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Macquarie University: Actuarial Studies (Topic)

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1,218 Total downloads

Viewing: 1 - 7 of 7 papers

1.

Optimal Life-Cycle Consumption and Investment Decisions Under Age-Dependent Risk Preferences

A. Lichtenstern, P.V.Shevchenko, R. Zagst (2020). Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Mathematics and Financial Economics. DOI 10.1007/s11579-020-00276-9.
Number of pages: 39 Posted: 21 Nov 2018 Last Revised: 31 Jul 2020
Accepted Paper Series
Technische Universität München (TUM) - Chair of Mathematical Finance, Macquarie University - Department of Actuarial Studies and Business Analytics and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 110
2.

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 28 Posted: 20 Jun 2018
Working Paper Series
University of California Santa Barbaraaffiliation not provided to SSRN, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia

Multiple version iconThere are 2 versions of this paper

Downloads 99
3.

Understanding Cyber-Risk and Cyber-Insurance

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 31 Posted: 20 Jun 2018
Working Paper Series
University of California Santa Barbaraaffiliation not provided to SSRN, Macquarie University - Department of Actuarial Studies and Business Analytics and Independent

Multiple version iconThere are 2 versions of this paper

Downloads 813
4.

A bias‑corrected Least‑Squares Monte Carlo for solving multi‑period utility models

Andréasson, J.G., Shevchenko, P.V. A bias-corrected Least-Squares Monte Carlo for solving multi-period utility models. European Actuarial Journal (2021). https://doi.org/10.1007/s13385-021-00288-9
Number of pages: 34 Posted: 20 Jun 2018 Last Revised: 02 May 2022
Accepted Paper Series
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics

Multiple version iconThere are 2 versions of this paper

Downloads 45
5.

Optimal Annuitisation, Housing Decisions and Means-Tested Public Pension in Retirement Under Expected Utility Stochastic Control Framework

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 30 Posted: 21 May 2018 Last Revised: 23 Dec 2018
Working Paper Series
University of Technology Sydney (UTS) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 42
6.

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 44 Posted: 17 Apr 2018 Last Revised: 22 Oct 2019
Working Paper Series
Commonwealth Bank of Australia, University of California Santa Barbaraaffiliation not provided to SSRN and Macquarie University - Department of Actuarial Studies and Business Analytics

Multiple version iconThere are 2 versions of this paper

Downloads 57
7.

Assessing Basis Risk for Longevity Transactions

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 143 Posted: 28 Nov 2017
Working Paper Series
Nanyang Business School, Nanyang Technological University, Macquarie University and Macquarie University
Downloads 52