Financial Models for Pension Annuities and Life Insurance

Moshe A. Milevsky

ISBN 13: 978-0521842587

321 páginas - CAPA DURA

This book introduces and develops - from a unique perspective - the basic actuarial models that underlie the pricing of -life-contigent pension annuities and life insurance. The ideas ant techniques are then applied to the real-world problem of generating sustainable retirement income toward the end of the human life cycle. The roles of lifetime income, longevity insurance, and systematic withdrawal plans are investigated within a parsimonious framwork. The underlying technology and terminology of the book are based on continuous-time financial economics, merging analytic laws of mortality with the dynamics of equity markets and interest rates.

Nonetheless, the text requires only a minimal background in mathematics, and it emphasizes examples and applications rather than theorems and proofs.

This book is an ideal textbook for an applied course on wealth management and retirement planning, and it can serve also as a reference for quantitatively inclined financial planners.

	A partir de 9/6/09

Reviews

'This very readable book is a landmark in the area of life insurance, pensions and long risk analysis. Integrating actuarial and financial approaches, the book provides an approach which is both theoretically elegant and practical in applications. It is highly recommended for both academics and those in industry.' Michael Orszag, Watson Wyatt

'Millions of baby boomers turning 60 have suddenly awakened to the need to protect their retirement futures. The Calculus of Retirement Income is a useful tool for those devising sensible financial plans and helping manage wealth in the face of capital market and mortality risk. Witty, serious, and entertaining at the same time, the volume will be an invaluable resource for actuarial and financial students, practitioners, and researchers interested in actuarial and financial strategies to avoid ruin.' Olivia S. Mitchell, The Wharton School

'This is a wonderful reference book for anyone interested in the quantitative modeling of pensions and retirement income. I plan to use it in the course in advanced topics in investing that I teach to MBAs at Boston University.' Zvi Bodie, Boston University

'Almost everyone needs to plan for retirement. But investment planners and actuaries can rarely share their expertise. Moshe Milevsky mathematically puts it altogether, while still making his book accessible to students and quantitatively oriented professionals. Wonderful as a text or reference book!' Roger Ibbotson, Chairman of Ibbotson Associates and Yale University

'… a book any serious financial advisor should read.' National Post (Toronto)

Contents:

• Preface
• Part I. Models of Actuarial Finance
  1. Introduction and motivation
  2. Modeling the human life-cycle
  3. Models of human mortality
  4. Valuation models of deterministic interest
  5. Models of risky financial investments
  6. Models of pension life annuities
  7. Models of life insurance
  8. Models of DB vs. DC pensions
   
• Part II. Wealth Management Applications and Implications
  9. Sustainable spending at retirement
  10. Longevity insurance revisited
   
• Part III. Advanced Topics
  11. Options within variable annuities
  12. The utility of annuitization
  13. Book conclusions

ON LINE

Lecture notes and accompanying spreadsheets

•  Chapter 1: Drunken Gambler Solution (M.A. Milevsky)  40 KB, May 2007
   
• “Lecture #1: Human Financial Life-Cycle” (M.A. Milevsky)  189 KB, May 2006
   
•  Lecture #1, Spreadsheet #1: "Saving Consumption Exchange Rate” (M.A. Milevsky)  18 KB, May 2006
   
•  Lecture #1, Spreadsheet #2: "Simulation of DVLP” (M.A. Milevsky)  32 KB, May 2006
   
• “Lecture #2: Models of Mortality" (M.A.  Milevsky)  177 KB, May 2006
   
•  Lecture #2, Spreadsheet #1: "RP2000 Sample Mortality Table” (M.A. Milevsky)  31 KB, May 2006
   
•  Lecture #2, Spreadsheet #2: "Working with Hazard Rates” (M.A. Milevsky)  54 KB, May 2006
   
•  Lecture #2, Spreadsheet #3: "General Lapse Rates” (M.A. Milevsky)  22 KB, May 2006
   
•  Lecture #2, Spreadsheet #4: "RP2000 Table v Gompertz v Exponential Approximation” (M.A. Milevsky)  31 KB, May 2006
   
• “Lecture #3: Basic Models of Interest" (M.A.  Milevsky)  167 KB, May 2006
   
•  Lecture #3, Spreadsheet #1: "Duration and Convexity" (M.A. Milevsky)  65 KB, May 2006
   
• “Lecture #4: Models of Risky Investments" (M.A.  Milevsky)  187 KB, May 2006
   
•  Lecture #4, Spreadsheet #1: "Stochastic Return" (M.A. Milevsky)  73 KB, May 2006
   
•  Lecture #4, Spreadsheet #2: "Brownian Motion" (M.A. Milevsky)  408 KB, May 2006
   
• “Lecture #5: Models for Pension Annuities" (M.A.  Milevsky)  191 KB, June 2006
   
•  Lecture #5, Spreadsheet #1: "Gompertz Annuity Value" (M.A. Milevsky)  73 KB, June 2006
   
• “Lecture #6: Models for Life Insurance" (M.A.  Milevsky)  158 KB, June 2006
   
•  Lecture #6, Spreadsheet #1: "Model for Book of Insurance Business" (M.A. Milevsky)  25 KB, June 2006
   
• “Lecture #7: Models for D.B. vs. D.C." (M.A.  Milevsky)  165 KB, July 2006

•  Lecture #7, Spreadsheet #1: "ABO vs. PBO vs. RBO" (M.A. Milevsky)  53 KB, July 2006
   
•  "Lecture #8: A Closer Look at Annuities, Longevity Insurance and Sustainable Spending" (M.A. Milevsky)  321 KB, July 2006
   
•  Lecture #8, Spreadsheet #1: "The Implied Longevity Yield (ILY) Algorithm" (M.A. Milevsky)  48 KB, July 2006
   
•  Lecture #8, Spreadsheet #2: "ERG Ruin Probability Formula" (M.A. Milevsky)  24 KB, July 2006

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