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"The Calculus of Retirement Income" written
by Moshe A. Milevsky, The Executive Director of The IFID Centre
and published in 2006 by Cambridge University Press is
available for purchase through various
websites in
Canada,
U.S. and the
U.K.
This book introduces and develops the basic models that underlie the
pricing, valuation and use of pension annuities and life insurance.
The book is geared towards developing a set of tools that help the
reader “solve the problem” of generating a sustainable retirement
income that lasts a lifetime. The roles of pensions, longevity
insurance, and systematic withdrawal plans are investigated and
emphasized within a parsimonious framework.
The underlying terminology
of the book is based on the language of modern financial economics,
merging analytic laws of mortality with the risk and return 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.
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
More
Information*:
 Lecture
notes and
accompanying
spreadsheets
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Chapter 1: Drunken Gambler Solution
(M.A. Milevsky) 40 KB, May 2007
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“Lecture #1: Human Financial Life-Cycle”
(M.A. Milevsky) 189 KB, May 2006
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Lecture #1, Spreadsheet #1: "Saving Consumption
Exchange Rate”
(M.A. Milevsky) 18 KB, May 2006
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Lecture #1, Spreadsheet #2: "Simulation of DVLP”
(M.A. Milevsky) 32 KB, May 2006
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“Lecture #2: Models of Mortality" (M.A.
Milevsky) 177 KB, May 2006
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Lecture #2, Spreadsheet #1: "RP2000 Sample
Mortality Table”
(M.A. Milevsky) 31 KB, May 2006
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Lecture #2, Spreadsheet #2: "Working with
Hazard Rates” (M.A. Milevsky) 54 KB, May 2006
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Lecture #2, Spreadsheet #3: "General Lapse
Rates” (M.A. Milevsky) 22 KB, May 2006
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Lecture #2, Spreadsheet #4: "RP2000 Table v
Gompertz v Exponential Approximation”
(M.A. Milevsky) 31 KB, May 2006
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“Lecture #3: Basic Models of Interest" (M.A.
Milevsky) 167 KB, May 2006
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Lecture #3, Spreadsheet #1: "Duration and
Convexity"
(M.A. Milevsky) 65 KB, May 2006
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“Lecture #4: Models of Risky Investments" (M.A.
Milevsky) 187 KB, May 2006
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Lecture #4, Spreadsheet #1: "Stochastic
Return"
(M.A. Milevsky) 73 KB, May 2006
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Lecture #4, Spreadsheet #2: "Brownian
Motion"
(M.A. Milevsky) 408 KB, May 2006
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“Lecture #5: Models for Pension Annuities" (M.A.
Milevsky) 191 KB, June 2006
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Lecture #5, Spreadsheet #1: "Gompertz
Annuity Value"
(M.A. Milevsky) 73 KB, June 2006
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“Lecture #6: Models for Life Insurance" (M.A.
Milevsky) 158 KB, June 2006
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Lecture #6, Spreadsheet #1: "Model for
Book of Insurance Business"
(M.A. Milevsky) 25 KB, June 2006
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“Lecture #7: Models for D.B. vs. D.C." (M.A.
Milevsky) 165 KB, July 2006
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Lecture #7, Spreadsheet #1: "ABO vs. PBO
vs. RBO" (M.A. Milevsky) 53 KB, July 2006
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"Lecture #8: A Closer Look at Annuities,
Longevity Insurance and Sustainable Spending"
(M.A. Milevsky) 321 KB, July 2006
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Lecture #8, Spreadsheet #1: "The Implied
Longevity Yield (ILY) Algorithm" (M.A. Milevsky)
48 KB, July 2006
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Lecture #8, Spreadsheet #2: "ERG Ruin
Probability Formula" (M.A. Milevsky) 24 KB, July 2006
Related
Links
Errata
and corrections
-
"The Calculus of Retirement Income: Typos and
Omissions" 44 KB, July 17, 2006
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