Craig Blackburn

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

Sydney, NSW 2052

Australia

ARC Centre of Excellence in Population Ageing Research (CEPAR)

Research Fellow

Level 6, Central Lobby (enter via East Lobby)

Australian School of Business Building

Sydney, New South Wales NSW 2052

Australia

SCHOLARLY PAPERS

3

DOWNLOADS

487

CITATIONS

0

Scholarly Papers (3)

1.

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
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 168 (134,001)

Abstract:

Mortality risk, Deferred insurance products, European options, Laplace Transforms

2.

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
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 157 (148,284)

Abstract:

mortality model, longevity risk, multi-factor, affine, arbitrage-free, consistent, Kalman Filter, Swedish Mortality

3.

Life Insurer Longevity Risk Management, Solvency and Shareholder Value

UNSW Australian School of Business Research Paper No. 2013ACTL20
Number of pages: 34 Posted: 26 Nov 2013 Last Revised: 02 Dec 2013
University of New South Wales (UNSW) - School of Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Parma - Dipartimento di Economia and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 88 (192,286)

Abstract:

longevity risk, capital management, solvency, reinsurance, securitization