Optimal purchasing of deferred income annuities when payout yields are mean-reverting

H Huang, MA Milevsky, VR Young - Review of Finance, 2017 - academic.oup.com
We determine the optimal lifecycle purchasing strategy for deferred income annuities (DIAs)—
which are distinct from single-premium income annuities (SPIAs)—for an individual who …

The implied longevity curve: How long does the market think you are going to live?

MA Milevsky, TS Salisbury, A Chigodaev - arXiv preprint arXiv:1811.09932, 2018 - arxiv.org
We use life annuity prices to extract information about human longevity using a framework
that links the term structure of mortality and interest rates. We invert the model and perform …

Life Annuities: From Immediate to Deferred

MA Milevsky, MA Milevsky - Retirement Income Recipes in R: From Ruin …, 2020 - Springer
This chapter develops a methodology for valuing simple cash-flow streams that last a
lifetime, which are part of most Defined Benefit (DB) pensions. The focus is on the longevity …