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SSRN eLibrary Search Results
Evolutionary Hierarchical Credibility
UNSW Business School Research Paper No. 2016ACTL08
Greg Taylor
UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: December 21, 2016
Last Revised: January 27, 2017
Working Paper Series
12 downloads
Common Shock Models for Claim Arrays
UNSW Business School Research Paper No. 2016ACTL07
Benjamin Avanzi, Greg Taylor and Bernard Wong
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
Date Posted: December 14, 2016
Working Paper Series
40 downloads
Gaussian Process Models for Mortality Rates and Improvement Factors
Michael Ludkovski, James Risk and Howard Zail
University of California, Santa Barbara, University of California, Santa Barbara - Statistics & Applied Probablity and Elucidor, LLC
Date Posted: August 31, 2016
Working Paper Series
19 downloads
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
Benjamin Avanzi, Lars Frederik Brandt Henriksen and Bernard Wong
UNSW Australia Business School, School of Risk and Actuarial Studies, University of Copenhagen and UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: August 17, 2016
Last Revised: December 16, 2016
Working Paper Series
30 downloads
On Optimal Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Lévy Processes
UNSW Business School Research Paper No. 2016ACTL05
Benjamin Avanzi, José-Luis Pérez, Bernard Wong and Kazutoshi Yamazaki
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
Date Posted: July 07, 2016
Working Paper Series
14 downloads
Stochastic Loss Reserving with Dependence: A Flexible Multivariate Tweedie Approach
UNSW Business School Research Paper No. 2016ACTL01
Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong
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
Date Posted: April 04, 2016
Last Revised: July 14, 2016
Working Paper Series
75 downloads
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
Zixi Li, Adam Wenqiang Shao and Michael Sherris
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
Date Posted: February 13, 2016
Working Paper Series
35 downloads
Optimal Withdrawal Rate Under Longevity Risks: A Criterion for Life Planning after Retirement
Masamichi Sato
Dai Nippon Printing Co., Ltd.
Date Posted: January 03, 2016
Last Revised: January 04, 2016
Working Paper Series
31 downloads
A Micro-Level Claim Count Model with Overdispersion and Reporting Delays
UNSW Business School Research Paper No. 2015ACTL25
Benjamin Avanzi, Bernard Wong and Xinda Yang
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
Date Posted: January 02, 2016
Working Paper Series
78 downloads
Guarantee Valuation in Notional Defined Contribution Pension Systems
ASTIN Bulletin, vol. 46, pp. 677-707, DOI: org/10.1017/asb.2016.21
Jennifer Alonso-García and Pierre Devolder
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and Catholic University of Louvain
Date Posted: December 10, 2015
Last Revised: February 10, 2017
Accepted Paper Series
21 downloads
Mortality Heterogeneity and Systematic Mortality Improvement
UNSW Business School Research Paper No. 2015ACTL23
Mengyi Xu, Michael Sherris and Ramona Meyricke
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 and UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: December 10, 2015
Working Paper Series
36 downloads
Existence and Uniqueness of Chain Ladder Solutions
7th Australasian Actuarial Education and Research Symposium, UNSW Business School Research Paper No. 2015ACTL18
Greg Taylor
UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: December 03, 2015
Last Revised: March 29, 2016
Working Paper Series
24 downloads
A Note on Realistic Dividends in Actuarial Surplus Models
UNSW Business School Research Paper No. 2015ACTL20
Benjamin Avanzi, Vincent Tu and Bernard Wong
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
Date Posted: November 19, 2015
Last Revised: August 04, 2016
Working Paper Series
62 downloads
Family, Friends and Framing: A Cross-Country Study of Subjective Survival Expectations
UNSW Business School Research Paper No. 2015ACTL19
Federica Teppa, Susan Thorp and Hazel Bateman
De Nederlandsche Bank, University of Sydney Business School and University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation
Date Posted: October 31, 2015
Last Revised: November 02, 2015
Working Paper Series
