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
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.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.
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. (2015). "Optimal Retirement Income Tontines", Insurance: Mathematics and Economics, 64, 91-105.