Retirement spending problem under habit formation model (with H. Huang and S. Kirusheva). Submitted. arXiv:2210.06255
The Riccati tontine: how to satisfy regulators on average (with M.A. Milevsky). To appear, Geneva Risk and Insurance Review, special issue on Tontines. SSRN and arXiv:2402.14555
A greedy algorithm for habit formation under multiplicative utility (with S. Kirusheva). To appear, International Journal of Theoretical and Applied Finance. 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
Percolation of terraces, and enhancements for the orthant model (with M. Holmes). To appear, Transactions of the AMS. 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 and Media
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
