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Date Posted: November 13, 2009
Last Revised: November 20, 2009
Working Paper Series
16 downloads

Deterministic Asset Liability Management with Geometric Interpretations
UNSW Australian School of Business Research Paper No. 2009ACTL11
Changki Kim
The University of New South Wales - Australian School of Business
Date Posted: November 1, 2009
Last Revised: November 4, 2009
Working Paper Series
16 downloads

The Motivations and the Disclosure Effects of Parent: Subsidiary Mergers in Korea
UNSW Australian School of Business Research Paper No. 2009ACTL10
Changki Kim , Kyung-shik Cho and Heonyong Jung
The University of New South Wales - Australian School of Business , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: October 1, 2009
Last Revised: October 7, 2009
Working Paper Series
12 downloads

Forced Savings and Annuitisation with Cross-Subsidies: A Mutation of the Beast
UNSW Australian School of Business Research Paper No. 2009ACTL09
Benjamin Avanzi and Sachi Purcal
Australian School of Business at UNSW and University of New South Wales - School of Actuarial Studies
Date Posted: September 3, 2009
Last Revised: November 12, 2009
Working Paper Series
26 downloads

Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility
UNSW Australian School of Business Research Paper No. 2009ACTL08
Michael Sherris and Carolyn Njenga
University of New South Wales - School of Actuarial Studies and University of New South Wales - School of Actuarial Studies
Date Posted: August 20, 2009
Last Revised: August 27, 2009
Working Paper Series
58 downloads

A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds
Australian School of Business Research Paper No. 2009ACTL07
Bernard Wong and Andrew Lim
University of New South Wales - School of Actuarial Studies and University of California, Berkeley
Date Posted: August 14, 2009
Last Revised: November 6, 2009
Working Paper Series
64 downloads

Economic Scenario Generation with Regime Switching Models
UNSW Australian School of Business Research Paper No. 2009ACTL05
Michael Sherris and Boqi Zhang
University of New South Wales - School of Actuarial Studies and affiliation not provided to SSRN
Date Posted: August 11, 2009
Last Revised: August 11, 2009
Working Paper Series
63 downloads

What is It that Makes the Swiss Annuitize? A Description of the Swiss Retirement System
UNSW Australian School of Business Research Paper No. 2009ACTL06
Benjamin Avanzi
Australian School of Business at UNSW
Date Posted: May 20, 2009
Last Revised: September 1, 2009
Working Paper Series
77 downloads

Annuities Under Changes in Life Tables and Changes in the Interest III or, Premium Increases When Interest Decreases
Abraham Zaks
Technion-Israel Institute of Technology - Faculty of Mathematics
Date Posted: March 28, 2009
Last Revised: September 3, 2009
Working Paper Series
27 downloads

Pricing and Hedging Synthetic CDO Tranche Spread Risks
UNSW Australian School of Business Research Paper No. 2009ACTL04
Michael Sherris and Jack Jie Ding
University of New South Wales - School of Actuarial Studies and University of New South Wales - School of Actuarial Studies
Date Posted: March 18, 2009
Last Revised: April 1, 2009
Working Paper Series
249 downloads

Motor Insurance Loss Rate Options and Swaps
UNSW Australian School of Business Research Paper No. 2009ACTL03
Changki Kim and Taehan Bae
The University of New South Wales - Australian School of Business and affiliation not provided to SSRN
Date Posted: February 26, 2009
Last Revised: February 26, 2009
Working Paper Series
61 downloads

Securitization of Longevity Risks Using Percentile Tranche Methods
UNSW Australian School of Business Research Paper No. 2009ACTL02
Changki Kim and Yangho Choi
The University of New South Wales - Australian School of Business and University of Connecticut - Department of Mathematics
Date Posted: February 26, 2009
Last Revised: February 26, 2009
Working Paper Series
50 downloads

Extending the Basel II Approach to Estimate Capital Requirements for Equity Investments
UNSW Australian School of Business Research Paper No. 2009ACTL01
Mark Johnston
University New South Wales
Date Posted: February 4, 2009
Last Revised: February 6, 2009
Working Paper Series
111 downloads

A Note on an Extension of the Vector Stochastic Integral and Stochastic Exponential Representation
UNSW Australian School of Business Research Paper No. 2008ACTL18
Bernard Wong
University of New South Wales - School of Actuarial Studies
Date Posted: December 17, 2008
Last Revised: August 11, 2009
Working Paper Series

The Impacts of Guaranteed Minimum Death Benefit Options on the Profit Margins of Unit Linked Products
UNSW Australian School of Business Research Paper No. 2008ACTL19
Changki Kim
The University of New South Wales - Australian School of Business
Date Posted: December 17, 2008
Last Revised: December 17, 2008
Working Paper Series
48 downloads

On Modelling Long Term Stock Returns with Ergodic Diffusion Processes: Arbitrage and Arbitrage-Free Specifications
UNSW Australian School of Business Research Paper No. 2008ACTL17
Bernard Wong
University of New South Wales - School of Actuarial Studies
Date Posted: November 19, 2008
Last Revised: November 19, 2008
Working Paper Series
32 downloads

Explicit Construction of Stochastic Exponentials with Arbitrary Expectation K$/In$(0,1)
UNSW Australian School of Business Research Paper No. 2008ACTL15
Bernard Wong
University of New South Wales - School of Actuarial Studies
Date Posted: November 15, 2008
Last Revised: November 15, 2008
Working Paper Series
15 downloads

Anthony: Absolute Actuarial Tables
Tax Notes, Vol. 121, No. 4, 2008
Wendy C. Gerzog
University of Baltimore - School of Law
Date Posted: October 29, 2008
Last Revised: October 29, 2008
Accepted Paper Series
72 downloads

On Differentiability of Ruin Functions under Markov-Modulated Models
Australian School of Business Research Paper No. 2008ACTL12
Jinxia Zhu and Hailiang Yang
Actuarial Studies, The Australian School of Business, Univeristy of New South Wales and affiliation not provided to SSRN
Date Posted: September 9, 2008
Last Revised: September 19, 2008
Working Paper Series
29 downloads

The Relationship between Social Rating Factors and Stock Returns
Australian School of Business Research Paper No. 2008ACTL14
John R. Evans , David Gallagher and Dinusha Peiris
University of New South Wales - Australian School of Business , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: September 9, 2008
Last Revised: September 9, 2008
Working Paper Series
144 downloads

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