AbstractThis article explores the role of calculative technologies, such as taxation, accounting and actuarial practices, in constructing ‘age’ in contemporary society. It argues that retirement income programs built on these technologies attempt to construct specific relations not just between the individual and other generations, but between the individual and herself at other stages of life. Retracing the series of Canadian attempts to secure income for the elderly over the course of the 20th century, the paper shows how calculative technologies have been used to connect responsibility for the elderly to the political rationalities of the day. This genealogy allows us to recognize how the present Canadian retirement income system, with its public and private programs addressing different subsets of the population, is contingent on neoliberal rationalities of governance. These demand the alignment of the individual with the goals of the capital markets, and seek to achieve this through a distributed agency that encourages the investment of individual savings in retirement income products. The paper argues that this distributed agency is perpetually incomplete, and that uncertainty is necessary in order that the individual be constantly remade as an investor.
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.
AbstractTontines and life annuities both insure against longevity risk by guaranteeing (pension) income for life. The optimal choice between these two mortality-contingent claims depends on personal preferences for consumption and risk. And, while pure tontines are unavailable in the twenty-first century, the first longevity-contingent claim (and debt) issued by the English government in the late seventeenth century offered an option to select between the two. This paper analyzes financial and economic aspects of King William's 1693 tontine that have not received attention in the financial economic literature. In particular, I compare the stochastic present value (SPV) of the tontine vs. the life annuity and discuss characteristics of investors who selected one versus the other. Finally, I investigate whether the recorded 1693 tontine survival rates -- which are abnormally high relative to population mortality rates in the late 17th century -- should be attributed to anti-selection effects or perhaps to fraudulent behaviour. In sum, this paper is an empirical examination of annuitization decisions made by investors over three hundred years ago.
Graham, C. (2012). "The Subject of Retirement", Foucault Studies, No. 13 (May), 25-39.