Target2 is the Eurozone's cross-border payment system and is mandatory for the settlement of euro transactions involving Eurozone central banks. It is being used to save the Eurozone from imploding. A key underlying problem is that the Eurozone does not satisfy the economic conditions for being...

We analyse the range of default funds offered by UK stakeholder pension schemes, against the background of research that shows the majority of pension scheme members passively accept the default arrangements offered by the scheme sponsor. We find the default funds vary substantially in their...

This Special Issue of the Insurance: Mathematics and Economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 15: The Fifteenth International Longevity Risk and Capital Markets...

This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance – have triumphed over capital markets...

PurposeTo portray the valuation of financial investments as mental time travel. Design/methodology/approachIn a series of thought investments, $1 invested in an investment fund is mentally projected forward in time and then discounted back to the present – with no objective time passing. The...

A Plan for a European Economic Community was developed at the University of Berlin in 1942. There are striking similarities with the European Economic Community that was introduced in 1957—and which became the foundation stone of the European Union. Particularly striking is the innate...

We establish 16 good practice principles for modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling member characteristics, such as occupation and...

We introduce a new modelling framework to explain socioeconomic differences in mortality in terms of an affluence index that combines information on individual wealth and income. The model is illustrated using data on older Danish males over the period 1985-2012 reported in the Statistics...

A particularly important issue in retirement income provision is longevity risk. There are two components to longevity risk. The first is the uncertainty over how long any particular pension scheme member is going to live after retirement. This is known as idiosyncratic longevity risk. Both...

This paper analyses the international equity holdings of a large panel of UK pension funds. We find considerable evidence of market timing activity, as illustrated by the funds' decision to scale back investments in the US stock market during the 1990s. To explain this, we jointly model...