Working Papers

Working Papers 2014

Working Papers 2013
Authors Title of Paper Date Paper Zhuo Jin, G. Yin and Fuke Wu Optimal Reinsurance Strategies in Regimeswitching Jump Diffusion Models: Stochastic Differential Game Formulation and Numerical Methods Oct 2013 235 Zhuo Jin, Hailiang Yang and G.Yin Numerical Methods for Optimal Dividend Payment and Investment Strategies of RegimeSwitching Jump Diffusion Models with Capital Injections Mar 2013 234 Mark Joshi and Chun Fung Kwok The rate of convergence of the twostate lattice model for pricing vanilla options Nov 2011 233

Working Papers 2012

Working Papers 2011
Authors Title of Paper Date Paper Mark Joshi & Chao Yang Fourier transforms, option pricing and controls Dec 2011 223 Daniel Dufresne and Marc Yor A twodimensional extention of Bougerol's identity in law for the exponential functional of Brownian motion Nov 2011 222 Greg Taylor A Homotopy Class of SemiRecursive Chain Ladder Models Sep 2011 221 Greg Taylor Chain Ladder Correlations Aug 2011 220 Greg Taylor A Statistical Basis for Claims Experience Monitoring Aug 2011 219 David Dickson The joint distribution of the time to ruin and number of claims until ruin in the classical risk model Jul 2011 218 Richard Fitzherbert The Importance of History in Actuarial Education Mar 2011 217 Mark Joshi and Alexander Wiguna Accelerating Pathwise Greeks in the Libor Market Model May 2011 216

Working Papers 2010

Working Papers 2009

Working Papers 2008

Working Papers 2007

Working Papers 2006

Working Papers 2005

Working Papers 2004
Authors Title of Paper Date Paper Daniel Dufresne Stochastic Life Annuities Jun 2006 118 Revised Daniel Dufresne Stochastic Life Annuities Dec 2004 118 Edward Leung A Multipe State Model for Pricing and Reserving Private Long Term Care Insurance in Australia Nov 2004 117 Daniel Dufresne Bessel Processes and a Functional of Brownian Motion Jun 2004 116 David C M Dickson & Gordon E Willmot The density of the time to ruin in the classical Poisson risk model May 2004 115 David C M Dickson & Kwok Swan Wong De Vylder Approximations to the Moments and Distribution of the Time to Ruin Mar 2004 114 Greg Taylor Loss reserving with GLMs: a case study May 2004 113

Working Papers 2003
Authors Title of Paper Date Paper Julian D. Gribble, Lois Meyer and Anna Jones Quantifying and Assessing Learning Objectives Nov 2003 112 David C M Dickson, Barry D. Hughes & Zhang Lianzeng The Density of the Time to Ruin for a Sparre Andersen Process with Erlang Arrivals and Exponential Claims Oct 2003 111 Edward Leung Projecting the Needs and Costs of Long Term Care in Australia Sep 2003 110 Greg Taylor, Greinne McGuire and Alan Greenfield Loss Reserving: Past, Present and Future Sep 2003 109 David C M Dickson & Steve Drekic The Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in Some Sparre Andersen Models Aug 2003 108 David C M Dickson & Howard R Waters Some Optimal Dividends Problems Aug 2003 107 Richard Fitzherbert The Identification and Measurement of Speculative Risk Mar 2003 106 Julian D Gribble Actuarial Practice and Control: Objectives and Capabilities Mar 2003 105

Working Papers 2002

Working Papers 2001
Authors Title of Paper Date Paper Jun Cai & David C.M. Dickson On the Expected Discounted Penalty Function at Ruin of a Surplus Process with Interest Nov 2001 91 Daniel Dufresne The Integrated SquareRoot Process Nov 2001 90 Steve Drekic, David C.M. Dickson, David A. Stanford & Gordon E. Willmot On the Distribution of the Deficit at Ruin When Claims are PhaseType Nov 2001 89 Richard Fitzherbert Volatility, Beta and Return  Was there ever a meaningful relationship? Sep 2001 87 David C.M. Dickson Modern Landmarks in Actuarial Science  Inaugural Professorial Address Feb 2001 85 Jun Cai Discrete Time Risk Models Under Stochastic Forces of Interest Feb 2001 84

