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Working Papers

2015Apr
Elderly couple researching pension options

Changyu Liu and Michael Sherris

Pension funds and life insurers offering annuities hold long term liabilities linked to longevity. Risk management of life annuity portfolios aims to immunize or hedge both interest rate and mortality risks. Standard fixed interest duration-convexity hedging must be adapted to allow for both interest rate and longevity risk.

2015Apr
Woman offering aged care support

George Kudrna, Chung Tran and Alan Woodland

In this paper, we investigate two fiscal policy options to mitigate fiscal pressure arising from an ageing of Australian population: pension cuts or tax hikes. Using a computable overlapping generations model, we find that while the two policy options achieve the same fiscal goal, the macroeconomic and welfare outcomes differ significantly.

2015Apr
Pensioners enjoying a stroll

George Kudrna

The Australian government has recently strengthened the means test of the age pension by raising the income reduction (taper) rate and also introduced labour earnings exemptions from the means testing to encourage labour supply of older Australians.

2015Mar
Data graphs

George Kudrna, Chung Tran and Alan Woodland

In this paper, we develop a small open economy, overlapping generations model that incorporates non-stationary demographic transition paths to study the dynamic fiscal effects of demographic shift in Australia.

2015Mar
Aged care support

Adam W. Shao, Michael Sherris and Joelle H. Fong

This paper presents a comprehensive assessment of premiums, reserves and solvency capital requirements for long-term care (LTC) insurance policies using Activities of Daily Living (ADLs) and U.S. data.

2015Mar
Aged care analysis

Severine Arnold and Michael Sherris

This paper applies cointegration techniques, developed in econometrics to model long-run relationships, to cause-of-death data. We analyze the five main causes of death across five major countries, including USA, Japan, France, England & Wales and Australia.

2015Feb
Middle aged man researching online

Yang Chang and Michael Sherris

Existing longevity indices commonly use age-based mortality rates or period life expectancy. We propose an alternative cohort-based value index for insurers and pension funds to manage longevity risk.

2015Feb
Elderly couple enjoying life

Ermanno Pitacco

Long-term care insurance (LTCI) covers are rather recent products, in the framework of health insurance. It follows that specific biometric data are scanty, and pricing problems then arise because of difficulties in the choice of appropriate technical bases.

2015Jan
Financial prosperity

Daniel Alai, Zinoviy Landsman and Michael Sherris

We generalize model calibration for a multivariate Tweedie distribution to allow for censored observations; estimation is based on the method of moments. The multivariate Tweedie distribution we consider incorporates dependence in a pool of lives via a common stochastic component.