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Working Papers

Cepar Pensioners

Shang Wu, Anthony Asher, Ramona Meyricke and Susan Thorp

Using eight years of data drawn from the records of Australia's Centrelink agency, we describe the income, asset and decumulation patterns of over 10,000 age pensioners.

Young family walking along the beach

Xiaodong Fan, Ananth Sashadri and Christopher Taber

Young mother and her daughter

Xiaodong Fan, Hanming Fang and Simen Markussen

This paper analyzes the connection between two concurrent trends since 1950: the narrowing and reversal of the educational gender gap and the increased labor force participation rate (LFPR) of married women.

Middle aged man researching online

Xiaodong Fan

This article documents "sharp retirement" among white male workers in the United States - retirement accompanied by a discontinuous decline in labor supply. It then proposes and estimates a life-cycle model with habit persistence to explain such precipitous decline in labor supply upon retirement as workers quitting "cold turkey" to break the "work habit".

Young woman moving house

Xiangling Liu

This paper estimates the income elasticity of house prices over a long-term time period of 1991 to 2012 for 144 LGAs in New South Wales of Australia. The income elasticity of house prices is estimated to be 0.69 by multi-factor panel data models accounting for cross-section dependence and serial correlation.

Colleagues collaborating and analysing population data

Yajing Xu, Michael Sherris and Jonathan Ziveyi

Cohort effects have been identified in many countries. However, some mortality models only consider the modelling and projection of age-period effects. Others, that incorporate cohort effects, do not consider cohort specific survival curves that are important for pricing and hedging purposes.

Cepar - Retirement Decisions

Ching Choi and Peng Yu

Population ageing can contribute to a shortage in labour supply. An obvious and popular response to this is to encourage workers to delay their retirement.

Researchers examining data online

Man Chung Fung, Katja Ignatieva and Michael Sherris

Developing a liquid longevity market requires reliable and well-designed financial instruments. An index-based longevity swap and a cap are analysed in this paper under a tractable stochastic mortality model.

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.