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
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Working Papers
2013Sep
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.
2013Aug
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.
2013Jul
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.
2013Jun
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.
2013Jun
Katja Hanewald, Thomas Post and Michael Sherris
We study the optimal product choice of home equity release products from the homeowner's perspective in the presence of longevity, long-term care, house price, and interest rate risk.
2013May
Hal Kendig and Nina Lucas
Social change in Australia over the post WW II era -including increasing prosperity, massive immigration, and increasing public support - has brought overall improvements in intergenerational relationships and outcomes for older people.
2013May
Joelle H. Fong, Adam W. Shao and Michael Sherris
We apply generalized linear models to evaluate disability transitions for individuals in old age based on a large sample of U.S. elderly.
2013May
Michael Sherris and Qiming Zhou
This paper overviews recent developments in models for mortality heterogeneity and uses a model calibrated to both population mortality and health condition data to consider the impact of model risk and heterogeneity in assessing solvency and tail risk for longevity risk products.