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About Moshe Arye Milevsky
My current research interests revolve around the intersection of financial engineering, actuarial science, insurance contingent-claims and wealth management. In particular I have focused on the application of continuous-time stochastic models to optimal portfolio choice, retirement planning, pension annuities, asset allocation and risk management decisions over the human lifecycle.
Honours
2017 Ranked among the top 10% of Authors on Social Science Research Network
2017 Winner of the Kulp-Wright Book Award from American Risk and Insurance Association for: King William’s Tontine: Why the Retirement Annuity of the Future Should Resemble its Past
2015 Named by Investment Advisor magazine as one of the 35 most influential people in the U.S. financial advisory business during the last 35 years
2013 Schulich Research Fellowship, Teaching Reprieve to research and work on book manuscript, partially at National Archives in London
2009 Named by Investment Advisor magazine as one of the 25 most influential people in the U.S. financial advisory business.
2008 “Financial Industry Innovator” Award given by Jefferson National Insurance Co.
2008 Lifetime Achievement in Applied Retirement Research Award from RIIA (Retirement Income Industry Association). Previous winners include Zvi Bodie (2007), Larry Kotlikoff (2009), Olivia Mitchell (2010), Richard Thaler (2011) and James Poterba (2012).
2007 Kenneth Black Jr. Award for Best paper in Journal of Financial Services Professionals
2006 Graham and Dodd Scroll award from the Financial Analysts Journal, 2006 for the paper “Human Capital, Asset Allocation and Life Insurance” (joint with P. Chen, R. Ibbotson and X. Zhu)
2003-2004 Schulich Research Scholar
2003 National Magazine Awards Foundation, Gold Award for best article in Personal Finance and Business (National Post Magazine).
2003 National Magazine Awards Foundation, Honorable Mention for article in General Business (National Post Magazine)
2000 Recipient of the best paper award at the Canadian Institute of Actuaries - Society of Actuaries Symposium on Variable Annuities and Segregated Mutual Fund Guarantees, (with S. Posner)
Recent Publications
Refereed Scholarly Publications:
“Retirement Spending and Biological Age” (with H. Huang and T.S. Salisbury), Journal of Economic Dynamics and Control, 2017, Vol. 84, pg. 58-76.
“Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting” (with H. Huang and V. Young); Review of Finance, 2017, Vol. 21(1), pg. 327-361.
“Equitable Retirement Income Tontines: Mixing Cohorts without Discriminating” (with T.S. Salisbury), ASTIN Bulletin: The Journal of the International Actuarial Association, 2016, Vol. 46(3), pg. 571-604.
“Longevity Risk and Retirement Income Tax Efficiency: A Location Spending Rate Puzzle”. (with H. Huang), Insurance: Mathematics and Economics, 2016, Vol. 71, pg. 50-62.
“The Sluggish And Asymmetric Reaction Of Life Annuity Prices To Changes In Interest Rates” (with N. Charupat and M. Kamstra), Journal of Risk and Insurance, 2016, Vol. 83(3), pg. 519-555.
“Optimal Retirement Income Tontines” (with T.S. Salisbury), Insurance: Mathematics and Economics, 2015, September, Vol. 64(1), pg. 91-105.
“A Glide Path for Target Date Annuitization” (with H. Huang and V. Young), Journal of Retirement, 2015, Vol. 3(1), pg. 27-37
“Rethinking RRIF Withdrawals: New Rates for New Realities, Canadian Tax Journal, 2014, Vol. 62(4), pg. 971-983
“Mortality Plateaus and Longevity Insurance, Journal of Retirement, 2014, Vol. 2(2), pg. 99-107. Slightly modified version reprinted in Pension & Longevity Risk Transfer for Institutional Investors, Vol. 2, Fall 2014, pg. 61-69.
“Portfolio Choice and Longevity Risk in the Late 17th Century: A Re-examination of the First English Tontine,” Finance History Review, 2014, Vol. 21(3), pg. 225-258.
“Optimal Initiation of a GLWB in a variable annuity: No Arbitrage approach” (with H. Huang and T.S. Salisbury), Insurance: Mathematics and Economics, 2014, Vol. 56(2), pg. 102-111
“Can Collars Reduce Retirement Sequencing Risk? Analysis of Portfolio Longevity Extension Overlays (LEO)” (with S. Posner), Journal of Retirement, 2014, Vol. 1(4), pg. 46-56
“Valuation and Hedging of the Ruin-Contingent Life Annuity” (with H. Huang and T. Salisbury), Journal of Risk and Insurance, 2014, Vol. 81(2), pg. 367-395
“Optimal Retirement Consumption with a Stochastic Force of Mortality” (with H. Huang and T. Salisbury), Insurance: Mathematics and Economics, September 2012, Vol. 51(2), pg. 282-292.
