| Publication | Date of Publication | Type |
|---|
Egalitarian pooling and sharing of longevity risk a.k.a. \textit{can an administrator help skin the tontine cat?}
Insurance Mathematics & Economics | 2025-01-17 | Paper |
Refundable income annuities: feasibility of money-back guarantees
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
Insurance Mathematics & Economics | 2020-08-03 | Paper |
The utility value of longevity risk pooling: analytic insights
North American Actuarial Journal | 2019-05-07 | Paper |
Optimal purchasing of deferred income annuities when payout yields are mean-reverting
Review of Finance | 2018-11-20 | Paper |
Retirement spending and biological age
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Equitable retirement income tontines: mixing cohorts without discriminating
ASTIN Bulletin | 2018-06-04 | Paper |
Longevity risk and retirement income tax efficiency: a location spending rate puzzle
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Optimal retirement income tontines
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Optimal retirement consumption with a stochastic force of mortality
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Real longevity insurance with a deductible: introduction to advanced-life delayed annuities (ALDA)
North American Actuarial Journal | 2011-07-02 | Paper |
Ruined moments in your life: how good are the approximations?
Insurance Mathematics & Economics | 2010-06-20 | Paper |
Erratum to: ``Annuitization and asset allocation'': [Journal of Economic Dynamics \& Control 31 (9) (2007) 3138-3177]
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Annuitization and asset allocation
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
Mathematical Finance | 2007-02-22 | Paper |
The timing of annuitization: Investment dominance and mortality risk
Insurance Mathematics & Economics | 2007-02-19 | Paper |
Financial valuation of guaranteed minimum withdrawal benefits
Insurance Mathematics & Economics | 2006-10-05 | Paper |
| The Calculus of Retirement Income | 2006-07-10 | Paper |
Self-Annuitization and Ruin in Retirement
North American Actuarial Journal | 2006-01-13 | Paper |
Optimal Annuitization Policies
North American Actuarial Journal | 2006-01-13 | Paper |
Waiting for returns: using space–time duality to calibrate financial diffusions
Quantitative Finance | 2005-12-09 | Paper |
A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
Mortality derivatives and the option to annuitise.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Optimal asset allocation in life annuities: a note.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
A theoretical investigation of randomized asset allocation strategies
Applied Mathematical Finance | 2002-09-04 | Paper |
Martingales, scale functions and stochastic life annuities: A note
Insurance Mathematics & Economics | 2000-01-31 | Paper |
The present value of a stochastic perpetuity and the gamma distribution
Insurance Mathematics & Economics | 1999-01-05 | Paper |
