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Working Papers

2017Feb
Reviewing research

George Kudrna

Like many other developed countries, Norway is facing a rapid ageing of its population that is attributed to both falling mortality and fertility rates in the past and projected life-expectancy increases over the next several decades.

2017Feb
Data analysis

Boda Kang and Jonathan Ziveyi

In this paper we analyse how the policyholder surrender behaviour is influenced by changes in various sources of risk impacting a variable annuity (VA) contract embedded with a guaranteed minimum maturity benefit rider that can be surrendered anytime prior to maturity.

2017Feb
Ageing data

Nikolay Gudkov, Katja Ignatieva and Jonathan Ziveyi

This paper values Guaranteed Minimum Withdrawal Benefit (GMWB) riders embedded in variable annuities assuming that the underlying fund dynamics evolve under the influence of stochastic interest rates, stochastic volatility, stochastic mortality and equity risk.

2017Feb
Family enjoying life

Rafal Chomik, John Piggott and Peter McDonald

APEC economies encompass a wide range of socio-economic profiles – poor to rich, young to old, regulated to free market.

2017Feb
Light globe idea

Jennifer Alonso Garcia, Oliver Wood and Jonathan Ziveyi

This paper extends the Fourier-cosine (COS) method to the pricing and hedging of variable annuities embedded with guaranteed minimum withdrawal benefit (GMWB) riders. 

2017Jan
Work-site

Elena Capatina

Approximately one in four workers aged 25-40 who lacked private health insurance in 2010 in the US did not enroll in employer-provided health insurance (EPHI) that was available to them.

2016Dec
Fiscal growth

Christine Ma and Chung Tran

To what extent does population ageing limit fiscal capacity and affect fiscal sustainability? We answer this question through lens of fiscal space defined by budgetary room between the current tax revenue and the peak of Laffer curves.

2016Dec
Budgeting

George Kudrna and Chung Tran

In this study, we quantify the macroeconomic and welfare effects of alternative fiscal consolidation plans in the context of a small open economy.

2016Oct
Healthy elderly couple

Rafal Chomik

There is a growing recognition that social security systems with a wide scope and comprehensive coverage are an essential part of sustainable development and an ambition worth pursuing vigorously.