“Lifetime Ruin Minimization: Should Retirees Hedge Inflation or Just Worry About It?” (with H. Huang), Journal of Pension Economics and Finance, (lead article), July 2011, Vol. 10(4), pg. 363-388.
“Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates” (with H. Huang), Financial Analyst Journal, March/April 2011, Vol. 67(2), pg. 45-58. Reprinted in the Journal of the American Association of Individual Investors, September 2011, as well as Risk Management Magazine in December 2011.
“Do Markets Like Frozen DB Pension Plans? An Event Study” (with K. Song), Journal of Risk and Insurance, December 2010, Vol. 77(4), pg. 893-909
Published Scholarly Books:
The Day the King Defaulted: Financial Lessons from the Stop of the Exchequer in 1672,
Palgrave-Springer, September 2017, 250 pages.King William’s Tontine: Why the Retirement Annuity of the Future Should Resemble Its Past, Cambridge University Press, May 2015, 257 pages.
Life Annuities: An Optimal Product for Retirement, CFA Institute, June 2013, 120 pages. Charlottesville, Virginia.
Strategic Financial Planning over the Lifecycle: A Conceptual Approach to Personal Risk Management (N. Charupat, H. Huang and M.A. Milevsky), Cambridge University Press, June 2012, 367 pages.
Published Popular Books:
The Seven Most Important Equations for Your Retirement … The Fascinating People and Ideas Behind Planning Your Retirement Income, John Wiley & Sons, Canada, April 2012, 250 pages.
Pensionize™ Your Nest Egg: How to Use Product Allocation to Create a Guaranteed Income for Life (M.A. Milevsky A. Macqueen), John Wiley & Sons, Canada, October 2010, 210 pages. 2nd Revised U.S. & International edition, published April 2015, 234 pages.
Your Money Milestones: A Guide to Making the 9 Most Important Financial Decisions in Your Life, FT/Pearson Press, January 2010, Saddle River, New Jersey, 224 pages. Translated and Published in Portuguese, March 2010.
Are You a Stock or a Bond? Create Your Own Pension for a Secure Financial Future, FT/Pearson Press, 1st Edition published in August 2008, Saddle River, New Jersey, 240 pages. 2nd Edition published in October 2012. Translated and published in Mandarin, Summer 2015.
Selected Chapters in Published Books:
“The Tontine of the Future: Lessons from the Past”, to appear in History of Insurance Law, edited by Philip Hellwege, Fall 2017
“The Two Worlds of Personal Finance: Discussion” by Laurence Kotlikoff and Moshe A. Milevsky, published CFA Research Foundation Publications, Life-Cycle Investing: Financial Education and Consumer Protection, page. 97–106, December 2012.
“Annuities and their Derivatives: The Recent Canadian Experience” (M.A. Milevsky and L. Shao), published as Chapter 4 in Securing Lifelong Retirement Income: Global Annuity Markets and Policy, edited by Olivia S. Mitchel, John Piggot and Noriyuka Takayama, Oxford University Press, New York 2011.
Courses Taught
FINE6860
FINE6800
FINE4050
FINE6050
FINE7050
Grants
Project Title Role Award Amount Year Awarded Granting Agency Project TitleAre Tontine Annuities Feasible in the 21st Century? RolePrincipal Investigator Award Amount$18,000.00 Year Awarded2016-2017 Granting AgencySociety of Actuaries Project Title Role Award Amount$ Year Awarded2012-2013 Granting AgencyNETSPAR Project TitleLife Annuities- From Valuation to Allocation RolePrincipal Investigator Award Amount$30,000.00 Year Awarded2012-2013 Granting AgencyCFA Research Institute - Research Grant Project TitleActuarial finance and risk management for pensions RolePrincipal Investigator Award Amount$50,626.00 Year Awarded2003-2006 Granting AgencySocial Sciences and Humanities Research Council - Standard Research Grant Project TitleFinancial analysis of the Canadian annuity market RolePrincipal Investigator Award Amount$34,000.00 Year Awarded2000-2003 Granting AgencySocial Sciences and Humanities Research Council - Standard Research Grant Project Title RoleCo-Investigator Award Amount$ Year Awarded1999-2003 Granting AgencyMITACS Project TitleTax-adjusted valuation of the real option to annuitize wealth at retirement RolePrincipal Investigator Award Amount$19,170.00 Year Awarded1997-2000 Granting AgencySocial Sciences and Humanities Research Council - Standard Research Grant
Moshe Arye Milevsky
Professor of Finance
MA & PhD (York)BA (Yeshiva)