UNSW Actuarial Studies - Research - Working Paper Series

working paper series 2007

2007 Working Paper Series

No.	Title	Author
1	Surrender Behaviors under Extreme Financial Conditions	ChangKi Kim
2	A Way of Hedging Mortality Rate Risks in Life Insurance Product	ChangKi Kim
3	CAPM and Option Pricing with Elliptically Contoured Distributions	Mahmoud Hamada and Emiliano A. Valdez
4	Multivariate Probit Models for Conditional Claim-Types	Gary Young, Emiliano A. Valdez and Robert Kohn
5	Enterprise Risk Management, Insurer Pricing, and Capital Allocation	Shaun Yow and Michael Sherris
6	Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions	Shaun Yow and Michael Sherris
7	Synthetic CDO Pricing Using the Student t Factor Model with Random Recovery	Yuri Goegebeur, Tom Hoedemakers and Jurgen Tistaert
8	Bounds for Stop-Loss Premiums of Deterministic and Stochastic Sums of Random Variables	Tom Hoedemakers, Grzegorz Darkiewicz, Griselda Deelstra, Jan Dhaene and Michele Vanmaele
9	Securitization of Longevity Risk in Reverse Mortgages	Liang Wang, Emiliano A. Valdez and John Piggott
10	Hierarchical Insurance Claims Modeling	Edward W. Frees and Emiliano A. Valdez
11	Quantification Of Operational Risks In Banks: A Theoretical Analysis With Emprical Testing	John Evans, Robert Womersley and Danny Wong
12	Exponential Reserves of Insurance Contracts under Jump-Diffusion Process Model	Changki Kim, Juyoung Kim and Gyoocheol Shim
13	The Australian and New Zealand Insurance Industry: Who Will Survive? (published version: The Australian and New Zealand Insurance Industry: who will survive?)	John Evans
14	Financial Innovation and the Hedging of Longevity Risk	Michael Sherris and Samuel Wills
15	Risk Based Capital and Capital Allocation in Insurance	Michael Sherris
16	Are Investors Rational and does it Matter?	John Livanas
17	It's a utility! But not as we know it!	John Livanas
18	Behavioural Finance Implications in Portfolio Construction	John Livanas
19	When ordinary people choose between investments	John Livanas
20	On Non-Negative Local Martingales and True Martingales	Bernard Wong and C C Heyde
21	Australian Worker's Compensation: A Review	Sachi Purcal and Arlene Wong

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