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Financial and Insurance Product Design

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Project Overview

Researchers

Project Highlights

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Financial and Insurance Product Design

Project Leader: Professor Michael Sherris

Project overview

Led by CEPAR Chief Investigator Michael Sherris, this project is delivering much needed modelling to support insurance and financial markets, and develop models for sustainable cost-effective products allowing individuals to manage longevity, health, and aged care risk. It investigates:

  1. Optimal design of health and aged care insurance products. Using the evidence base for separating idiosyncratic and systematic risk generated by CEPAR project Mortality and Morbidity Risk, it explores the potential for splitting risks between insurer and consumer to reduce premiums. In this context, a range of alternative designs are being assessed and the impact of capital and regulatory costs of guarantees provided by insurers are being quantified.

  2. The development of products which will help consumers maximise income in retirement. The project considers accumulation investment strategies to target retirement income taking into account inflation and longevity risks. The incorporation of health and disability status for older ages allows us to model the benefits of innovations, such as enhanced annuities, that provide higher annuity payments to lives of lesser health status, and life care annuities that combine long-term care with life annuity payments.

  3. Improved design of equity release products. Better models of residential house prices based on individual dwelling characteristics are being developed to radically advance the design and costing of these products that involve many risks, including house price, health and longevity. Related taxation issues are also being analysed.

Researchers

MICHAEL SHERRIS
HÉLOÏSE LABIT HARDY
MENGYI XU
PENGYU WEI
DANIEL ALAI
ANNAMARIA OLIVIERI
ERMANNO PITACCO
ADAM WENQIANG SHAO
ANDRÉS VILLEGAS
JONATHAN ZIVEYI
XIAO XU
YULONG LI
DOREEN KABUCHE
KEVIN KRAHE
SHIANNA LI
LUKE ZHOU
YUXIN ZHOU

Project highlights

Selected Journal Articles

» View all research publications «

Selected Working Papers

  • A Managed Volatility Investment Strategy for Pooled Annuity Products, Shianna Li, Heloise Labit Hardy, Prof. Michael Sherris and Andrés M. Villegas, 2019.

  • A Value-Based Longevity Index for Hedging Retirement Income Portfolios, Kevin Krahe, Michael Sherris, Andrés M. Villegas and Jonathan Ziveyi, 2019.

  • Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing. Yajing Xu, Michael Sherris and Jonathan Ziveyi, 2018.

  •  Cohort and Value-Based Multi-Country Longevity Risk Management. Michael Sherris, Yajing Xu and Jonathan Ziveyi, 2018.

» View all working papers «

Selected Engagement / Public Talks

  • Kabuche, D. (2019), Longevity Risk: Retirement Income Product Innovation, 27th Annual Colloquium on Pensions and Retirement Research, Sydney, Australia, December 2019.

  • Xu, X. (2019), Model Risk for Pricing Guaranteed Lifetime Withdrawal Benefits, 27th Annual Colloquium on Pensions and Retirement Research, Sydney, Australia, December 2019.

  • Ziveyi, J. (2019), A Value-Based Longevity Index for Hedging Retirement Income Portfolios, Quantitative Methods in Finance Conference, Sydney, Australia, December 2019.

  • Kabuche, D. (2019), Longevity Risk: Retirement Income Product Innovation, Australasian Actuarial Education and Research Symposium, Melbourne, Australia, November 2019.

  • Xu, X. (2019) Model Risk for Pricing Guaranteed Lifetime Withdrawal Benefits, Australasian Actuarial Education and Research Symposium, Melbourne, Australia, November 2019.

  • Ziveyi, J (2019), Pricing and Hedging of GMBs in Variable Annuities under Stochastic Volatility and Interest Rates using Power Series Approximation Techniques, The Longevity 15 Conference, Washington DC, USA, September 2019.

  • Li, Y. (2019), Assessing the Public and Private Impact of Retirement Income Products (CIPRs) Allowing for Health Heterogeneity, 54th Actuarial Research Conference, Indianapolis, USA, August 2019.

  • Xu X. (2019), Fourier-based pricing methods and equity models comparisons on VA+GMBs, ARC conference, US, August 2019.

  • Xu, M. (2019), Retirement Planning with Systematic Disability and Mortality Risk, 54th Actuarial Research Conference, Indianapolis, USA, August 2019.

