Fedor Iskhakov, Susan Thorp and Hazel Bateman
We develop and simulate a stochastic lifecycle model to investigate optimal annuity purchases at retirement.
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Working Papers
2014May
Yang Chang and Erik Schlogl
We take a more fundamental approach and explicitly model liquidity risk as the driver of basis spreads, reducing the dimensionality of the market for the frequency basis from observed spread term structures for every frequency pair down to term structures of two factors characterising liquidity risk.
2014Apr
Yang Shen and Michael Sherris
This paper considers the lifetime asset allocation problem with both idiosyncratic and systematic longevity risks, in which the stochastic mortality model is given by a general diffusion process.
2014Apr
The Impact of Family Structure on Risk Attitudes and Financial Decisions during the Financial Crisis
Katja Hanewald and Fanny Kluge
Our study analyzes the impact of family structure on individual's attitudes toward risk and on their savings and investment decisions based on data from the German Socio-Economic Panel Study (SOEP) over the period 2004-2010.
2014Apr
Julie Agnew, Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan Louviere and Susan Thorp
Using an online incentivised discrete choice experiment, we study how well individuals judge financial advice and whether factors other than advice quality influence their evaluations.
2014Feb
Adam Wenqiang Shao, Katja Hanewald and Michael Sherris
We analyse the combined impact of house price risk and longevity risk on the pricing and risk profile of reverse mortgage loans in a stochastic multi-period model.
2013Dec
Hazel Bateman and Kevin Liu
Using data from the China Household Finance Survey - a new nationally representative survey of 8,438 households we critically assess the Chinese pension system using both individual and economy-wide criteria.
2013Dec
Julie Agnew, Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan Louviere and Susan Thorp
Using an online incentivised discrete choice experiment, we study how well individuals judge financial advice and whether factors other than advice quality influence their evaluations
2013Dec
Ermanno Pitacco
We address life annuities and pensions, looking in particular at transfers/sharing of biometric risks, i.e. risks related to the annuitant's lifetime and health status, involved by the policy conditions or the pension plan rules.