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Working Papers

Elderly couple enjoying life

Ermanno Pitacco

Long-term care insurance (LTCI) covers are rather recent products, in the framework of health insurance. It follows that specific biometric data are scanty, and pricing problems then arise because of difficulties in the choice of appropriate technical bases.

Financial prosperity

Daniel Alai, Zinoviy Landsman and Michael Sherris

We generalize model calibration for a multivariate Tweedie distribution to allow for censored observations; estimation is based on the method of moments. The multivariate Tweedie distribution we consider incorporates dependence in a pool of lives via a common stochastic component.

Middle aged couple researching online

Heather Booth, Pilar Rioseco and Heather Crawford

This study examines the SN-SRH association through cross-cutting analyses of four demographically-defined groups (Males, Females, Partnered, Unpartnered) and three networks (Family, Friend, Group).

Research colleagues

Rafal Chomik and John Piggott

We briefly compare the Australian and US economies and demographies, and then describe the Australian arrangements and assess its economic efficiency and efficacy in delivering retirement support.

Happy elderly couple

Rafal Chomik and John Piggott

This chapter sets the context for the rest of the volume. The focus is mostly on countries in East and South-East Asia, but it includes contrasting comparisons to key regional countries such as India and Australia.

Elderly friends enjoying life

George Kudrna

This paper assesses economy-wide implications of further hypothetical policy changes to the means testing of the age pension.

Financial independence

Daniel H. Alai, Katja Ignatieva and Michael Sherris

We generalise random shocks from a univariate gamma to a univariate Tweedie distribution and allow for the distributions to vary by age.

Couple researching online

Fedor Iskhakov, Susan Thorp and Hazel Bateman

We develop and simulate a stochastic lifecycle model to investigate optimal annuity purchases at retirement.

Researcher examining data

Yang Chang and Erik Schlogl

We take a more fundamental approach and explicitly model liquidity risk as the driver of basis spreads, reducing the dimensionality of the market for the frequency basis from observed spread term structures for every frequency pair down to term structures of two factors characterising liquidity risk.