Huang Huaxiong

York University

Professor

4700 Keele Street

Toronto, Ontario M3J 1P3

Canada

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 9,531

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3,804

CITATIONS
Rank 25,441

SSRN RANKINGS

Top 25,441

in Total Papers Citations

10

Scholarly Papers (15)

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 (16,839)

Abstract:

Insurance, Retirement, Options, Longevity, Optimization

2.

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

Number of pages: 34 Posted: 19 Nov 2011 Last Revised: 26 Apr 2016
Huang Huaxiong and Moshe A. Milevsky
York University and York University - Schulich School of Business
Downloads 409 (40,463)
Citation 1

Abstract:

Personal Finance, Portfolio Choice, Investment Decisions, Optimization Techniques

3.
Downloads 391 ( 57,573)
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 391 (57,382)
Citation 6

Abstract:

Asset Allocation, Retirement Planning, Life Cycle, Portfolio Choice

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 (80,064)

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 (81,972)
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 (97,593)

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 (94,320)

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 (63,640)

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 (144,564)

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 (160,850)

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 (192,865)

Abstract:

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

12.

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 (317,977)

Abstract:

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

13.

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 (531,832)

Abstract:

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

14.

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 (531,832)

Abstract:

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

15.

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