Jennifer Alonso-Garcia and Michael Sherris.
We analyze the impact of various popular product choices in the Netherlands and in Australia on the welfare of individuals allowing for different income levels.
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Working Papers
2017Aug
2017Jul
Jennifer Alonso-García and Pierre Devolder
Notional Defined Contribution pension schemes are defined contribution plans which are pay-as-you-go financed. We study how the scheme should be designed to achieve liquidity and solvency with a limited set of assumptions in a continuous overlapping generations model that increases traceability of the results.
2017Jun
Adam W. Shao, Hua Chen and Michael Sherris
We consider the impact of housing and the availability of reverse mortgages and long-term care insurance on a retiree's optimal portfolio choice and consumption decisions.
2017May
Katja Hanewald, Han Li and Adam W. Shao
In this paper, we develop a new flexible approach to modeling health transitions in a multi-state Markov model that allows for age effects, time trends and age-time interactions.
2017Apr
Bei Lu, Hong Mi, Yana Zhu and John Piggott
This paper will document the Qingdao Long-term Care Medical Insurance (LTCMI) programme in order to properly understand and analyse its recipient demographics and the determinants of cost differentials for clients presenting with different patterns of disability.
2017Mar
Shang Wu, Hazel Bateman, Ralph Stevens, and Susan Thorp
We study the demand for income-indemnity long term care (LTC) insurance, a product that pays income in LTC states whether care services are used or not.
2017Feb
George Kudrna
Like many other developed countries, Norway is facing a rapid ageing of its population that is attributed to both falling mortality and fertility rates in the past and projected life-expectancy increases over the next several decades.
2017Feb
Boda Kang and Jonathan Ziveyi
In this paper we analyse how the policyholder surrender behaviour is influenced by changes in various sources of risk impacting a variable annuity (VA) contract embedded with a guaranteed minimum maturity benefit rider that can be surrendered anytime prior to maturity.
2017Feb
Nikolay Gudkov, Katja Ignatieva and Jonathan Ziveyi
This paper values Guaranteed Minimum Withdrawal Benefit (GMWB) riders embedded in variable annuities assuming that the underlying fund dynamics evolve under the influence of stochastic interest rates, stochastic volatility, stochastic mortality and equity risk.