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Working Papers

2017Jun
Pension finances

Adam W. Shao, Hua Chen and Michael Sherris

We consider the impact of housing and the availability of reverse mortgages and long-term care insurance on a retiree's optimal portfolio choice and consumption decisions.

2017May
Elderly couple

Katja Hanewald, Han Li and Adam W. Shao

In this paper, we develop a new flexible approach to modeling health transitions in a multi-state Markov model that allows for age effects, time trends and age-time interactions.

2017Apr
Mother and daughter

Bei Lu, Hong Mi, Yana Zhu and John Piggott

This paper will document the Qingdao Long-term Care Medical Insurance (LTCMI) programme in order to properly understand and analyse its recipient demographics and the determinants of cost differentials for clients presenting with different patterns of disability.

2017Mar
Elderly friends

Shang Wu, Hazel Bateman, Ralph Stevens, and Susan Thorp

We study the demand for income-indemnity long term care (LTC) insurance, a product that pays income in LTC states whether care services are used or not.

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.