| No. |
Title |
Author |
File
|
1 |
Demand and Adverse Selection in a Pooled Annuity Fund |
E.A. Valdez, J. Piggott, and L. Wang |
|
2 |
Generalised Lévy Processes and their Applications in
Insurance and Finance |
Jang, J. |
|
3 |
Sustainable Security Analysis |
Evans, J., Guido, R., Guo M. |
|
4 |
Convex Order Bounds for Sums of Dependent Log-Elliptical Random
Variables |
E.A. Valdez and J. Dhaene |
|
5 |
Risk Measures and Optimal Portfolio Selection (with applications
to elliptical distributions) |
J. Dhaene, E.A. Valdez, and T. Hoedemakers |
|
6 |
Economic Capital and the Aggregation of Risks Using Copulas |
A. Tang and E.A. Valdez |
|
7 |
Closed-Form Approximations for Constant Continuous Annuities |
S. Vanduffel, J. Dhaene, and E.A. Valdez |
|
8 |
Probability Transforms with Elliptical Generators |
E.A. Valdez |
|
9 |
Capital Management and Frictional Costs in Insurance |
V. Chandra and M.Sherris |
|
|
10
|
Optimal Consumer Behaviour in a Jump-diffusion Environment |
S. Purcal & T. Huan Wang |
|
|
11
|
Demand for Reinsurance: Evidence from Australian Insurers |
L. Carneiro and M. Sherris |
|
|
12
|
A Stochastic Control Model for Individual Asset-Liability
Management |
S. Purcal |
|
|
13
|
Explaining Low Annuity Demand: An Optimal Portfolio Application
to Japan |
S. Purcal & J. Piggott |
|
|
14
|
Lifetime Financial Planning with Regime-switching: the Case
of Persistence and Mean Reversion |
S. Purcal & J. Piggott |
|
|
15
|
Retirement Provision: Accumulations, Security and Insurance |
S. Purcal & J. Piggott |
|
|
16
|
Pricing in the Multi-Line Insurer with Dependent Gamma Distributed
Risks Allowing for Frictional Costs of Capital |
Z. Landsman & M. Sherris |
|
|
17
|
Credit Derivatives Pricing using the Cox Process with Shot
Noise Intensity |
J. Jang |
|
|
18
|
Claims Prediction with Dependence Using Copula Models |
E. Valdez & K.L. Yeo |
|
|
19
|
Stochastic Control: Alternative Tool in Insurance Risk Management |
M.T. Castillo |
|