20 downloads
ERM in an Optimal Control Framework
UNSW Business School Research Paper No. 2015ACTL17
Greg Taylor
UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: October 31, 2015
Working Paper Series
75 downloads
Probability of Sufficiency of Solvency II Reserve Risk Margins: Practical Approximations
Revised version submitted to ASTIN Bulletin. Earlier version of the paper was presented at ASTIN Colloquium, Sydney 2015
Eric Dal Moro and Yuriy Krvavych
SCOR Global P&C SE Reinsurance (Zurich Branch) and PricewaterhouseCoopers LLP
Date Posted: September 10, 2015
Last Revised: January 20, 2017
Accepted Paper Series
106 downloads
Pension Fund Efficiency: An International Comparison of Australian Performance
UNSW Business School Research Paper No. 2015ACTL16
Hazel Bateman and Nicholas Morris
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation and University of New South Wales (UNSW) - Faculty of Law
Date Posted: August 22, 2015
Working Paper Series
108 downloads
Is Gamma Frailty a Good Model? Evidence from Canadian Pension Funds
UNSW Business School Research Paper No. 2015ACTL15
Benjamin Avanzi, Claudia Gagné and Vincent Tu
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
Date Posted: August 06, 2015
Working Paper Series
61 downloads
An Empirical Investigation of the Value of Finalisation Count Information to Loss Reserving
UNSW Business School Research Paper No. 2015ACTL21
Greg Taylor and Jing Xu
UNSW Australia Business School, School of Risk & Actuarial Studies and National University of Singapore (NUS)
Date Posted: June 06, 2015
Last Revised: January 15, 2016
Working Paper Series
22 downloads
The Application of Affine Processes in Multi-Cohort Mortality Model
UNSW Business School Research Paper No. 2015ACTL13
Yajing Xu, Michael Sherris and Jonathan Ziveyi
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
Date Posted: May 07, 2015
Working Paper Series
43 downloads
Correlations between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations
UNSW Business School Research Paper No. 2015ACTL11
Benjamin Avanzi, Greg Taylor and Bernard Wong
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
Date Posted: April 24, 2015
Last Revised: January 21, 2016
Working Paper Series
211 downloads
Immunization and Hedging of Longevity Risk
UNSW Business School Research Paper No. 2015ACTL12
Changyu Estelle Liu and Michael Sherris
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
Date Posted: April 23, 2015
Working Paper Series
122 downloads
On the Interface between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs
UNSW Business School Research Paper No. 2015ACTL10
Benjamin Avanzi, Vincent Tu and Bernard Wong
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
Date Posted: April 01, 2015
Last Revised: May 19, 2015
Working Paper Series
86 downloads
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
Katja Ignatieva and Zinoviy Landsman
University of New South Wales - Australian School of Business and University of Haifa, Department of Statistics
Date Posted: March 13, 2015
Last Revised: September 30, 2015
Working Paper Series
42 downloads
A Hybrid Model for Pricing and Hedging of Long Dated Bonds
UNSW Business School Research Paper No. 2015ACTL06
Jan F. Baldeaux, Man Chung Fung, Katja Ignatieva and Eckhard Platen
University of Technology, Sydney, CSIRO, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: March 13, 2015
Last Revised: September 30, 2015
Working Paper Series
55 downloads
Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market
UNSW Business School Research Paper No. 2015ACTL05
José Da Fonseca, Katja Ignatieva and Jonathan Ziveyi
Auckland University of Technology - Faculty of Business & Law, University of New South Wales - Australian School of Business and UNSW Australia
Date Posted: March 13, 2015
Last Revised: October 01, 2015
Working Paper Series
52 downloads
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
UNSW Business School Research Paper No. 20015ACTL04
Man Chung Fung, Katja Ignatieva and Michael Sherris
CSIRO, 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
Date Posted: March 12, 2015
Working Paper Series
60 downloads
Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance
UNSW Business School Research Paper No. 2015ACTL03
Adam Wenqiang Shao, Michael Sherris and Joelle H. Fong
