The calculus of retirement income : financial models for pension annuities and life insurance / Moshe A. Milevsky.

Format:

Book

Author/Creator:

Milevsky, Moshe Arye, 1967- author.

Language:

English

Subjects (All):

Old age pensions--Mathematical models.

Old age pensions.

Annuities--Mathematical models.

Annuities.

Retirement income--Mathematical models.

Retirement income.

Physical Description:

1 online resource (xiv, 321 pages) : digital, PDF file(s).

Place of Publication:

Cambridge : Cambridge University Press, 2006.

Language Note:

English

Summary:

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.

Contents:

Cover; Half-title; Title; Copyright; Contents; Figures and Tables; one Introduction and Motivation; two Modeling the Human Life Cycle; three Models of Human Mortality; four Valuation Models of Deterministic Interest; five Models of Risky Financial Investments; six Models of Pension Life Annuities; seven Models of Life Insurance; eight Models of DB vs. DC Pensions; nine Sustainable Spending at Retirement; ten Longevity Insurance Revisited; eleven Options within Variable Annuities; twelve The Utility of Annuitization; thirteen Final Words; fourteen Appendix; Bibliography; Index

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Includes bibliographical references (p. 301-307) and index.

ISBN:

1-107-71376-5

1-280-45870-4

0-511-19134-0

0-511-19060-3

0-511-19179-0

0-511-31603-8

0-511-75385-3

0-511-19092-1

OCLC:

171138622