Huang Huaxiong

York University

4700 Keele Street

Toronto, Ontario M3J 1P3

Canada

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 7,803

SSRN RANKINGS

Top 7,803

in Total Papers Downloads

4,815

CITATIONS
Rank 25,522

SSRN RANKINGS

Top 25,522

in Total Papers Citations

10

Scholarly Papers (17)

1.

Optimal Initiation of a GLWB in a Variable Annuity: No Arbitrage Approach

Number of pages: 23 Posted: 26 Feb 2013
Moshe A. Milevsky, Huang Huaxiong and T. S. Salisbury
York University - Schulich School of Business, York University and York University
Downloads 738 (15,820)

Abstract:

Insurance, Retirement, Options, Longevity, Optimization

2.
Downloads 414 ( 57,291)
Citation 6

Portfolio Choice and Life Insurance: The CRRA Case

Number of pages: 31 Posted: 03 Mar 2006
Moshe A. Milevsky, Huang Huaxiong and Jin Wang
York University - Schulich School of Business, York University and York University - Schulich School of Business
Downloads 414 (57,051)
Citation 6

Abstract:

Asset Allocation, Retirement Planning, Life Cycle, Portfolio Choice

3.

Longevity Risk and Retirement Income Tax Efficiency: A Location Spending Rate Puzzle

Number of pages: 34 Posted: 19 Nov 2011 Last Revised: 19 May 2017
Huang Huaxiong and Moshe A. Milevsky
York University and York University - Schulich School of Business
Downloads 409 (40,217)
Citation 1

Abstract:

Personal Finance, Portfolio Choice, Investment Decisions, Optimization Techniques

4.

Yaari's Lifecycle Model in the 21st Century: Consumption Under a Stochastic Force of Mortality

Number of pages: 26 Posted: 22 Apr 2011
Moshe A. Milevsky, Huang Huaxiong and T. S. Salisbury
York University - Schulich School of Business, York University and York University
Downloads 260 (82,160)

Abstract:

Personal Finance, Portfolio Choice, Optimization Techniques

5.

Ruined Moments in Your Life: How Good are the Approximations?

Number of pages: 42 Posted: 07 Feb 2004
Jin Wang, Huang Huaxiong and Moshe A. Milevsky
York University - Schulich School of Business, York University and York University - Schulich School of Business
Downloads 254 (84,097)
Citation 3

Abstract:

Annuity, Income, Retirement, Stochastic Present Value

6.

Complete Market Valuation of the Ruin-Contingent Life Annuity (RCLA)

Number of pages: 35 Posted: 31 Jan 2009
Huang Huaxiong, Moshe A. Milevsky and T. S. Salisbury
York University, York University - Schulich School of Business and York University
Downloads 229 (101,294)

Abstract:

7.

Lifetime Ruin Minimization: Should Retirees Hedge Inflation or Just Worry About it?

Number of pages: 41 Posted: 07 May 2011
Huang Huaxiong and Moshe A. Milevsky
York University and York University - Schulich School of Business
Downloads 214 (95,687)

Abstract:

Personal Finance, Portfolio Choice, Investment Decisions, Optimization Techniques

8.

Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting

Number of pages: 37 Posted: 20 Mar 2015
Huang Huaxiong, Moshe A. Milevsky and V.R. Young
York University, York University - Schulich School of Business and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 199 (60,675)

Abstract:

deferred income annuities, stochastic interest rates, optimal stopping, instantaneous control, retirement, pensions

9.

Will Jumps Ruin Your Retirement? A Moment Matching Perspective

Number of pages: 31 Posted: 07 May 2011
Mirela Cara, Huang Huaxiong and Moshe A. Milevsky
York University - Department of Mathematics & Statistics, York University and York University - Schulich School of Business
Downloads 139 (148,007)

Abstract:

Personal Finance, Portfolio Choice, Investment Decisions, Optimization Techniques

10.

Portfolio Choice and Mortality-Contingent Claims: The General HARA Case

Journal of Banking and Finance, Vol. 32, No. 11, 2008
Number of pages: 24 Posted: 31 Jan 2009
Huang Huaxiong and Moshe A. Milevsky
York University and York University - Schulich School of Business
Downloads 128 (163,026)

Abstract:

Insurance, Annuities, Finite difference method, Hamilton-Jacobi-Bellman

11.

An Analytical VaR Approach for Credit Portfolio with Liquidity Horizon and Portfolio Rebalancing

Number of pages: 40 Posted: 22 May 2014 Last Revised: 24 May 2014
Haohan Huang, Eugene Wang, Huang Huaxiong and Yong Wang
York University, RBC Financial Group, York University and RBC Financial Group
Downloads 68 (192,188)

Abstract:

IRC, IDR, Liquidity Horizon, Credit Portfolio Rebalancing, Analytic VaR, Granularity Adjustment

12.

Do House Price Spillover Across Main Cities of Canada and China? - Evidence from Causality Analysis

Number of pages: 14 Posted: 27 Apr 2017
Xin Ye, Qiaoying Shan and Huang Huaxiong
Tongji University, Munich Reinsurance Company of Canada and York University
Downloads 0 (291,656)

Abstract:

House price, Spillover effect, Co-integration, Error Correction model, Granger causality

13.

Approximate Solutions to Retirement Spending Problems and the Optimality of Ruin

Number of pages: 17 Posted: 31 Mar 2017 Last Revised: 10 Apr 2017
Faisal Habib, Huang Huaxiong and Moshe A. Milevsky
York University - Schulich School of Business, York University and York University - Schulich School of Business
Downloads 0 (239,292)

Abstract:

Dynamic Programming; Stochastic Control; HJB; Consumption; Retirement; Pension; Withdrawal Rate; Spending Rate; Portfolio Choice; Decumulation; Withdrawal Strategy; Wealth Depletion Time

14.

Retirement Spending and Biological Age

Number of pages: 34 Posted: 16 Feb 2017
Huang Huaxiong, Moshe A. Milevsky and T. S. Salisbury
York University, York University - Schulich School of Business and York University
Downloads 0 (31,642)

Abstract:

Wealth Management, Retirement Planning, Insurance, Annuities, Pensions, Longevity, Aging and Demographics

15.

Application of the Convolution Operator for Scenario Integration with Loss Data in Operational Risk Modeling

Journal of Operational Risk, Vol. 10, No. 4, 2015
Number of pages: 22 Posted: 02 Jul 2016
Pavan Aroda, Aziz Guergachi and Huang Huaxiong
Office of the Superintendent of Financial Institutions (OSFI), Ryerson University and York University
Downloads 0 (566,018)
  • Add to Cart

Abstract:

operational risk, advanced measurement approach, Basel II, scenario analysis, convolution

16.

An Analytical Value-at-Risk Approach for a Credit Portfolio with Liquidity Horizon and Portfolio Rebalancing

Journal of Credit Risk, Vol. 11, No. 4, 2015
Number of pages: 28 Posted: 16 Jun 2016
Haohan Huang, Eugene Wang, Huang Huaxiong and Yong Wang
York University, RBC Financial Group, York University and Everbright Securities Company Limited
Downloads 0 (566,018)
  • Add to Cart

Abstract:

analytical value-at-risk, granularity adjustment, incremental risk charge, portfolio rebalancing, liquidity horizon

17.

Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates

Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 12 Apr 2011
Moshe A. Milevsky and Huang Huaxiong
York University - Schulich School of Business and York University

Abstract:

Private Wealth Management: Investment Vehicles and Asset Class Exposures, Influence of Risk and Taxes in Retirement Products, Risk Management, Longevity Risk