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Mahmoud
Hamada
Email:
hamada.quant@gmail.com
PhD
Thesis Topic: Dynamic Portfolio Optimization and Asset
Pricing - Martingale Methods and Probability Distortion Functions
Supervisor: Prof.
Michael Sherris
Home Page: http://resume.al-hamada.com
Testimonial
In March
1999, I came from Paris to join the PhD program in Actuarial studies,
initiated by Prof Mike Sherris. The excitement of landing in Australia
was intensified by the idea of starting a new intellectual adventure
at UNSW.
The first year consisted of literature review, which took the form
of book reading (Pliska, Merton, Cochrane, Duffie...) organised
on a weekly basis, where each member of the school prepared a chapter
for discussion and presentation. That was a rewarding experience
that Mike established as a Friday ritual.
I started appreciating the taste of collecting papers related to
the topic "Dynamic asset allocation", and enjoyed putting
together pieces of the big puzzle. I admit it was not easy to hang
in when you feel lost in a citadel of great theories. It is exactly
at this point of time, when the guiding role of the supervisor becomes
crucial in the process. Thanks to multitude of conversations with
Mike, John van der Hoek, Sachi Purcal and Rob Womersley, the idea
of the thesis started getting clearer.
Mike also arranged for PhD students to attend the Quantitative Methods
in Finance conference. It was extremely useful to listen to
researchers talking about various topics in finance and to get familiar
with concepts and theories they try to analyse and build upon.
Like in an oil drilling project, I would sum the first year as an
exploration phase.
The second year was the digging phase! The areas where I could make
contribution started to emerge. A remarkable turning point in my
PhD was when Mike sent me a published paper about probability distortion
functions and said: "Mahmoud, this can't be right!". Recognising
Mike's strong intuition, I rolled up my sleeves and decided to have
a closer look. Six month later, together with Mike, we wrote a paper
that mathematically proved the theory, and pointed out some shortcomings
of its original generalisation. The paper was published in the Journal
of Applied Mathematical Finance.
So, towards the beginning of the third year, some nice outcomes
started emerging, which makes it an extraction phase. Research ideas
started having a form and flew into 3 essays that made up my thesis.
A major part of my achievement is attributed to the staff who succeeded
in creating the right scientific environment for a PhD program.
This comprises the international visitors program, school seminars,
sponsoring research presentation in conferences... Even walking
in the school corridor and running into Bindya smiling and willing
to help was really uplifting. I express my gratitude to them all.
With such nice environment, I was asking the question: "Could
anyone really fail?"
Indeed, after 2 years and 8 months I submitted a thesis which was
unconditionally accepted by 3 examiners from overseas. Is there
anyone willing to break the record"
Yuri
Krvavych
Email:
y.krvavych@lviv-actuaries.org
PhD
Thesis Topic: Insurer Risk Management and Optimal Reinsurance
Supervisor: Prof.
Michael Sherris
Home
page: http://www.geocities.com/krvavych/
Publications:
http://www.geocities.com/krvavych/papers.html
Yuriy Krvavych graduated
from the National University of Kiev (Ukraine) with Master degree
in Mathematics. For five years he had been working for National
Joint-Stock Insurance Company "Oranta" as Actuary/Head Actuary of
the Actuarial Department. During that time he obtained the Postgraduate
Diploma in Actuarial Science from the British Institute of Actuaries
and Candidate of Science (Ex-Soviet PhD) Degree in Probability and
Statistics from the National University of Kiev. He is Individual
Member of the International Actuarial Association. His current research
interests are reinsurance optimisation, optimal enterprise's capital
structure, optimal stochastic control and its application in insurance
and finance.
Luis
August Ferreira Carneiro
Email: luizaugusto@ekit.com
Research Topic: Corporate Demand for Insurance
and Financial Hedging
Supervisor:
Professor Michael Sherris
Luiz Augusto F. Carneiro
has a Bachelor Degree in Economics from the University of Brasilia,
Brazil, and did Masters in Economics from the Getulio Vargas Foundation,
Rio de Janeiro. He worked with finance in the Brazilian Ministry
of Finance and in Shell Brasil S.A.. He also worked as a manager
in the Brazilian regulatory agency for private health insurance
(ANS), leading a team of economists and actuaries. At that time
he did a MBA in Actuarial Management from the University of Sao
Paulo and also attended to a regulation course offered by the American
government at the George Washington University, Washington, DC,
USA.
Florence
Wu
Email:
florence_wu3@yahoo.com
Research
Topic: “Modelling dependent risk for insurer management:
experimental studies with copulas”
Supervisor:
Professor Michael Sherris
I
joined the PhD program in Actuarial Studies in 1999 as one of the
two part-time PhD students of the Actuarial Studies in UNSW.
As
a PhD student and a full time employee in the actuarial department
of a consulting firm, working on demanding projects, it was always
a challenge for me find time to work on my research. That said,
I enjoyed every minute studying in Actuarial Studies in UNSW.
The
most rewarding experiences include having a series of meetings and
discussions with my supervisor and co-supervisor on my research,
and have the opportunities to present my research papers at conferences
and seminars.
I
enjoyed attending the lectures, “Research Topic”, which
is organised on a weekly basis, where each member of the school
prepared a chapter/research paper for discussion and presentation.
The classes were relaxing and rewarding.
I
would like to take this opportunity to thank Mike for his guidance
and patience; Emil for his time and guidance; and Bindya, who has
always been helpful with all my enquiries.
I
will miss the friendly environment in the Actuarial Studies of UNSW.
Keng
Leong Yeo
Email: yeoster28@pacific.net.sg
Research Topic: Dependence in Credibility Models
Supervisor: Associate Professor Emil Valdez
As my e-mail address suggests,
I hail from Singapore. I did my Bachelor's in Actuarial Science
in NTU(Nanyang Technological University). Following that, I worked
for a year with a life insurer before embarking on a Masters in
Science (Statistics) via Research with NUS(National University of
Singapore).
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