Papers

Books edited

Finance papers

(for Mathematics papers, see below)

  • Retirement spending problem under habit formation model (with H. Huang and S. Kirusheva). Submitted. arXiv:2210.06255
  • Bifurcation in optimal retirement (with B. Ashraf). Submitted. arXiv:2506.02155
  • Equitable longevity risk sharing or, the raison d'etre for a First Nations Pension Plan (with M.A. Milevsky and R. Allen). Submitted. SSRN and arXiv:2512.00122
  • The Riccati tontine: how to satisfy regulators on average (with M.A. Milevsky). Geneva Risk and Insurance Review 50 (2025), pp. 72-102, special issue on Tontines. SSRN and arXiv:2402.14555
  • A greedy algorithm for habit formation under multiplicative utility (with S. Kirusheva). International Journal of Theoretical and Applied Finance 27, No. 3-4 (2024), Paper 2350027 (20 pp.). arXiv:2305.04748
  • Retirement income annuities: feasibility of money-back guarantees (with M.A. Milevsky). Insurance: Mathematics and Economics 105 (2022), pp. 175-193 SSRN and arXiv:2111.01239
  • Optimal allocation to deferred income annuities (with F. Habib, H. Huang, A. Mauskopf, and B. Nikolic). Insurance: Mathematics and Economics 90 (2020), pp. 94-104 SSRN and arXiv:2111.01234
  • Annuities versus tontines in the 21st century, a Canadian case study (with M.A. Milevsky, G. Gonzalez, H. Jankowski).
    Society of Actuaries, Pension Research Reports (2018). SoA2018
  • Retirement spending and biological age (with H. Huang and M.A. Milevsky).
    J. of Economic Dynamics and Control 84 (2017), pp. 58-76 arXiv:1811.09921 and SSRN
  • Equitable retirement income tontines: mixing cohorts without discriminating (with M.A. Milevsky). ASTIN Bulletin 46 (2016) pp. 571-604 arXiv:1610.384 and SSRN
  • The implied longevity curve: How long does the market think you will live? (with A. Chigodaev and M.A. Milevsky). J. Investment Consulting 7 (2016), pp. 11-211 arXiv:1811.0932 and SSRN
  • Optimal retirement tontines (with M.A. Milevsky). Insurance: Mathematics and Economics 64 (2015), pp. 91-105 arXiv:1610.10078
  • Optimal retirement tontines for the 21st Century: with reference to mortality derivatives in 1693 (with M.A. Milevsky). Proceedings of the Living to 100 Symposium, Society of Actuaries (2014) arXiv:1307.2824 and SSRN
  • Optimal initiation of a GLWB in a variable annuity: no arbitrage approach (with H. Huang and M.A. Milevsky). Insurance: Mathematics and Economics 56 (2014), pp. 102-111 arXiv:1304.1821 and SSRN
    Ranked 15th on Retirement Income Journal's list of Best retirement research of 2012.
  • Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA) (with H. Huang and M.A. Milevsky). Journal of Risk and Insurance 81 (2014), pp. 367-395 arXiv:1205.3686v1 and SSRN
  • Optimal Retirement Consumption with a Stochastic Force of Mortality (with H. Huang and M.A. Milevsky). Insurance: Mathematics and Economics 51 (2012), pp. 282-291 arXiv:1205.2295v1
    [An earlier version circulated as: Yaari's lifecycle model in the 21st century: consumption under a stochastic force of mortality SSRN.]
  • A Different Perspective on Retirement Income Sustainability: The Blueprint for a Ruin Contingent Life Annuity (RCLA) (with H. Huang and M.A. Milevsky).
    J. of Wealth Management 11 (2009), pp. 89-97 arXiv:1205.2513v1
  • Financial valuation of guaranteed minimum withdrawal benefits (with M.A. Milevsky). Insurance: Mathematics and Economics 38 (2006), pp. 21-38 pdf
  • Probabilistic investing: or how to win the Globe and Mail's Stock Picking Contest (50% of the time). (with M.A. Milevsky). Financial Services Review 14 (2005), pp. 197-211 pdf
  • Asset Allocation and the Liquidity Premium for Illiquid Annuities (with S. Browne and M.A. Milevsky). Journal of Risk and Insurance 70 (2003), pp. 509-526 pdf
  • The Real Option to lapse a variable annuity: can surrender charges complete the market? (with M.A. Milevsky).
    Proc. XIth AFIR Colloquium v2, (2001), pp. 537-561. Financial Risks section, International Actuarial Association. pdf