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 SIM University
Date Posted: March 06, 2015
Working Paper Series
98 downloads
A Value Based Cohort Index for Longevity Risk Management
UNSW Business School Research Paper No. 2015ACTL02
Yang Chang and Michael Sherris
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
Date Posted: February 26, 2015
Working Paper Series
59 downloads
A Multivariate Tweedie Lifetime Model: Censoring and Truncation
UNSW Business School Research Paper No. 2015ACTL01
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
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
Date Posted: January 17, 2015
Working Paper Series
26 downloads
A Multivariate Forward-Rate Mortality Framework
UNSW Business School Research Paper No. 2014ACTL08
Daniel H. Alai, Katja Ignatieva and Michael Sherris
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
Date Posted: December 18, 2014
Last Revised: January 02, 2015
Working Paper Series
30 downloads
Individual Capability and Effort in Retirement Benefit Choice
UNSW Australia Business School Research Paper No. 2014ACTL07
Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp
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, University of Cambridge - Faculty of Economics and Politics and University of Sydney Business School
Date Posted: September 11, 2014
Working Paper Series
77 downloads
Optimal Annuity Purchases for Australian Retirees
UNSW Australia Business School Research Paper No. 2014ACTL06
Fedor Iskhakov, Susan Thorp and Hazel Bateman
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Sydney Business School and University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation
Date Posted: September 03, 2014
Working Paper Series
51 downloads
Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean Lévy Copulas
Forthcoming in Annals of Actuarial Science (2015)
, UNSW Australian School of Business Research Paper No. 2014ACTL05
Benjamin Avanzi, Jamie Tao, Bernard Wong and Xinda Yang
UNSW Australia Business School, School of Risk and Actuarial Studies, Westpac Bank, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Date Posted: July 04, 2014
Last Revised: September 28, 2015
Accepted Paper Series
104 downloads
Paths and Indices of Maximal Tail Dependence
ASTIN Bulletin: The Journal of the International Actuarial Association, Forthcoming
Edward Furman, Jianxi Su and Ricardas Zitikis
York University - Department of Mathematics and Statistics, Purdue University - Department of Statistics and University of Western Ontario - Department of Statistical and Actuarial Sciences
Date Posted: May 06, 2014
Last Revised: July 17, 2016
Accepted Paper Series
168 downloads
Lifetime Asset Allocation with Idiosyncratic and Systematic Mortality Risks
UNSW Australian School of Business Research Paper No. 2014ACTL04
Yang Shen and Michael Sherris
University of New South Wales (UNSW) - 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
Date Posted: April 23, 2014
Last Revised: April 30, 2014
Working Paper Series
66 downloads
On Optimal Periodic Dividend Strategies in the Dual Model with Diffusion
Insurance: Mathematics and Economics, Vol. 55C (2014), pp. 210-224
Benjamin Avanzi, Vincent Tu and Bernard Wong
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
Date Posted: March 28, 2014
Last Revised: April 01, 2015
Accepted Paper Series
52 downloads
Post Retirement Funding in Australia
Actuaries Institute Actuaries Summit, May 2013, UNSW Australian School of Business Research Paper No. 2014ACTL03
Anthony Asher, Patricia Berry, Andrew Boal, Mike Callan, Jules Gribble, Curtis Heaser, Jeff Humphries, Kelly Graham, Wade Matterson, Jim O'Donnell and Paul Scully
University of New South Wales (UNSW) - School of Actuarial Studies, Independent, Independent, Independent, Independent, Independent, Independent, Independent, Milliman, Inc, Jackson McDonald Lawyers and Independent
Date Posted: March 27, 2014
Working Paper Series
66 downloads
The Lifetime Harvesting Plan: Smoothed Annuities with Sharing of Mortality, and Averaging of Investment, Risks
Actuaries Institute Financial Services Forum, 2012, UNSW Australian School of Business Research Paper No. 2012ACTL22
Anthony Asher
University of New South Wales (UNSW) - School of Actuarial Studies
Date Posted: March 27, 2014
Working Paper Series
19 downloads
