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.
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.
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.
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.
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.
Rafal Chomik and John Piggott
Abstract: Pension savings commonly attract lower taxes to encourage self-provision or to maintain neutrality between current and future consumption. As a result, in countries where funded pensions are prominent, tax costs appear large and poorly targeted while benefits seem unsubstantiated. Yet much of the criticism of tax arrangements is misconceived. In this paper we explain the basic concepts, tackle concerns related to the scale and fairness of tax expenditures, and present policy reform proposals. We do this by way of illustrative examples of saving over the lifecycle and across the earnings distribution. These are based on the Australian retirement income system – an instructive case, since it has significant pre-funding and high levels of measured tax expenditures that, in turn, attract considerable political interest.
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.
