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Working Papers

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.

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.

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.

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.

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.

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.

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.

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.