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.
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.
Kostas Mavromaras and Rong Zhu
In this paper we estimate the interdependence of labour force participation decisions made by Australian couples from 2001 to 2011.
Hazel Bateman, Jeanette Deetlefs, Isabella Dobrescu, Ben Newell, Andreas Ortmann and Susan Thorp
Using member records and survey data from a large Australian superannuation fund, we test the relationship between attitudes towards retirement savings and observable levels of non-default activities (such as making voluntary contributions, choosing or changing investment options and changing insurance cover).
Craig Blackburn, Katja Hanewald, Annamaria Olivieri and Michael Sherris
This paper assesses the impact of longevity risk management on insurer shareholder value and solvency for an annuity portfolio.
George Kudrna, Chung Tran and Alan Woodland
In this paper we develop an overlapping generations (OLG) model that incorporates non-stationary demographic transition paths to study the dynamic fiscal effects of demographic shift in Australia
Ramona Meyricke and Michael Sherris
We assess the costs of longevity risk management using longevity swaps compared to costs of holding capital under Solvency II.
Shang Wu, Ralph Stevens and Susan Thorp
Using survey data on subjective survival probabilities over a range of target ages and from an array of age cohorts, we estimate individual subjective scalings of population mortality probabilities.
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
This paper applies a multivariate Tweedie distribution to incorporate dependence, which it induces through a common shock component.
Loretti I. Dobrescu
This paper develops a dynamic structural life-cycle model to study how heterogeneous health and medical spending shocks affect the savings behavior of the elderly.