Math papers

  • Uniqueness for Volterra-type stochastic integral equations (with L. Mytnik). In preparation. arxiv:1502.05513
  • Blowup and conditionings of psi-super Brownian exit measures (with S. Athreya). In preparation. arxiv:1103.1839v1
  • The velocity is deterministic in random walk in 2-valued i.i.d. random environment (with M. Holmes). Submitted (2026) arxiv:2610.40464
  • Percolation of terraces, and enhancements for the orthant model (with M. Holmes). Transactions of the AMS, Series B 12 (2025), pp. 237-275. arxiv2208.13115
  • A shape theorem for the orthant model (with M. Holmes). Ann. Probab. 49 (2021), pp. 1237-1256 and arxiv:1911.02615
  • Phase transitions for degenerate random environments (with M. Holmes). ALEA Lat. Am. J. Probab. Math. Stat. 18 (2021), pp. 707-725 and arxiv:1911.03037
  • How round are the complementary components of planar Brownian motion? (with N. Holden, S. Nacu and Y. Peres). Ann. Inst. Henri Poincare Probab. Stat. 55 (2019), pp, 882-908 and arxiv:1609.06627
  • Conditions for ballisticity and invariance principle for random walk in non-elliptic random environment (with M. Holmes). Electron. J. Probab. 22 (2017), no. 81, pp. 1-18 and arxiv:1612.04761
  • Forward clusters for degenerate random environments (with M. Holmes).
    Combinatorics, Probability and Computing 25 (2016), pp. 744-765 and arxiv:1307.2787
  • Moment densities of super-Brownian motion, and a Harnack estimate for a class of X-harmonic functions (with A.D. Sezer). Potential Analysis 41 (2014), pp. 1347-1358 and arxiv:1206.6789v1
  • Random walks in degenerate random environments (with M. Holmes).
    Canadian Journal of Mathematics 66 (2014), pp. 1050-1077 and arxiv:1105.5105v2 Unpublished appendix: Speed calculations for random walks in degenerate random environments (with M. Holmes). arxiv:1304.7520
  • Degenerate random environments (with M. Holmes). Random Structures and Algorithms 45 (2014), pp. 111-137 and arxiv:1105.5201v2
  • Conditioning super-Brownian motion on its boundary statistics, and fragmentation (with A.D. Sezer). Ann. Probab. 41 (2013), pp. 3617-3657 and arxiv:1205.2137v1
  • Non-Existence of stabilizing policies for the critical push-pull network and generalizations (with Y. Nazarathy and L. Rojas-Nandayapa).
    Operations Research Letters 41 (2013), pp. 265-270 and arxiv:1208.5872v2
  • A combinatorial result with applications to self-interacting random walks (with M. Holmes). J. Comb. Theory A 19 (2012), pp. 460-475 and arxiv:1105.5157v2
  • Non-degenerate conditionings of the exit measure of super Brownian motion (with J. Verzani). Stochastic Processes and their Applications 87 (2000), pp. 25-52 and arXiv:math/9807184v1
  • On the conditioned exit measures of super Brownian motion (with J. Verzani),
    Probability Theory and Related Fields 115 (1999), pp. 237-285 and arXiv:math/9804158v1
  • On minimal parabolic functions and time-homogeneous parabolic h-transforms (with K. Burdzy). Transactions of the AMS 351 (1999), pp. 3499-3531 and arXiv:math/9704231v1
  • Hausdorff Capacity and Lebesgue Measure (with J. Steprans),
    Real Analysis Exchange 22 (1996/97), pp. 265-278
  • Energy, and Intersections of Markov Chains. In Random Discrete Structures (Aldous, Pemantle editors), IMA volumes in mathematics and its applications 76 (1996), pp. 213-225
  • Martin Boundaries of Sectorial Domains (with M.C. Cranston),
    Arkiv for Matematik 31 (1993), pp. 27-49
  • 2D Brownian Motion in a System of Traps: Application of Conformal Transformations (with K. Burdzy and R. Holyst), Journal of Physics A 25 (1992), pp. 2463-2471
  • A Low Intensity Maximum Principle for Bi Brownian Motion.
    Illinois Journal of Mathematics 36 (1992), pp.1-14
  • Capacity and Energy for Multiparameter Markov Processes (with P.J. Fitzsimmons), Annales de l'Institut Henri Poincare 25 (1989), pp.325-350
  • Brownian Bitransforms. In Seminar on Stochastic Processes 1987, Birkhauser Boston (1988), pp. 249-263
  • Connecting Brownian Paths (with Burgess Davis),
    Annals of Probability 16 (1988), pp. 1428-1457
  • Three Problems from the Theory of Right Processes,
    Annals of Probability 15 (1987), pp. 263-267
  • An Increasing Diffusion. In Seminar on Stochastic Processes 1984, Birkhauser Boston (1986) pp. 173-194
  • Construction of Right Processes from Excursions,
    Probability Theory and Related Fields 73 (1986), pp. 351-367
  • On the Ito Excursion Process,
    Probability Theory and Related Fields 73 (1986), pp. 319-350
  • A Martin Boundary in the Plane,
    Transactions of the American Mathematical Society 293 (1986), pp. 623-642
  • Construction of strong Markov processes through excursions, and a related Martin boundary, PhD Thesis, UBC (1983), 233pp.

Education

  • Report of the Minister's task force on senior high school mathematics (with B. Farahani, A. Ladouceur, M. Lemonde, H. Panju). Ontario Ministry of Education (2006) pdf

Other

  • Retirement income planning roundtable (with E. Bederman, D. Conick, R. Norman, D. Richards).
    Advisor's Edge 10 (supplement), April 2007. Translated as: La planification du revenu de retraite. Objectif Conseiller 8 (supplement), May 2007
  • Asset Allocation and the Transition to Income: The Importance of Product Allocation in the Retirement Risk Zone (with M.A. Milevsky).
    IFID Working Paper (2006). Sponsored by Manulife Financial.
  • The Nature of Things, CBC TV: 'Everyday Einstein' (segment on Brownian motion) - D. Zuckerbrot producer, June 18, 2006
  • How to win The Globe and Mail's One-and-Only contest (with M.A. Milevsky).
    The Globe and Mail, January 6, 2005