A simulation approach is used to investigate how various investment strategies affect the ability of retirees to spend at a desired level up until death. Retirees are assumed to maintain all investment and longevity risk, and also have access to a government-sponsored and means-tested Age...

A report on an introduction of a flipped classroom approach to lectures in a final-year actuarial course is presented. At the heart of the flipped classroom is moving the delivery of material outside of formal class time and using formal class time for students to undertake collaborative and...

A dynamic model of strategic trading with two asymmetrically informed traders is analyzed where one informed trader knows the information seen by both informed traders, and the other informed trader only knows his private information. While the first informed trader is better informed, the...

Following Lence and Hayes (1994a), we study the problem faced by an Iowa farmer who wishes to hedge a soybean harvest using Chicago futures contracts. A time-series model for spot and futures prices is postulated, and numerical Bayesian procedures are used to calculate predictive densities and...

This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010....

This paper studies the performance of the Foster-Whiteman (1999) procedure for using a Bayesian predictive distribution for the future price of an asset to compute the price of a European option on that asset. A technical contribution of the paper is the description of a sequential importance...

Regulations restricting investment by pension funds in high risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. This paper analyses contagion from US equity markets to emerging market autarchic assets (Colombian private pension funds)...

Households in many developed economies now reach retirement with lump sums of financial wealth accumulated through defined contribution retirement plans. Managing wealth from individual accumulations and public provision is critical to retirement welfare. We study the dynamics of retirement...

We investigate the impact of means tested public income transfers on post-retirement decumulation and portfolio choice using theoretical simulations and panel data on Australian Age Pensioners. Means tested public pension payments in Australia have broad coverage and give insight into the...