| Moshe A. Milevsky is Associate Professor of Finance at the Schulich School of Buisness at York University and the Executive Director of the IFID Centre in Toronto, Canada. He was elected as a Fellow of the Fields Institute in 2002. Professor Milevsky is co-founding editor of the Journal of Pension Economics and Finance, published by Cambridge University Press, and has published more than thirty scholarly articles in addition to three books. His popular media writing received a National Magazine Award in Canada in 2004. He has lectured widely on the topic of retirement income planning, insurance and investments in North America, South America and Europe, and is a frequent guest on North American television and radio. |
| List of Figures and Tables Ⅰ MODELS OF ACTUARIAL FINANCE 1 Introduction and Motivation 1.1 The Drunk Gambler Problem 1.2 The Demographic Picture 1.3 The Ideal Audience 1.4 Learning Objectives 1.5 Acknowledgments 1.6 Appendix: Drunk Gambler Solution 2 Modeling the Human Life Cycle 2.1 The Next Sixty Years of Your Life 2.2 Future Value of Savings 2.3 Present Value of Consumption 2.4 Exchange Rate between Savings and Consumptio 2.5 A Neutral Replacement Rate 2.6 Discounted Value of a Life-Cycle Plan 2.7 Real vs. Nominal Planning with Inflation 2.8 Changing Investment Rates over Time 2.9 Further Reading 2.10 Problems 3 Models of Human Mortality 3.1 Mortality Tables and Rates 3.2 Conditional Probability of Survival 3.3 Remaining Lifetime Random Variable 3.4 Instantaneous Force of Mortality 3.5 The ODE Relationship 3.6 Moments in Your Life 3.7 Median vs. Expected Remaining Lifetime 3.8 Exponential Law of Mortality 3.9 Gompertz-Makeham Law of Mortality 3.10 Fitting Discrete Tables to Continuous Laws 3.11 General Hazard Rates 3.12 Modeling Joint Lifetimes 3.13 Period vs. Cohort Tables 3.14 Further Reading 3.15 Notation 3.16 Problems 3.17 Technical Note: Incomplete Gamma Function in Excel 3.18 Appendix: Normal Distribution and Calculus Refresher 4 Valuation Models of Deterministic Interest 4.l Continuously Compounded Interest Rates? 4.2 Discount Factors 4.3 How Accurate Is the Rule of 72? 4.4 Zero Bonds and Coupon Bonds 4.5 Arbitrage: Linking Value and Market Price 4.6 Term Structure of Interest Rates 4.7 Bonds: Nonflat Term Structure 4.8 Bonds: Nonconstant Coupons 4.9 Taylor's Approximation 4.10 Explicit Values for Duration and Convexity 4.11 Numerical Examples of Duration and Convexity 4.12 Another Look at Duration and Convexity 4.13 Further Reading 4.14 Notation 4.15 Problems 5 Models of Risky Financial Investments 5.1 Recent Stock Market History 5.2 Arithmetic Average Return versus Geometric AverageReturn 5.3 A Long-Term Model for Risk 5.4 Introducing Brownian Motion 5.5 Index Averages and Index Medians 5.6 The Probability of Regret 5.7 Focusing on the Rate of Change 5.8 How to Simulate a Diffusion Process 5.9 Asset Allocation and Portfolio Construction 5.10 Space-Time Diversification 5.11 Further Reading 5.12 Notation 5.13 Problems …… 6 Models of Pension Life Annuities 7 Models of Life Insurance 8 Models of DB vs.DC Pensions Ⅱ WEALTH MANAGEMENT:APPLICATIONS AND IMPLECATIONS 9 Sustainable Spending at Retirement 10 Longevity Insurance Revisited Ⅲ ADVANCED TOPICS 11 Options within Variable Annuities 12 The Utility of Ammuitization 13 Final Words 14 Appendix Bibliography Index |
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