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Working Papers

Elderly friends enjoying life

Dimitris Christelis and Loretti I. Dobrescu

Using micro data from eleven European countries, we investigate the impact of being socially active on cognition in older age.

Female researchers examining data

Elena Veprauskaite and Michael Sherris

This paper considers optimal reinsurance based on an assessment of the reinsurance arrangements for a large life insurer.

Financial independence

Maathumai Nirmalendran, Michael Sherris and Katja Hanewald

This paper provides a detailed quantitative assessment of the impact of solvency capital requirements on product pricing and shareholder value for a life insurer.

Financial prosperity

John Piggott and Rafal Chomik

Australia's retirement income provision system, comprising the 'three pillars' of a means-tested Age Pension, mandatory occupational superannuation and other, voluntary long term savings, is at the heart of understanding the fiscal implications of ageing.

Middle aged man researching online

Dominic Ho and Michael Sherris

This paper examines the application of two popular MCDM methods, Analytical Hierarchy Process (AHP) and ELECTRE III, to ILS portfolios.

Aged care support

Elisabetta Magnani, Garima Verma, Anu Rammohan

We model the allocation of time resources by adult children between competing caring activities - those towards coresiding elderly and those towards coresiding children.

Colleagues collaborating

Daniel Alai and Michael Sherris

In this paper we show how applying trend models from non-life claims reserving to age-period-cohort mortality trends provides new insight in estimating mortality improvement and quantifying its uncertainty.

Data analysis

Jonathan Ziveyi, Craig Blackburn, Michael Sherris

This paper considers the pricing of European call options written on pure endowment and deferred life annuity contracts, also known as guaranteed annuity options.

Colleagues in the midst of a discussion

George Kudrna and Alan Woodland

In this paper we investigate the macroeconomic and welfare effects of the major changes of the mandatory superannuation reform proposed in the 2010-11 Australian federal budget