Developing a Harvesting Plan: Optimising Retirement Spending in the Face of Economic, Social and Personal Risk
19th Annual Colloquium of Superannuation Researchers, July 2011, Actuarial Society of South Africa Retirement Matters Seminar, June 2011, UNSW Australian School of Business Research Paper No. 2011ACTL14
Anthony Asher
University of New South Wales (UNSW) - School of Actuarial Studies
Date Posted: March 27, 2014
Working Paper Series
30 downloads
Default and Naïve Diversification Heuristics in Annuity Choice
UNSW Business School Research Paper No. 2015ACTL09
Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp
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, University of Cambridge - Faculty of Economics and Politics and University of Sydney Business School
Date Posted: March 17, 2014
Last Revised: March 18, 2015
Working Paper Series
71 downloads
The Implications of Complexity for Systemic Risk in the Superannuation System
UNSW Australian School of Business Research Paper No. 2014ACTL02
M. Scott Donald, Bruce Robert Arnold, Hazel Bateman, Ross P. Buckley and Kevin Liu
UNSW Law, University of Technology Sydney (UTS) - Faculty of Business, University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, University of New South Wales (UNSW) - Faculty of Law and School of Risk and Actuarial Studies, UNSW Business School | University of New South Wales, Australia
Date Posted: February 26, 2014
Working Paper Series
92 downloads
Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk
UNSW Australian School of Business Research Paper No. 2014ACTL01
Adam Wenqiang Shao, Katja Hanewald and Michael Sherris
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
Date Posted: February 11, 2014
Working Paper Series
187 downloads
Pension Reform in China: Racing Against the Demographic Clock
UNSW Australian School of Business Research Paper No. 2013ACTL22
Hazel Bateman and Kevin Liu
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
Date Posted: January 18, 2014
Last Revised: November 25, 2014
Working Paper Series
126 downloads
Individual Judgment and Trust Formation: An Experimental Investigation of Online Financial Advice
UNSW Australian School of Business Research Paper No. 2013ACTL21
Julie R. Agnew, Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan J. Louviere and Susan Thorp
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
Date Posted: December 20, 2013
Last Revised: September 15, 2014
Working Paper Series
268 downloads
Life Insurer Longevity Risk Management, Solvency and Shareholder Value
UNSW Australian School of Business Research Paper No. 2013ACTL20
Craig Blackburn, Katja Hanewald, Annamaria Olivieri and Michael Sherris
University of New South Wales (UNSW) - School of Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Parma - Dipartimento di Economia and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Date Posted: November 26, 2013
Last Revised: December 02, 2013
Accepted Paper Series
121 downloads
A Closed-Form Formula for the Skewness Estimation of Non-Life Reserve Risk Distribution
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Date Posted: October 24, 2013
Working Paper Series
44 downloads
Just Interested or Getting Involved? An Analysis of Superannuation Attitudes and Actions
UNSW Australian School of Business Research Paper No. 2013ACTL19
Hazel Bateman, J. Deetlefs, Loretti Dobrescu, Ben Newell, Andreas Ortmann and Susan Thorp
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, UNSW Australia Business School, School of Marketing, University of New South Wales, School of Economics, University of New South Wales (UNSW), UNSW Australia Business School, School of Economics and University of Sydney Business School
Date Posted: October 17, 2013
Last Revised: October 23, 2013
Working Paper Series
116 downloads
The Institute of Actuaries of Australia Part II Course: Some Observations
UNSW Australian School of Business Research Paper No. 2008ACTL13
John R. Evans
University of Wollongong - Sydney Business School
Date Posted: October 10, 2013
Working Paper Series
18 downloads
Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II
UNSW Australian School of Business Research Paper No. 2013ACTL18
Ramona Meyricke and Michael Sherris
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
Date Posted: September 24, 2013
Working Paper Series
222 downloads
