As a result of population ageing and declining fertility, the UK state pension system is unlikely to remain viable without a steady inflow of young immigrant workers from abroad. Using plausible assumptions we show that up to 500,000 immigrant workers pa. will be needed to save the state pension...

We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time $1$ value satisfies a specific constraint. This construction allows us to show the existence of...

We investigate a class of estimators for Linear Regression models where the dependent variable is subject to bid-ask censoring. Our estimation method is based on a definition of error that is zero when the predictor lies between the actual bid price and ask price, and linear outside this range....

Multi-Criteria Portfolio Analysis (MCPA) models have been extensively employed as an effective means to allocate scarce resources for investment in projects or services, considering different organisational areas and balancing costs, benefits & risks. However, structuring this type of models in...

Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly assumes a time-invariant relationship between state variables and returns. In this paper we propose a two-stage approach for forecasting of financial return series that are...

Our purpose in this paper is to produce a tractable model which illuminates problems relating to individual bank behaviour and risk-taking, to possible contagious interrelationships between banks, and to the appropriate design of prudential requirements and incentives to limit ‘excessive’...

Given that, in equilibrium, all agents freely opt for strictly positive own coverage, competitive models of asymmetric information predict a positive relationship between coverage and ex post risk (accident probability). On the other hand, some recent empirical studies find either negative or no...

This paper presents a general equilibrium analysis on the interactions between pension plan funding, capital structure, technology choice and the equity premium. The paper shows that economies with large funded defined pension schemes may be biased towards safe production. The pricipal results...

For a large number of companies from different countries, we analyze how company corporate governance practices and country regulatory regimes interact in terms of company valuation. We confirm that corporate governance plays a crucial role in efficient company monitoring and shareholder...

This essay describes the current debate on reforming Social Security in the US, along with a brief description of how the program works. Along the way it comments on the quality of some reform proposals as well as their political standing. Where issues are similar, some inferences are drawn for...