1.
A Managed Volatility Investment Strategy for Pooled Annuity Products
UNSW Business School Research Paper Forthcoming
Number of pages: 28
Posted: 27 Sep 2019
Working Paper Series
UNSW Sydney, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads
13
2.
The Application of Affine Processes in Cohort Mortality Risk Models
UNSW Business School Research Paper Forthcoming
Number of pages: 28
Posted: 07 Sep 2019
Working Paper Series
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales (UNSW) and UNSW Australia
Downloads
22
3.
A Multivariate Evolutionary Generalised Linear Model Framework with Adaptive Estimation for Claims Reserving
UNSW Business School Research Paper No. 2019ACTL03
Number of pages: 36
Posted: 02 Jul 2019
Last Revised: 07 Jul 2019
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School - School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
22
4.
Impact of an Aggregation Tree Over the Skewness of the Final Risk Distribution
ASTIN colloquium 2019
Number of pages: 17
Posted: 07 May 2019
Accepted Paper Series
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads
14
5.
Modelling and Understanding Count Processes Through a Markov-Modulated Non-Homogeneous Poisson Process Framework
UNSW Business School Research Paper No. 2019ACTL01
Number of pages: 27
Posted: 04 Apr 2019
Last Revised: 12 Jul 2019
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
52
6.
A Multivariate Micro-Level Insurance Counts Model With a Cox Process Approach
UNSW Business School Research Paper No. 2019ACTL02
Number of pages: 24
Posted: 04 Apr 2019
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads
26
7.
Optimal Periodic Dividend Strategies for Spectrally Positive Lévy Risk Processes With Fixed Transaction Costs
UNSW Business School Research Paper No. 2018ACTL02
Number of pages: 33
Posted: 10 Jan 2019
Last Revised: 08 May 2019
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
24
8.
On Unbalanced Data and Common Shock Models in Stochastic Loss Reserving
UNSW Business School Research Paper No. 2018ACTL01
Number of pages: 29
Posted: 23 Dec 2018
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School - School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
24
9.
The Skewness of Bornhuetter-Ferguson
Number of pages: 13
Posted: 27 Nov 2018
Working Paper Series
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads
16
10.
Tree-Based Models for the Efficient Valuation of Large Variable Annuity Portfolios
Number of pages: 32
Posted: 28 Sep 2018
Working Paper Series
University of Connecticut - Department of Mathematics, University of Connecticut and University of Connecticut - Department of Mathematics
Downloads
60
11.
Regularized Regression for Reserving and Mortality Models
Asia-Pacific Journal of Risk and Insurance
Number of pages: 15
Posted: 09 Aug 2018
Last Revised: 27 Nov 2018
Accepted Paper Series
Columbia University
Downloads
45
12.
Loss Data Analysis with Maximum Entropy
In book: Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer. MAF 2018, DOI: 10.1007/978-3-319-89824-7
Number of pages: 5
Posted: 27 Apr 2018
Last Revised: 03 Nov 2018
Accepted Paper Series
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads
13
13.
Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing
UNSW Business School Research Paper
Number of pages: 38
Posted: 12 Feb 2018
Working Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
69
14.
Sample Dependence of Risk Premia
Number of pages: 19
Posted: 28 Nov 2017
Last Revised: 02 Nov 2018
Working Paper Series
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads
23
15.
Pricing Bounds and Bang-Bang Analysis of the Polaris Variable Annuities
Number of pages: 44
Posted: 25 Oct 2017
Last Revised: 15 Jul 2019
Working Paper Series
University of Waterloo and University of Waterloo
Downloads
86
16.
Usage-Based Insurance: The Concept and Study of Available Analyses
Wiadomości Ubezpieczeniowe 04/2016,
Number of pages: 16
Posted: 12 Oct 2017
Accepted Paper Series
Warsaw School of Economics
Downloads
38
17.
Optimal Dividends Under Erlang(2) Inter-Dividend Decision Times
UNSW Business School Research Paper No. 2017ACTL02
Number of pages: 33
Posted: 05 Jul 2017
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
41
18.
Parameter Reduction in Actuarial Triangle Models
Variance, Forthcoming, UNSW Business School Research Paper Forthcoming
Number of pages: 29
Posted: 26 Jun 2017
Last Revised: 08 Jan 2018
Accepted Paper Series
Columbia University, Independent and AIG International, Inc.
Downloads
47
19.
Evolutionary Hierarchical Credibility
UNSW Business School Research Paper No. 2016ACTL08
Number of pages: 33
Posted: 21 Dec 2016
Last Revised: 27 Jan 2017
Working Paper Series
UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
63
20.
