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Working Papers

2014May
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.

2014Apr
Elderly care

Yang Shen and Michael Sherris

This paper considers the lifetime asset allocation problem with both idiosyncratic and systematic longevity risks, in which the stochastic mortality model is given by a general diffusion process.

2014Apr
Young family at home

Katja Hanewald and Fanny Kluge

Our study analyzes the impact of family structure on individual's attitudes toward risk and on their savings and investment decisions based on data from the German Socio-Economic Panel Study (SOEP) over the period 2004-2010.

2014Apr
Students collaborating

Julie Agnew, Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan Louviere and Susan Thorp

Using an online incentivised discrete choice experiment, we study how well individuals judge financial advice and whether factors other than advice quality influence their evaluations.

2014Feb
Pensioners

Adam Wenqiang Shao, Katja Hanewald and Michael Sherris

We analyse the combined impact of house price risk and longevity risk on the pricing and risk profile of reverse mortgage loans in a stochastic multi-period model.

2013Dec
Mother and daughter

Hazel Bateman and Kevin Liu

Using data from the China Household Finance Survey - a new nationally representative survey of 8,438 households we critically assess the Chinese pension system using both individual and economy-wide criteria.

2013Dec
Elderly couple researching pension options online

Julie Agnew, Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan Louviere and Susan Thorp

Using an online incentivised discrete choice experiment, we study how well individuals judge financial advice and whether factors other than advice quality influence their evaluations

2013Dec
Data graphs

Ermanno Pitacco

We address life annuities and pensions, looking in particular at transfers/sharing of biometric risks, i.e. risks related to the annuitant's lifetime and health status, involved by the policy conditions or the pension plan rules.

2013Dec
Content pensioners

Kostas Mavromaras and Rong Zhu

In this paper we estimate the interdependence of labour force participation decisions made by Australian couples from 2001 to 2011.