  • Labit Hardy, H. (2019). Long term care insurance incorporating systematic trends and uncertainty: design and pricing for Australian market, 23nd International Congress on Insurance: Mathematics and Economics, Munich, Germany, July 2019.

  • Ziveyi, J. (2019)Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits, International Conference on Computational Finance (ICCF2019), A Coruña, Spain, July 2019.

  • Villegas, A. (2018), The implications of mortality heterogeneity on longevity sharing retirement income products, 31st International Congress of Actuaries, Berlin, Germany, June 2018.

  • Ziveyi, J. (2019), A Value-Based Longevity Index for Hedging Retirement Income Portfolios, Third International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia, June 2019.

  • Sherris, M. (2019), Investment strategy for pooled annuity products, AFIR-ERM International Colloquium, Florence, Italy, May 2019.

  • Li, Y. (2019), Assessing the Public and Private Impact of Retirement Income Products (CIPRs) Allowing for Health Heterogeneity, PARTY 2019, Sibiu Romania, April 2019.

  • Labit Hardy, H. (2018), The implications of mortality heterogeneity on longevity sharing retirement income products, 7th Algerian Life Insurance Actuarial Day (JAVA-VII), Alger, Algeria (Invited speaker via Skype), November 2018.

  • Labit Hardy, H. (2018), Long term care insurance incorporating systematic trends and uncertainty: design and pricing for Australian Market, 17th National Conference of Emerging Researchers in Ageing, Melbourne, Australia, November 2018.

  • Villegas, A. (2018), The implications of mortality heterogeneity on longevity sharing retirement income products, Actuarial Risk Modelling and Extreme Values (ARMEV) workshop, Canberra, Australia, September 2018.

  • Xu, M. (2018), Demand for annuities and long-term care insurance with recursive utility: Impact of housing, 45th Annual Seminar of the European Group of Risk and Insurance Economists (EGRIE), Nuremberg, Germany, September 2018.

  • Xu, M. (2018), Demand for annuities and long-term care insurance with recursive utility: Impact of housing, Insurance Risk and Finance Research Centre (IRFRC) & Asia-Pacific Risk and Insurance Association (APRIA) 2018 Joint Conference, Singapore, August 2018.

  • Labit Hardy, H. (2018), The implications of mortality heterogeneity on longevity sharing retirement income products, 22nd International Congress on Insurance: Mathematics and Economics, Sydney, Australia, July 2018.

  • Villegas, A. (2018), The implications of mortality heterogeneity on longevity sharing retirement income products, 26th Annual Colloquium on Pensions and Retirement Research, Sydney, Australia, July 2018.

  • Xu, X. (2018), Postretirement income products - Comparisons on variable annuity guaranteed living benefits with advanced numerical methods, 22nd International Congress on Insurance: Mathematics and Economics, Sydney, Australia, July 2018.

  • Sherris, M. (2018), Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, Seminar at Department of Insurance Economics and Risk Management, Friedrich-Alexander University, Erlangen-Nurnberg, Germany, June 2018.

  • Xu, M. (2018), Demand for annuities and long-term care insurance with recursive utility: Impact of housing, 31st International Congress of Actuaries, Berlin, Germany, June 2018.

  • Villegas, A. (2018), The implications of mortality heterogeneity on longevity sharing retirement income products, Pension and Superannuation seminar at UNSW, Sydney, Australia, May 2018.

  • Sherris, M. (2018), Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, MAF 2018, Madrid, Spain, April 2018.

  • Sherris, M. (2018), Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, Seminar at University of Parma, Parma, Italy, April 2018.

  • Sherris, M. (2018), Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, Western Risk and Insurance Association Annual Meeting, Las Vegas, USA, January 2018.

Selected Keynote Lectures

  • Linking annuity benefits to the longevity experience: a general framework. Annamaria Olivieri: Keynote lecture at IME International Congress 2018, Sydney - UNSW, July 2018.

Other

  • Zhou, L. (2019), A structured investigation of retirement income products, UNSW Business School Research Fair, Sydney, Australia, May 219 (Poster).

Related Research

This multi-year project, funded by the Society of Actuaries Center for Actuarial Excellence, addresses significant research issues for the actuarial profession in the area of longevity risk.

CONTACT

Professor Michael Sherris
Project Leader, CEPAR Chief Investigator, UNSW Sydney
m.sherris@unsw.edu.au