Common Shock Models for Claim Arrays
UNSW Business School Research Paper No. 2016ACTL07
Number of pages: 27
Posted: 14 Dec 2016
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
72
21.
Gaussian Process Models for Mortality Rates and Improvement Factors
Number of pages: 27
Posted: 31 Aug 2016
Working Paper Series
University of California, Santa Barbara, University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity and Elucidor, LLC
Downloads
43
22.
On the Distribution of the Excedents of Funds with Assets and Liabilities in Presence of Solvency and Recovery Requirements
UNSW Business School Research Paper No. 2016ACTL03
Number of pages: 21
Posted: 17 Aug 2016
Last Revised: 16 Dec 2016
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, University of Copenhagen and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
44
23.
On Optimal Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Lévy Processes
UNSW Business School Research Paper No. 2016ACTL05
Number of pages: 28
Posted: 07 Jul 2016
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics, UNSW Australia Business School, School of Risk & Actuarial Studies and Kansai University - Department of Mathematics
Downloads
19
24.
Stochastic Loss Reserving with Dependence: A Flexible Multivariate Tweedie Approach
UNSW Business School Research Paper No. 2016ACTL01
Number of pages: 27
Posted: 04 Apr 2016
Last Revised: 14 Jul 2016
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School - School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
121
25.
The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multi-State Latent Factor Model for Transition Rates
UNSW Business School Research Paper No. 2016ACTL04
Number of pages: 33
Posted: 13 Feb 2016
Working Paper Series
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads
69
26.
Optimal Withdrawal Rate Under Longevity Risks: A Criterion for Life Planning after Retirement
Number of pages: 13
Posted: 03 Jan 2016
Last Revised: 04 Jan 2016
Working Paper Series
Dai Nippon Printing Co., Ltd.
Downloads
46
27.
A Micro-Level Claim Count Model with Overdispersion and Reporting Delays
UNSW Business School Research Paper No. 2015ACTL25
Number of pages: 24
Posted: 02 Jan 2016
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads
119
28.
Guarantee Valuation in Notional Defined Contribution Pension Systems
ASTIN Bulletin, vol. 46, pp. 677-707, DOI: org/10.1017/asb.2016.21
Number of pages: 30
Posted: 10 Dec 2015
Last Revised: 10 Feb 2017
Accepted Paper Series
Université Libre de Bruxelles (ULB) - Department of Mathematics and Catholic University of Louvain
Downloads
29
29.
Mortality Heterogeneity and Systematic Mortality Improvement
UNSW Business School Research Paper No. 2015ACTL23
Number of pages: 35
Posted: 10 Dec 2015
Working Paper Series
UNSW Sydney, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
71
30.
Existence and Uniqueness of Chain Ladder Solutions
7th Australasian Actuarial Education and Research Symposium, UNSW Business School Research Paper No. 2015ACTL18
Number of pages: 45
Posted: 03 Dec 2015
Last Revised: 29 Mar 2016
Working Paper Series
UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
29
31.
A Note on Realistic Dividends in Actuarial Surplus Models
UNSW Business School Research Paper No. 2015ACTL20
Number of pages: 9
Posted: 19 Nov 2015
Last Revised: 04 Aug 2016
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
68
32.
Family, Friends and Framing: A Cross-Country Study of Subjective Survival Expectations
UNSW Business School Research Paper No. 2015ACTL19
Number of pages: 36
Posted: 31 Oct 2015
Last Revised: 02 Nov 2015
Working Paper Series
De Nederlandsche Bank, The University of Sydney Business School and UNSW Sydney, CEPAR
There are 3 versions of this paper
Family, Friends and Framing: A Cross-Country Study of Subjective Survival Expectations
De Nederlandsche Bank Working Paper No. 491
Number of pages: 40
Posted: 04 Jan 2016
Downloads
39
Family, Friends and Framing: A Cross-Country Study of Subjective Survival Expectations
UNSW Business School Research Paper No. 2015ACTL19
Number of pages: 36
Posted: 31 Oct 2015
Last Revised: 02 Nov 2015
Downloads
23
Family, Friends and Framing: A Cross-Country Study of Subjective Survival Expectations
Netspar Discussion Paper No. 10/2015-076
Number of pages: 36
Posted: 19 Mar 2016
Downloads
11
Downloads
23
33.
ERM in an Optimal Control Framework
UNSW Business School Research Paper No. 2015ACTL17
Number of pages: 31
Posted: 31 Oct 2015
Working Paper Series
UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
102
34.
Probability of Sufficiency of Solvency II Reserve Risk Margins: Practical Approximations
ASTIN Bulletin, Cambridge University Press, 2017, DOI: 10.1017/asb.2017.12., Earlier version of the paper was presented at ASTIN Colloquium, Sydney 2015.
