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Working Papers

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

Colleagues analysing data

Cagri Kumru and John Piggott

This paper studies the interaction between capital income taxation and a means tested age pension in the context of an overlapping generations model, calibrated to the UK economy.

Couple examining pension options

George Kudrna and Alan Woodland

Concerned with the vertical equity of the current superannuation tax concessions, this paper provides a quantitative analysis of hypothetical replacements of the existing superannuation tax treatment with the EET and TEE regimes commonly found in other countries.


Michael Keane and Olena Stavrunova

The size of adverse selection and moral hazard effects in health insurance markets has important policy implications.

Colleagues work shopping and brainstorming

Katja Hanewald and Michael Sherris

This paper provides an assessment of risk models for residential property for applications in banking and insurance including pricing, risk management, and portfolio management.

Financial growth

Hazel Bateman, Christine Eckert, John Geweke, Jordan Louviere, Stephen Satchell and Susan Thorp

Financial regulators are weighing up the effectiveness of different templates for communicating investment risk to retirement savers since welfare depends on comprehension of risk information.

Elderly couple researching pension options

Katja Hanewald, John Piggott and Michael Sherris

This paper analyzes an individual's post retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings.