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UNSW: Actuarial Studies (Topic)

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Viewing: 1 - 50 of 136 papers

1.

Securitization, Structuring and Pricing of Longevity Risk

UNSW Australian School of Business Research Paper No. 2008ACTL06
Number of pages: 33 Posted: 02 Jun 2008 Last Revised: 07 Nov 2011
Accepted Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Unaffiliated Authors - Independent
Downloads 783
2.

Pricing and Hedging Synthetic CDO Tranche Spread Risks

UNSW Australian School of Business Research Paper No. 2009ACTL04
Number of pages: 20 Posted: 18 Mar 2009 Last Revised: 01 Apr 2009
Working Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Macquarie University
Downloads 681
3.

Real Options at the Interface of Finance and Operations: Exploiting Embedded Supply Chain Real Options to Gain Competitiveness

European Journal of Finance, 2013, Volume 19, Issue 7-8, pages 760-778
Number of pages: 22 Posted: 11 Dec 2010 Last Revised: 07 Jul 2015
Accepted Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, Erasmus University Rotterdam (EUR) - Department of Technology and Operations Management, University of Lausanne - Faculty of Business and Economics and University of Cyprus - Department of Public and Business Administration
Downloads 548
4.

Longevity Risk Management for Life and Variable Annuities: Effectiveness of Static Hedging Using Longevity Bonds and Derivatives

UNSW Australian School of Business Research Paper No. 2010ACTL03
Number of pages: 39 Posted: 12 Apr 2010 Last Revised: 12 Mar 2012
Accepted Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and PricewaterhouseCoopers Australia
Downloads 519
5.

Financial Innovation for an Aging World

Pension Research Council
Number of pages: 52 Posted: 03 Aug 2006
Working Paper Series
University of Pennsylvania - The Wharton School, University of New South Wales (UNSW) - Australian School of Business, School of Economics, 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)

Multiple version iconThere are 2 versions of this paper

Downloads 504
6.

A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds

Australian School of Business Research Paper No. 2009ACTL07
Number of pages: 30 Posted: 14 Aug 2009 Last Revised: 07 Apr 2010
Working Paper Series
UNSW Australia Business School, School of Risk & Actuarial Studies and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 502
7.

Economic Scenario Generation with Regime Switching Models

UNSW Australian School of Business Research Paper No. 2009ACTL05
Number of pages: 32 Posted: 11 Aug 2009
Working Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and affiliation not provided to SSRN
Downloads 426
8.

Financial Literacy and Retirement Planning in Australian

UNSW Australian School of Business Research Paper No. 2012ACTL16
Number of pages: 23 Posted: 17 Jan 2013
Working Paper Series
College of William and Mary - Mason School of Business, University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation and University of Sydney Business School
Downloads 402
9.

Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility

UNSW Australian School of Business Research Paper No. 2009ACTL08
Number of pages: 41 Posted: 20 Aug 2009 Last Revised: 12 Apr 2011
Working Paper Series
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) - School of Actuarial Studies
Downloads 398
10.

An Analysis of Reinsurance Optimisation in Life Insurance

UNSW Australian School of Business Research Paper No. AIPAR 2012/2
Number of pages: 20 Posted: 26 Mar 2012
Working Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Bath - School of Management
Downloads 373
11.

Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications

UNSW Australian School of Business Research Paper No. 2008ACTL05
Number of pages: 24 Posted: 02 Jun 2008 Last Revised: 12 Apr 2011
Working Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Unaffiliated Authors - Independent
Downloads 361
12.

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

UNSW Australian School of Business Research Paper No. 2011ACTL01
Number of pages: 28 Posted: 04 Aug 2011
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 361
13.

Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

North American Actuarial Journal, Forthcoming
Number of pages: 49 Posted: 17 Jan 2013 Last Revised: 01 Apr 2014
Accepted Paper Series
University of Kent, Temple University - Risk Management & Insurance & Actuarial Science, 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 (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 357
14.

Risk Based Capital and Pricing for Reverse Mortgages Revisited

UNSW Australian School of Business Research Paper No. 2010ACTL04
Number of pages: 43 Posted: 13 Apr 2010 Last Revised: 12 Apr 2011
Working Paper Series
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) - School of Actuarial Studies
Downloads 355
15.

House Price Risk Models for Banking and Insurance Applications

UNSW Australian School of Business Research Paper No. 2011ACTL11
Number of pages: 37 Posted: 18 Nov 2011
Accepted Paper Series
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 340
16.

On a Mean Reverting Dividend Strategy with Brownian Motion

UNSW Australian School of Business Research Paper No. 2009ACTL12
Number of pages: 11 Posted: 13 Nov 2009 Last Revised: 20 Nov 2009
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 340
17.

Optimal Dividends in the Dual Model with Diffusion

UNSW Australian School of Business Research Paper No. 2008ACTL10
Number of pages: 24 Posted: 26 Aug 2008
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies and University of Lausanne
Downloads 339
18.

A Review of Modern Collective Risk Theory with Dividend Strategies

UNSW Australian School of Business Research Paper No. 2008ACTL09
Number of pages: 44 Posted: 21 Aug 2008 Last Revised: 06 Aug 2015
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 319
19.

Individual Judgment and Trust Formation: An Experimental Investigation of Online Financial Advice

UNSW Australian School of Business Research Paper No. 2013ACTL21
Number of pages: 38 Posted: 20 Dec 2013 Last Revised: 15 Sep 2014
Working Paper Series
College of William and Mary - Mason School of Business, University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 and University of Sydney Business School
Downloads 295
20.

Risk Management and Payout Design of Reverse Mortgages

UNSW Australian School of Business Research Paper No. 2013ACTL07
Number of pages: 34 Posted: 15 Mar 2013
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 (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 295
21.

Study of Australian Superannuation Fund Attitudes to Private Equity Investing

UNSW Australian School of Business Research Paper No. 2008ACTL02
Number of pages: 21 Posted: 18 May 2008 Last Revised: 12 Apr 2011
Working Paper Series
Unaffiliated Authors - Independent
Downloads 294
22.

Deterministic Asset Liability Management with Geometric Interpretations

UNSW Australian School of Business Research Paper No. 2009ACTL11
Number of pages: 20 Posted: 01 Nov 2009 Last Revised: 04 Nov 2009
Working Paper Series
Korea University Business School (KUBS)
Downloads 254
23.

Optimal Dividends and Capital Injections in the Dual Model with Diffusion

UNSW Australian School of Business Research Paper No. 2010ACTL15
Number of pages: 28 Posted: 15 Nov 2010
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 248
24.

Portfolio Selection for Insurance Linked Securities: An Application of Multiple Criteria Decision Making

UNSW Australian School of Business Research Paper No. AIPAR 2012/4
Number of pages: 30 Posted: 12 Mar 2012
Working Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Business School
Downloads 240
25.

Extending the Basel II Approach to Estimate Capital Requirements for Equity Investments

UNSW Australian School of Business Research Paper No. 2009ACTL01
Number of pages: 28 Posted: 04 Feb 2009 Last Revised: 06 Feb 2009
Working Paper Series
University of New South Wales (UNSW)
Downloads 239
26.

Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II

UNSW Australian School of Business Research Paper No. 2013ACTL18
Number of pages: 30 Posted: 24 Sep 2013
Working Paper Series
UNSW Australia Business School, 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 237
27.

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 236
28.

What is it That Makes the Swiss Annuitize? A Description of the Swiss Retirement System

UNSW Australian School of Business Research Paper No. 2009ACTL06
Number of pages: 13 Posted: 20 May 2009 Last Revised: 02 Mar 2010
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 230
29.

Developing Actuarial Judgement

UNSW Australian School of Business Research Paper No. 2013ACTL03
Number of pages: 34 Posted: 19 Jan 2013 Last Revised: 11 Apr 2016
Working Paper Series
University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 226
30.

Microinsurance: Insights from a Historical Approach

UNSW Australian School of Business Research Paper No. 2010ACTL06
Number of pages: 46 Posted: 28 Jun 2010 Last Revised: 11 Jan 2018
Working Paper Series
affiliation not provided to SSRN and Macquarie University - Department of Actuarial Studies
Downloads 210
31.

Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk

UNSW Australian School of Business Research Paper No. 2014ACTL01
Number of pages: 39 Posted: 11 Feb 2014
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 (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 203
32.

Retirement Investor Risk Tolerance in Tranquil and Crisis Periods: Experimental Survey Evidence

UNSW Australian School of Business Research Paper No. 2010ACTL10
Number of pages: 59 Posted: 25 Aug 2010 Last Revised: 12 Apr 2011
Working Paper Series
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics, University of Guelph - Department of Marketing and Consumer Studies and University of Sydney Business School
Downloads 194
33.

Pricing European Options on Deferred Annuities

UNSW Australian School of Business Research Paper No. AIPAR 2012/1
Number of pages: 39 Posted: 15 Feb 2012 Last Revised: 04 Feb 2013
Working Paper Series
UNSW Australia, University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 193
34.

On a Generalization of the World Bank Model of Retirement Savings: A Taxonomy of Systems with Two Cross-Subsidized Tiers

UNSW Australian School of Business Research Paper No. 2009ACTL09
Number of pages: 16 Posted: 03 Sep 2009 Last Revised: 10 Feb 2012
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies and Macquarie University - Department of Actuarial Studies
Downloads 192
35.

Consistent Dynamic Affine Mortality Models for Longevity Risk Applications

UNSW Australian School of Business Research Paper No. 2011ACTL08
Number of pages: 20 Posted: 09 May 2011 Last Revised: 14 Feb 2012
Accepted Paper Series
University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 178
36.

Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination

UNSW Australian School of Business Research Paper No. 2013ACTL08
Number of pages: 21 Posted: 15 Mar 2013 Last Revised: 28 Jan 2016
Working Paper Series
University of Kent, University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 174
37.

Modeling Mortality with a Bayesian Vector Autoregression

UNSW Australian School of Business Research Paper No. 2011ACTL04
Number of pages: 39 Posted: 08 Mar 2011 Last Revised: 12 Apr 2011
Working Paper Series
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) - School of Actuarial Studies
Downloads 173
38.

Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence

UNSW Australian School of Business Research Paper No. 2013ACTL02
Number of pages: 16 Posted: 17 Jan 2013 Last Revised: 31 Jan 2013
Working Paper Series
University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 171
39.

Rethinking Age-Period-Cohort Mortality Trend Models

UNSW Australian School of Business Research Paper No. 2011ACTL2009
Number of pages: 28 Posted: 13 May 2011 Last Revised: 02 Apr 2012
Accepted Paper Series
University of Kent and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 170
40.

Paths and Indices of Maximal Tail Dependence

ASTIN Bulletin: The Journal of the International Actuarial Association, Forthcoming
Number of pages: 20 Posted: 06 May 2014 Last Revised: 17 Jul 2016
Accepted Paper Series
York University - Department of Mathematics and Statistics, Purdue University - Department of Statistics and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 169
41.

Financial Competence, Risk Presentation and Retirement Portfolio Preferences

UNSW Australian School of Business Research Paper No. 2011ACTL03
Number of pages: 50 Posted: 08 Mar 2011 Last Revised: 12 Apr 2011
Working Paper Series
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, University of Technology Sydney (UTS) - School of Marketing, University of Technology Sydney - Economics Discipline Group, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and University of Sydney Business School
Downloads 164
42.

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
Number of pages: 15 Posted: 17 Dec 2008
Working Paper Series
Korea University Business School (KUBS)
Downloads 163
43.

Multi-State Actuarial Models of Functional Disability

UNSW Australian School of Business Research Paper No. 2013ACTL14
Number of pages: 33 Posted: 06 May 2013
Working Paper Series
SIM University, 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 156
44.

Managing Life Insurer Risk and Profitability: Annuity Market Development Using Natural Hedging Strategies

UNSW Australian School of Business Research Paper No. 2013ACTL04
Number of pages: 21 Posted: 24 Jan 2013
Working Paper Series
University of New South Wales (UNSW) - School of Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and CPB Netherlands Bureau of Economic Policy Analysis
Downloads 152
45.

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 PricewaterhouseCoopers LLP
Downloads 150
46.

Securitization of Longevity Risks Using Percentile Tranche Methods

UNSW Australian School of Business Research Paper No. 2009ACTL02
Number of pages: 26 Posted: 26 Feb 2009
Working Paper Series
Korea University Business School (KUBS) and University of Connecticut - Department of Mathematics
Downloads 149
47.

Motor Insurance Loss Rate Options and Swaps

UNSW Australian School of Business Research Paper No. 2009ACTL03
Number of pages: 25 Posted: 26 Feb 2009
Working Paper Series
Korea University Business School (KUBS) and affiliation not provided to SSRN
Downloads 148
48.

Age Patterns and Trends in Mortality by Cause of Death and Implications for Modeling Longevity Risk

UNSW Australian School of Business Research Paper No. 2010ACTL12
Number of pages: 22 Posted: 20 Oct 2010 Last Revised: 12 Apr 2011
Working Paper Series
University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 147
49.

Hedge Fund Survey of Australian Superfunds

UNSW Australian School of Business Research Paper No. 2008ACTL07
Number of pages: 20 Posted: 06 Jun 2008 Last Revised: 24 Apr 2014
Working Paper Series
Unaffiliated Authors - Independent
Downloads 147
50.

Pension Reform in China: Racing Against the Demographic Clock

UNSW Australian School of Business Research Paper No. 2013ACTL22
Number of pages: 23 Posted: 18 Jan 2014 Last Revised: 25 Nov 2014
Working Paper Series
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation and School of Risk and Actuarial Studies, UNSW Business School | University of New South Wales, Australia
Downloads 145