Number of pages: 51
Posted: 10 Sep 2015
Last Revised: 13 May 2018
Accepted Paper Series
SCOR Global P&C SE Reinsurance (Zurich Branch) and Guy Carpenter
Downloads
217
35.
Pension Fund Efficiency: An International Comparison of Australian Performance
UNSW Business School Research Paper No. 2015ACTL16
Number of pages: 44
Posted: 22 Aug 2015
Working Paper Series
UNSW Sydney, CEPAR and University of New South Wales (UNSW) - Faculty of Law
Downloads
177
36.
Is Gamma Frailty a Good Model? Evidence from Canadian Pension Funds
UNSW Business School Research Paper No. 2015ACTL15
Number of pages: 12
Posted: 06 Aug 2015
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, University of Montreal - Department of Mathematics and Statistics and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
74
37.
An Empirical Investigation of the Value of Finalisation Count Information to Loss Reserving
UNSW Business School Research Paper No. 2015ACTL21
Number of pages: 64
Posted: 06 Jun 2015
Last Revised: 15 Jan 2016
Working Paper Series
UNSW Australia Business School, School of Risk & Actuarial Studies and National University of Singapore (NUS)
Downloads
36
38.
The Application of Affine Processes in Multi-Cohort Mortality Model
UNSW Business School Research Paper No. 2015ACTL13
Number of pages: 36
Posted: 07 May 2015
Working Paper Series
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
63
39.
Correlations between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations
UNSW Business School Research Paper No. 2015ACTL11
Number of pages: 25
Posted: 24 Apr 2015
Last Revised: 21 Jan 2016
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
282
40.
Immunization and Hedging of Longevity Risk
UNSW Business School Research Paper No. 2015ACTL12
Number of pages: 39
Posted: 23 Apr 2015
Working Paper Series
School of Risk & Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads
146
41.
On the Interface between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs
UNSW Business School Research Paper No. 2015ACTL10
Number of pages: 27
Posted: 01 Apr 2015
Last Revised: 19 May 2015
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
94
42.
Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family
UNSW Business School Research Paper No. 2015ACTL07
Number of pages: 28
Posted: 13 Mar 2015
Last Revised: 30 Sep 2015
Working Paper Series
University of New South Wales - Australian School of Business and University of Haifa, Department of Statistics
Downloads
50
43.
A Hybrid Model for Pricing and Hedging of Long Dated Bonds
UNSW Business School Research Paper No. 2015ACTL06
Number of pages: 29
Posted: 13 Mar 2015
Last Revised: 30 Sep 2015
Working Paper Series
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads
63
44.
Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market
UNSW Business School Research Paper No. 2015ACTL05
Number of pages: 36
Posted: 13 Mar 2015
Last Revised: 01 Oct 2015
Working Paper Series
Auckland University of Technology - Faculty of Business & Law, University of New South Wales - Australian School of Business and UNSW Australia
Downloads
60
45.
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
UNSW Business School Research Paper No. 20015ACTL04
Number of pages: 29
Posted: 12 Mar 2015
Working Paper Series
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads
77
46.
Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance
UNSW Business School Research Paper No. 2015ACTL03
Number of pages: 49
Posted: 06 Mar 2015
Working Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and National University of Singapore
Downloads
124
47.
A Value Based Cohort Index for Longevity Risk Management
UNSW Business School Research Paper No. 2015ACTL02
Number of pages: 22
Posted: 26 Feb 2015
Working Paper Series
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads
72
48.
A Multivariate Tweedie Lifetime Model: Censoring and Truncation
UNSW Business School Research Paper No. 2015ACTL01
Number of pages: 27
Posted: 17 Jan 2015
Working Paper Series
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads
30
49.
A Multivariate Forward-Rate Mortality Framework
UNSW Business School Research Paper No. 2014ACTL08
Number of pages: 24
Posted: 18 Dec 2014
Last Revised: 02 Jan 2015
Working Paper Series
University of Kent, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads
38
50.
Individual Capability and Effort in Retirement Benefit Choice
UNSW Australia Business School Research Paper No. 2014ACTL07
Number of pages: 38
Posted: 11 Sep 2014
Working Paper Series
UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School
There are 2 versions of this paper
Individual Capability and Effort in Retirement Benefit Choice
UNSW Australia Business School Research Paper No. 2014ACTL07
Number of pages: 38
Posted: 11 Sep 2014
Downloads
89
Individual Capability and Effort in Retirement Benefit Choice
Journal of Risk and Insurance, Vol. 85, Issue 2, pp. 483-512, 2018
Number of pages: 30
Posted: 05 Jun 2018
Downloads
1
Downloads
89
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