Elena Veprauskaite and Michael Sherris
This paper considers optimal reinsurance based on an assessment of the reinsurance arrangements for a large life insurer.
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Working Papers
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
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
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
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
Daniel Alai and Michael Sherris
In this paper we show how applying trend models from non-life claims reserving to age-period-cohort mortality trends provides new insight in estimating mortality improvement and quantifying its uncertainty.
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.
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.