SSRN UNSW: Actuarial Studies (Topic)

1.

The Relationship between Environmental Social Governance Factors and Stock Returns

UNSW Australian School of Business Research Paper No. 2010ACTL02

Number of pages: 18 Posted: 07 Apr 2010

Working Paper Series

John R. Evans and Dinusha Peiris

University of Wollongong - Sydney Business School and ING Investment Management

There are 2 versions of this paper

Downloads 812

2.

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

Michael Sherris and Samuel Wills

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Independent

Downloads 759

3.

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

Michael Sherris and Jie Ding

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Macquarie University

Downloads 656

4.

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

Benjamin Avanzi, Isik Bicer, Suzanne de Treville and Lenos Trigeorgis

UNSW Australia Business School, School of Risk and Actuarial Studies, École Polytechnique Fédérale de Lausanne, University of Lausanne - Faculty of Business and Economics and University of Cyprus - Department of Public and Business Administration

Downloads 533

5.

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

Michael Sherris and Andrew Ngai

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and PricewaterhouseCoopers Australia

Downloads 499

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

Bernard Wong and Andrew Lim

UNSW Australia Business School, School of Risk & Actuarial Studies and National University of Singapore (NUS) - Department of Decision Sciences

Downloads 493

7.

Financial Innovation for an Aging World

Pension Research Council

Number of pages: 52 Posted: 03 Aug 2006

Working Paper Series

Olivia S. Mitchell, John Piggott, Michael Sherris and Shaun Yow

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

Downloads 490

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

Michael Sherris and Boqi Zhang

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 413

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

Michael Sherris and Carolyn Njenga

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 387

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

Michael Sherris and Elena Veprauskaite

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 354

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

Michael Sherris and Samuel Wills

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Independent

Downloads 351

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

Benjamin Avanzi, Luke Cameron Cassar and Bernard Wong

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

Downloads 348

13.

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

Michael Sherris and David Sun

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 341

14.

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

Katja Hanewald and Michael Sherris

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 337

15.

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

Benjamin Avanzi and Bernard Wong

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

Downloads 336

16.

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

Benjamin Avanzi and Hans Ulrich Gerber

UNSW Australia Business School, School of Risk and Actuarial Studies and University of Lausanne

Downloads 336

17.

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

Daniel H. Alai, Hua Chen, Daniel Wanhee Cho, Katja Hanewald and Michael Sherris

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 334

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

Benjamin Avanzi

UNSW Australia Business School, School of Risk and Actuarial Studies

There are 2 versions of this paper

Downloads 310

19.

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

Julie R. Agnew, Hazel Bateman 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 and University of Sydney Business School

Downloads 305

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

Daniel Wanhee Cho, Katja Hanewald and Michael Sherris

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 274

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

John R. Evans

University of Wollongong - Sydney Business School

Downloads 272

22.

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

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

Downloads 269

23.

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

Changki Kim

Korea University Business School (KUBS)

Downloads 248

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

Benjamin Avanzi, Jonathan Shen and Bernard Wong

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

Downloads 242

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

Mark Johnston

University of New South Wales (UNSW)

Downloads 237

26.

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

Michael Sherris and Dominic TP Ho Quang

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 232

27.

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

Benjamin Avanzi

UNSW Australia Business School, School of Risk and Actuarial Studies

There are 2 versions of this paper

Downloads 226

28.

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

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

Downloads 223

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

Anthony Asher

University of New South Wales (UNSW) - School of Actuarial Studies

Downloads 217

30.

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

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

Downloads 212

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: 02 Jul 2010

Working Paper Series

Simon Crawford-Ash and Sachi Purcal

affiliation not provided to SSRN and Macquarie University - Department of Actuarial Studies

Downloads 203

32.

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

Benjamin Avanzi and Sachi Purcal

UNSW Australia Business School, School of Risk and Actuarial Studies and Macquarie University - Department of Actuarial Studies

Downloads 191

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

Jonathan Ziveyi, Craig Blackburn and Michael Sherris

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 190

34.

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

Hazel Bateman, Jordan J. Louviere, Stephen E. Satchell, Towhidul Islam and Susan Thorp

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 189

35.

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

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

Downloads 187

36.

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

Craig Blackburn and Michael Sherris

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 171

37.

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

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

Downloads 168

38.

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

Daniel H. Alai and Michael Sherris

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 167

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

Michael Sherris and Carolyn Njenga

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 165

40.

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

Severine Arnold (-Gaille) and Michael Sherris

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 160

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

Hazel Bateman, Christine Eckert, John Geweke, 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 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 159

42.

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

Daniel H. Alai, Severine Arnold (-Gaille) and Michael Sherris

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 159

43.

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

Changki Kim

Korea University Business School (KUBS)

Downloads 159

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

Andy Wong, Michael Sherris and Ralph Stevens

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 University of New South Wales (UNSW) - School of Actuarial Studies

Downloads 150

45.

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

Changki Kim and Yangho Choi

Korea University Business School (KUBS) and University of Connecticut - Department of Mathematics

Downloads 149

46.

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

Changki Kim and Taehan Bae

Korea University Business School (KUBS) and affiliation not provided to SSRN

Downloads 148

47.

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

Joelle H. Fong, Adam Wenqiang Shao and Michael Sherris

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 148

48.

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

John R. Evans

University of Wollongong - Sydney Business School

Downloads 147

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

Severine Arnold (-Gaille) and Michael Sherris

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 144

50.

Investment Risk Framing and Individual Preference Consistency

UNSW Australian School of Business Research Paper No. 2010ACTL08

Number of pages: 39 Posted: 27 Aug 2010 Last Revised: 12 Apr 2011

Working Paper Series

Hazel Bateman, Christine Eckert, John Geweke, 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 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 127

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