UNSW Actuarial Studies - Research - Working Paper Series

2008WorkingPapers

2008 Working Paper Series

No.	Title	Author
1	An Empirical Analysis of Operational Risk in a Bank	John Evans
2	The Need for Diagnostic Assessment of Bootstrap Predictive Models	Glen Barnett and Ben Zehnwirth
3	Securitization of Motor Insurance Loss Rate Risks	Changki Kim
4	Study of Australian Superannuation Fund Attitudes to Private Equity Investing	John Evans, Bruno E. Raschle and Nils Rode
5	Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications	Samuel Wills and Michael Sherris
6	Securitization, Structuring and Pricing of Longevity Risk	Samuel Wills and Michael Sherris
7	Hedge Fund Survey of Australian Superfunds	John Evans
8	An Investigation of Life Insurer Efficiency in Canada	William Wise and Sachi Purcal
9	A review of modern collective risk theory with dividend strategies	Benjamin Avanzi
10	Optimal Dividends in the Dual Model with Diffusion	Benjamin Avanzi and Hans Ulrich Gerber
11	Ruin probabilities for the perturbed compound Poisson risk process with investment	Jinxia Zhu, Hailiang Yang and Kai Wong Ng
12	On differentiability of ruin functions under Markovmodulated models	Jinxia Zhu and Hailiang Yang
13	The Institute of Actuaries of Australia Part II Course: Some observations	John Evans
14	The Relationship between Social Rating Factors and Stock Returns	John Evans, David Gallagher & Dinusha Peiris
15	Explicit Construction of Stochastic Exponentials with Arbitrary Expectation K$/In$(0,1)	Bernard Wong
16	Rethinking Lead Time Reduction Investment: A Real Options Perspective	Benjamin Avanzi, Suzanne de Treville, Lenos Trigeorgis
17	On Modelling Long Term Stock Returns with Ergodic Diffusion Processes: Arbitrage and Arbitrage-Free Specifications	Bernard Wong
18	A Note on an Extension of the Vector Stochastic Integral and Stochastic Exponential Representation	Bernard Wong
19	The Impacts of Guaranteed Minimum Death Benefit Options on the Profit Margins of Unit Linked Products	Changki Kim

All Actuarial Studies working papers are available from the SSRN website from June 2008.

Page Last Updated: Thursday, 18 December, 2008