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The Calculus of Retirement Income

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  • Milevsky,Moshe A.
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    Abstract

    This 2006 book introduces and develops the basic actuarial models and underlying pricing of life-contingent pension annuities and life insurance from a unique financial perspective. The ideas and techniques are then applied to the real-world problem of generating sustainable retirement income towards the end of the human life-cycle. The role of lifetime income, longevity insurance, and systematic withdrawal plans are investigated in a parsimonious framework. The underlying technology and terminology of the book are based on continuous-time financial economics by merging analytic laws of mortality with the dynamics of equity markets and interest rates. Nonetheless, the book requires a minimal background in mathematics and emphasizes applications and examples more than proofs and theorems. It can serve as an ideal textbook for an applied course on wealth management and retirement planning in addition to being a reference for quantitatively-inclined financial planners.

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    Bibliographic Info

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    This book is provided by Cambridge University Press in its series Cambridge Books with number 9780521842587 and published in 2006.

    Order: http://www.cambridge.org/uk/catalogue/catalogue.asp?isbn=9780521842587
    Handle: RePEc:cup:cbooks:9780521842587

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    Web page: http://www.cambridge.org

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    Cited by:
    1. Konstantin Petrichev & Susan Thorp, 2007. "The Private Value of Public Pensions," Research Paper Series 211, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
    3. Bojan Baškot, 2013. "Modelling Home Equity Conversion Loans With Life Insurance Models," Economic Annals, Faculty of Economics, University of Belgrade, vol. 58(199), pages 127-164, October -.
    4. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "Valuation and hedging of the ruin-contingent life annuity (RCLA)," Papers 1205.3686, arXiv.org.

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