Discovery Projects - Grant ID: DP200101550

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP200101550

Funding Status
Active

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Funded Activity Summary

Fair pricing of superannuation guaranteed benefits with downturn risk. Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect the income stream of retirees. This project aims to develop a novel approach to fair pricing and optimal withdrawals and surrender policies for superannuation guaranteed benefit products through a comprehensive analysis of complex optimisation problems in stochastic models of financial markets with downturn risk.

Funded Activity Details

Start Date: 01-07-2020

End Date: 31-12-2024

Funding Scheme: Discovery Projects

Funding Amount: $390,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Financial Mathematics | Stochastic Analysis and Modelling | Statistics |

ANZSRC Socio-Economic Objective (SEO)

Expanding Knowledge in Economics | Expanding Knowledge in the Mathematical Sciences

Other Keywords

Expanding Knowledge in Economics | Expanding Knowledge in the Mathematical Sciences | Financial Mathematics | Statistics | Stochastic Analysis and Modelling

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