1.
Inference of Counts Using Markov-Modulated Non-Homogeneous Poisson Processes
UNSW Business School Research Paper No. 2019ACTL01
Number of pages: 25
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 UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
20
2.
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
9
3.
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: 22 Mar 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
17
4.
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
16
5.
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
9
6.
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
38
7.
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
University of New South Wales (UNSW) - School of Actuarial Studies
Downloads
36
8.
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
11
9.
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
52
10.
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
21
11.
Pricing Bounds and Bang-Bang Analysis of the Polaris Variable Annuities
Number of pages: 54
Posted: 25 Oct 2017
Last Revised: 30 Aug 2018
Working Paper Series
University of Waterloo and University of Waterloo
Downloads
69
12.
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
30
13.
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
39
14.
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
University of New South Wales (UNSW) - School of Actuarial Studies, Independent and AIG International, Inc.
Downloads
37
15.
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
58
16.
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
71
17.
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
38
18.
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
41
19.
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
18
20.
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
117
21.
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
68
22.
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
42
23.
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
113
24.
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
Department of Economics, Econometrics and Finance and Catholic University of Louvain
Downloads
27
25.
Mortality Heterogeneity and Systematic Mortality Improvement
UNSW Business School Research Paper No. 2015ACTL23
Number of pages: 35
Posted: 10 Dec 2015
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 and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
67
26.
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
27.
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
28.
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, 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
33
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
21
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
9
Downloads
21
29.
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
96
30.
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
193
31.
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
166
32.
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
70
33.
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
33
34.
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
58
35.
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
262
36.
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
143
37.
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
93
38.
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
49
39.
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
62
40.
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
58
41.
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
72
42.
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
117
43.
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
44.
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
29
45.
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
37
46.
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 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
85
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
85
47.
Optimal Annuity Purchases for Australian Retirees
UNSW Australia Business School Research Paper No. 2014ACTL06
Number of pages: 28
Posted: 03 Sep 2014
Working Paper Series
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Sydney Business School and UNSW Sydney, CEPAR
There are 2 versions of this paper
Optimal Annuity Purchases for Australian Retirees
UNSW Australia Business School Research Paper No. 2014ACTL06
Number of pages: 28
Posted: 03 Sep 2014
Downloads
59
Optimal Annuity Purchases for Australian Retirees
Economic Record, Vol. 91, Issue 293, pp. 139-154, 2015
Number of pages: 16
Posted: 05 Jun 2015
Downloads
59
48.
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
Number of pages: 32
Posted: 04 Jul 2014
Last Revised: 28 Sep 2015
Accepted Paper Series
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
Downloads
115
49.
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
175
50.
Lifetime Asset Allocation with Idiosyncratic and Systematic Mortality Risks
UNSW Australian School of Business Research Paper No. 2014ACTL04
Number of pages: 27
Posted: 23 Apr 2014
Last Revised: 30 Apr 2014
Working Paper Series
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
Downloads
85
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