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Working Papers

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.

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.

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. 


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.

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.


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.

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. 

Elderly friends

Jennifer Alonso-Garcia, Maria del Carmen Boado-Penas and Pierre Devolder

There are three main challenges facing public pension systems.


Jennifer Alonso-García and Beatriz Rosado-Cebrián

The recent global financial crisis has intensified the public debate on the sustainability of pay-as-you-go pension schemes.