Jonathan Ziveyi, Craig Blackburn, Michael Sherris
This paper considers the pricing of European call options written on pure endowment and deferred life annuity contracts, also known as guaranteed annuity options.
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Working Papers
2012Jan
George Kudrna and Alan Woodland
In this paper we investigate the macroeconomic and welfare effects of the major changes of the mandatory superannuation reform proposed in the 2010-11 Australian federal budget
2012Jan
Cagri Kumru and John Piggott
This paper studies the interaction between capital income taxation and a means tested age pension in the context of an overlapping generations model, calibrated to the UK economy.
2012Jan
George Kudrna and Alan Woodland
Concerned with the vertical equity of the current superannuation tax concessions, this paper provides a quantitative analysis of hypothetical replacements of the existing superannuation tax treatment with the EET and TEE regimes commonly found in other countries.
2011Nov
Michael Keane and Olena Stavrunova
The size of adverse selection and moral hazard effects in health insurance markets has important policy implications.
2011Nov
Katja Hanewald and Michael Sherris
This paper provides an assessment of risk models for residential property for applications in banking and insurance including pricing, risk management, and portfolio management.
2011Sep
Hazel Bateman, Christine Eckert, John Geweke, Jordan Louviere, Stephen Satchell and Susan Thorp
Financial regulators are weighing up the effectiveness of different templates for communicating investment risk to retirement savers since welfare depends on comprehension of risk information.
2011Aug
Katja Hanewald, John Piggott and Michael Sherris
This paper analyzes an individual's post retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings.
2011Aug
Thomas Post and Katja Hanewald
Theoretical studies suggest that unexpected changes in future survival probabilities, that is, longevity risk, are important determinants of individuals' decision making about consumption, saving, allocation of assets, and retirement timing.