Shadow treasurer Joe Hockey has committed a future Coalition government to a review of the whole range of Australian welfare payments.

Speaking in London after a meeting with Britain's chancellor of the exchequer George Osborne - who has overseen the Conservative government's unpopular spending cuts - Mr Hockey warned that Western governments had created welfare systems they can no longer afford.

His comments came in a speech, titled 'The End of the Age of Entitlement', which he delivered to an audience of policymakers in the British capital.

Speaking to Lateline, he said that Australia needed to scale back the size of its welfare bill to strengthen the national finances.

But he declined to say which benefits would be put on the fiscal chopping block.

"We are all living longer, and the longer we rely on government handouts, the greater the burden for taxpayers and particularly those that follow," he told Lateline.

"We need to be vigilant. We need to compare ourselves with our Asian neighbours, where the entitlements programs of the state are far less than they are in Australia.

"If we talk about the Asian century ... then the Asian countries are our competition, our children's competition.

"Hong Kong is our direct competition, as is Singapore, as is Korea in different ways, Vietnam, Indonesia."

"Western nations are in financial trouble, and they're in financial trouble because, like a bad parent, over the years they have always said to voters, 'You can have what you want'," he added.

"And, sooner or later, it comes to an end when the burden of debt starts to cripple their economies.

"When you look at Europe in particular, and France in particular, nearly 30 per cent of GDP is going towards public welfare and health care and pension costs.

"That compares with other countries in Europe which are between 20 and 30 per cent. Australia is at 16 per cent, Korea at about 10 per cent. So, obviously the age of entitlement is coming to an end because governments are running out of money and the debt is now crippling governments."

In his London speech, Mr Hockey said "all government-funded pensions and other such payments must be means tested so that people who do not need them do not get them."

But he said that principle would not apply to issues like the means testing of private health insurance rebates.

"The Private Health Insurance Rebate is entirely different to an aged care pension or a disability pension or other pensions," he told Lateline.

"And in Australia we have come a long way. We have introduced means testing over a number of years, whereas here in the United Kingdom and in the rest of Europe, the entitlement system in many areas is not means tested. And therefore we are ahead of these countries."

"If you reduce or remove the private health insurance rebate, you are simply pushing more people onto the public hospital system, which means they have an entitlement to universal health care, which means that the entitlement system grows.

"So sometimes governments actually have to spend money to reduce the overall cost to taxpayers of a universal entitlement."