1.
Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits
UNSW Business School Research Paper Forthcoming
Number of pages: 43
Posted: 10 Jul 2020
Working Paper Series
Université Libre de Bruxelles (ULB) - Department of Mathematics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, KPMG and UNSW Australia
Downloads
17
2.
A Counterexample to the Central Limit Theorem for Pairwise Independent Random Variables Having a Common Absolutely Continuous Arbitrary Margin
UNSW Business School Research Paper Forthcoming
Number of pages: 18
Posted: 27 Mar 2020
Working Paper Series
University of Melbourne - Centre for Actuarial Studies, UNSW Sydney, Université Montpellier II and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
24
3.
A Statistical Methodology for Assessing the Maximal Strength of Tail Dependence
Number of pages: 29
Posted: 23 Mar 2020
Last Revised: 18 May 2020
Working Paper Series
University of Western Ontario, Wuhan University and University of Western Ontario
Downloads
53
4.
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
26
5.
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
32
6.
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
University of Melbourne - Centre for 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
32
7.
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
15
8.
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
University of Melbourne - Centre for 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
70
9.
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
University of Melbourne - Centre for 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
33
10.
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
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
28
11.
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
University of Melbourne - Centre for 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
27
12.
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
19
13.
Tree-based Models for Variable Annuity Valuation: Parameter Tuning and Empirical Analysis
Number of pages: 32
Posted: 28 Sep 2018
Last Revised: 07 Jul 2020
Working Paper Series
University of Connecticut - Department of Mathematics, University of Connecticut and University of Connecticut - Department of Mathematics
Downloads
88
14.
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
15
15.
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
There are 2 versions of this paper
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
Downloads
79
Market Price of Longevity Risk for a Multi‐Cohort Mortality Model with Application to Longevity Bond Option Pricing
Journal of Risk and Insurance, Vol. 87, Issue 3, pp. 571-595, 2020
Number of pages: 25
Posted: 30 Sep 2020
Downloads
79
16.
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
25
17.
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
91
18.
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
67
19.
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
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
44
20.
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
69
21.
Common Shock Models for Claim Arrays
UNSW Business School Research Paper No. 2016ACTL07
Number of pages: 27
Posted: 14 Dec 2016
Working Paper Series
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
72
22.
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
48
23.
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
University of Melbourne - Centre for Actuarial Studies, University of Copenhagen and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
46
24.
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
University of Melbourne - Centre for 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
25.
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
University of Melbourne - Centre for 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
128
26.
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
75
27.
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
48
28.
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
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads
124
29.
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
30.
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
31.
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
30
32.
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
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
69
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
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
48
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
24
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
13
Downloads
24
34.
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
108
35.
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
256
36.
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
183
37.
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
University of Melbourne - Centre for Actuarial Studies, University of Montreal - Department of Mathematics and Statistics and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
82
38.
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
37
39.
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
68
40.
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
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
304
41.
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
150
42.
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
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
97
43.
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
52
44.
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
71
45.
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
63
46.
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
83
47.
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
133
48.
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
73
49.
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
50.
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
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.