Working Papers 2000
Authors Title of Paper Date Paper A J G Cairns, D C M Dickson, A S Macdonald, H R Waters & M Willde Stochastic Processes: Learning the Language Jan 2000 76

Working Papers 1999
Authors Title of Paper Date Paper Ragnar Norberg A Markov Chain Financial Market Dec 1999 75 Ragnar Norberg On the Vandermonde Matrix and Its Role in Mathematical Finance Dec 1999 74 Greg Taylor The Statistical Distribution of Incurred Losses and Its Evolution Over Time II: Parametrical Models Oct 1999 73 Greg Taylor The Statistical Distribution of Incurred Losses and Its Evolution Over Time I: NonParametrical Models Nov 1999 72 David Knox A Proposal for Integrating Australia's Retirement Income Policy Apr 1999 71 The Development of Some Characteristics for Equitable National Retirement Income Schemes David Knox & Roslyn Cornish Mar 1999 70 Daniel Dufresne Laguerre Series for Asian and Other Options Jan 1999 69

Working Papers 1998

Working Papers 1997
Authors Title of Paper Date Paper Alfredo D Egidio dos Reis On the Moments of Ruin and Recovery Times Aug 1997 48 David C M Dickson On Numerical Evaluation of Finite Time Ruin Probabilities Jul 1997 47 David C M Dickson & Howard R Waters Ruin Probabilities with Compounding Assets Jul 1997 46 Greg Taylor Technical Aspects of Domestic Lines Pricing Jun 1997 45 David M Knox & Andrew Tomlin An Analysis of Pensioner Mortality by PreRetirement Income Jan 1997 44

Working Papers 1996

Working Papers 1995

Working Papers 1994
Authors Title of Paper Date Paper M E Atkinson, J Creedy & D M Knox Planning Retirement Income in Australia: Routes Through the Mazeby Dec 1994 16 David M Knox Present Problems and Prospective Pressures in Australia's Superannuation System Oct 1994 15 Catherine M Prime & David M Knox Problems and Prospects for the Life Insurance and Pensions Sector in Indonesia Sep 1994 14 M E Atkinson, J Creedy, D M Knox & C J Haberecht The Cost and Equity Implications of the Institute of Actuaries of Australia Proposed Retirement Incomes Strategy Jun 1994 13 David M Knox The Relationship Between the Age Pension and Superannuation Benefits, Particularly for Women Jun 1993 12 David C M Dickson Ruin Problems: Simulation or Calculation? Jun 1994 11 M E Atkinson, J Creedy & D M Knox Lifetime Income, Taxation, Expenditure and Superannuation (Lites): A LifeCycle Simulation Model Mar 1994 9 David C M Dickson & Howard R Waters Reinsurance and Ruin Jan 1994 8

Working Papers 1993
Authors Title of Paper Date Paper David Knox Superannuation Funds and the Provision of Development/Venture Capital: the Perfect Match? Yes or No Feb 1993 10 David Knox A Critique of Defined Contribution Using a Simulation Approach Oct 1993 7 An Analysis of the Equity Investments of Australian Superannuation Funds David Knox Sep 1993 6 David Knox and John Piggott Contemporary Issues in Australian Superannuation  A Conference Summary Sep 1993 5 David C M Dickson & Alfredo Egidio dos Reis Ruin Problems and Dual Events Aug 1993 4 David C M Dickson Some Comments on the Compound Binomial Model Apr 1993 3 David C M Dickson An Exponential Bound for Ruin Probabilities Apr 1993 2 David Knox Australian Superannuation: The Facts, The Fiction, The Future Mar 1993 1