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Research > Working Paper Series > 2009
2009WorkingPapers
2009 Working Paper Series
No.
Title
Author
1
 Extending the Basel II approach to estimate capital requirements for equity investments Dr Mark Johnston
2
 Securitization of Longevity Risks Using Percentile Tranche Methods Yangho Choi and Changki Kim
3
 Motor Insurance Loss Rate Options and Swaps Taehan Bae and Changki Kim
4

Pricing and Hedging Synthetic CDO Tranche Spread Risks

 Jack Ding and Michael Sherris
5
 Volatilities, Correlations, and Risk Capital Allocation in the US PC Insurance Industry, parts of a cross-industry study with recommendations Professor Ben Zehnwirth, Dr. Glen Barnett and Dr. David Odell
6
 Economic Scenario Generation with Regime Switching Models Michael Sherris & Boqi Zhang
7
 What is it that Makes the Swiss Annuitize? A Description of the Swiss Retirement System Benjamin Avanzi
8
 A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds Bernard Wong & Andrew Lim
9

Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility

Carolyn Ndigwako Njenga & Michael Sherris

10
 Forced Savings and Annuitisation with Cross-Subsidies: A Mutation of the Beast Benjamin Avanzi & Sachi Purcal
11

The Motivations and the Disclosure Effects of Parent – Subsidiary Mergers in Korea

Kyung-shik Cho, Changki Kim & Heonyong Jung
12
 Deterministic Asset Liability Management with Geometric Interpretations Changki Kim
13

On a mean reverting dividend strategy with Brownian motion

 Benjamin Avanzi & Bernard Wong

All Actuarial Studies working papers are available from the SSRN website.
Page Last Updated: Thursday, 12 November, 2009


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