Daniel Alai, Zinoviy Landsman and Michael Sherris
Systematic improvements in mortality results in dependence in the survival distributions of insured lives. This paper applies a multivariate gamma distribution to incorporate dependence.
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Working Papers
2012Jan
Dimitris Christelis and Loretti I. Dobrescu
Using micro data from eleven European countries, we investigate the impact of being socially active on cognition in older age.
2012Jan
Elena Capatina
This paper studies four channels through which health affects individuals: (1) productivity, (2) medical expenditures, (3) available time and (4) survival probabilities, and assesses their roles in determining labour supply, asset accumulation and welfare.
2012Jan
Elena Veprauskaite and Michael Sherris
This paper considers optimal reinsurance based on an assessment of the reinsurance arrangements for a large life insurer.
2012Jan
Maathumai Nirmalendran, Michael Sherris and Katja Hanewald
This paper provides a detailed quantitative assessment of the impact of solvency capital requirements on product pricing and shareholder value for a life insurer.
2012Jan
Dominic Ho and Michael Sherris
This paper examines the application of two popular MCDM methods, Analytical Hierarchy Process (AHP) and ELECTRE III, to ILS portfolios.
2012Jan
John Piggott and Rafal Chomik
Australia's retirement income provision system, comprising the 'three pillars' of a means-tested Age Pension, mandatory occupational superannuation and other, voluntary long term savings, is at the heart of understanding the fiscal implications of ageing.
2012Jan
Elisabetta Magnani, Garima Verma, Anu Rammohan
We model the allocation of time resources by adult children between competing caring activities - those towards coresiding elderly and those towards coresiding children.
2012Jan
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.