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 Independent
Downloads
791
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
688
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
559
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
524
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)
There are 2 versions of this paper
Financial Innovation for an Aging World
Pension Research Council
Number of pages: 52
Posted: 03 Aug 2006
Downloads
508
Financial Innovation for an Aging World
NBER Working Paper No. w12444
Number of pages: 48
Posted: 21 Aug 2006
Last Revised: 04 Jul 2010
Downloads
65
Downloads
508
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
506
7.
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, UNSW Sydney, CEPAR and University of Sydney Business School
Downloads
472
8.
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
437
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
401
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
385
11.
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
There are 2 versions of this paper
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
Downloads
371
Modelling Dependence in Insurance Claims Processes with Lévy Copulas
ASTIN Bulletin, Vol. 41, No. 2, pp. 575-609
Number of pages: 25
Posted: 03 Aug 2011
Last Revised: 06 Jan 2012
Downloads
125
Downloads
371
12.
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
370
13.
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 Independent
Downloads
369
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
361
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
341
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
There are 2 versions of this paper
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
Downloads
340
On a Mean Reverting Dividend Strategy with Brownian Motion
Insurance: Mathematics and Economics, Vol. 51, No. 2, pp. 229-238
Number of pages: 11
Posted: 13 Apr 2012
Last Revised: 17 May 2012
Downloads
71
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
340
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
There are 2 versions of this paper
Strategies for Dividend Distribution: A Review
North American Actuarial Journal, Vol. 13, No. 2, pp. 217-251
Number of pages: 44
Posted: 23 Jan 2009
Last Revised: 09 Sep 2009
Downloads
689
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
Downloads
320
Downloads
320
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, 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 and University of Sydney Business School
Downloads
311
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
310
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
Independent
Downloads
301
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
258
23.
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
252
24.
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
There are 2 versions of this paper
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
Downloads
252
Optimal Dividends and Capital Injections in the Dual Model with Diffusion
ASTIN Bulletin, Vol. 41, No. 2, pp. 611-644
Number of pages: 25
Posted: 25 Aug 2011
Last Revised: 06 Jan 2012
Downloads
91
Downloads
252
25.
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
251
26.
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
243
27.
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
242
28.
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
235
29.
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
There are 2 versions of this paper
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
Downloads
230
What is it that Makes the Swiss Annuitise? A Description of the Swiss Retirement System
Australian Actuarial Journal, Vol. 16, No. 2, pp. 135-162
Number of pages: 13
Posted: 23 Nov 2010
Last Revised: 12 Feb 2011
Downloads
193
Downloads
230
30.
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
216
31.
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
212
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
UNSW Sydney, CEPAR, 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
198
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
197
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
185
36.
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
184
37.
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
180
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
176
39.
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
174
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
172
41.
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
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
169
43.
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
UNSW Sydney, CEPAR, 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
168
44.
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
National University of Singapore, 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
165
45.
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
165
46.
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
156
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
150
48.
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
UNSW Sydney, CEPAR and School of Risk and Actuarial Studies, UNSW Business School | University of New South Wales, Australia
Downloads
150
49.
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
149
50.
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
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