Measuring investors historical returns: hindsight bias in dollar-weighted returns

In this paper we show that this approach is affected by hindsight bias in the dollar-weighted return.

Updated: 03/11/2011
Comments:
Views: 3,747

Downside risk and the size of credit spreads

We use a panel of investment-grade corporate bonds to investigate why credit spreads are so much larger than expected losses from default. We begin by confirming that systematic factors contribute very little to spreads, even if higher moments or downside effects are incorporated.

Updated: 24/10/2011
Comments:
Views: 5,451

Longevity hedging: a framework for longevity basis risk analysis and hedge effectiveness

Author(s):

Guy Coughlan

 et al.

Basis risk is an important consideration when hedging longevity risk with instruments based on longevity indices, since the longevity experience of the hedged exposure may differ from that of the index.

Updated: 22/12/2014
Comments: 6
Views: 5,784

Making the most of experience data – an augmented beta-binomial approach

In this paper I propose an augmentation to the beta-binomial approach which not only allows for the information contained in ages near to the age under analysis, but also for variation in risk types across the different ages.

Updated: 22/09/2011
Comments:
Views: 4,197

Making the most of experience data – an augmented beta-binomial approach

In this paper I propose an augmentation to the beta-binomial approach which not only allows for the information contained in ages near to the age under analysis, but also for variation in risk types across the different ages.

Updated: 22/09/2011
Comments:
Views: 4,197

Back to the future: a long term solution to the occupational pensions crisis

Author(s):

DC schemes have some substantial weaknesses, and a continuation of current policies will probably lead to another pensions crisis in a few decades.

Updated: 22/09/2011
Comments:
Views: 4,319

Ending compulsory annuitisation: what are the consequences?

The report highlights the consequences of the Government's proposal to end the requirement for pension scheme members to purchase annuities by the age of 75.

Updated: 20/12/2014
Comments: 7
Views: 8,994

Annuity choices for pensioners

The trend towards defined-contribution pension provision in the UK seems to be irreversible. Most private sector employers with defined-benefit schemes have either closed them to new entrants or wound them up. Virtually all new scheme established have been defined contribution, and the introduction of the government-mandated National Employment Savings Trust will increase the number of workers with defined-contribution benefits.

Updated: 22/09/2011
Comments:
Views: 4,279

Annuity choices for pensioners

The trend towards defined-contribution pension provision in the UK seems to be irreversible. Most private sector employers with defined-benefit schemes have either closed them to new entrants or wound them up. Virtually all new scheme established have been defined contribution, and the introduction of the government-mandated National Employment Savings Trust will increase the number of workers with defined-contribution benefits.

Updated: 22/09/2011
Comments:
Views: 4,279