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Working Papers

Young couple exploring pension options

Craig Blackburn, Katja Hanewald, Annamaria Olivieri and Michael Sherris

This paper assesses the impact of longevity risk management on insurer shareholder value and solvency for an annuity portfolio.

Family enjoying life

George Kudrna, Chung Tran and Alan Woodland

In this paper we develop an overlapping generations (OLG) model that incorporates non-stationary demographic transition paths to study the dynamic fiscal effects of demographic shift in Australia

Team collaboration

Ramona Meyricke and Michael Sherris

We assess the costs of longevity risk management using longevity swaps compared to costs of holding capital under Solvency II.

Financial growth

Shang Wu, Ralph Stevens and Susan Thorp

Using survey data on subjective survival probabilities over a range of target ages and from an array of age cohorts, we estimate individual subjective scalings of population mortality probabilities.

Ageing data

Daniel H. Alai, Zinoviy Landsman and Michael Sherris

This paper applies a multivariate Tweedie distribution to incorporate dependence, which it induces through a common shock component.

Elderly friends

Loretti I. Dobrescu

This paper develops a dynamic structural life-cycle model to study how heterogeneous health and medical spending shocks affect the savings behavior of the elderly.

Couple examining pension options

Katja Hanewald, Thomas Post and Michael Sherris

We study the optimal product choice of home equity release products from the homeowner's perspective in the presence of longevity, long-term care, house price, and interest rate risk.

Parents with their two children

Hal Kendig and Nina Lucas

Social change in Australia over the post WW II era -including increasing prosperity, massive immigration, and increasing public support - has brought overall improvements in intergenerational relationships and outcomes for older people.

Elderly care

Joelle H. Fong, Adam W. Shao and Michael Sherris

We apply generalized linear models to evaluate disability transitions for individuals in old age based on a large sample of U.S. elderly.