Working Papers

Working Papers 2018

Authors	Title of Paper	Date	Paper
David Dickson	An identity based on the generalised negative binomial distribution with applications in Ruin Theory	Jan 2018	2035
Jules Gribble & Lesley Traverso	Actuary Reinvented – Strategic context for Actuarial Education	Jan 2018	2034

Working Papers 2014

Authors	Title of Paper	Date	Paper
Daniel Dufresne, Felisa V´azquez-Abad & Stephen Chin	CHANGE OF MEASURE FOR THE SQUARE-ROOT PROCESS	Dec 2014	2009
DANIEL DUFRESNE & HAN-BO LI	PRICING ASIAN OPTIONS: CONVERGENCE OF GRAM-CHARLIER SERIES	Nov 2014	2008
Enrique Calderin-Ojeda and Chun Fung Kwok	Modeling Large Claims with Composite Stoppa Models	Sep 2014	242
Shuanming Li, Yi Lu	On the time and the number of claims when the surplus drops below a certain level	Aug 2014	241
Xueyuan Wu, Mi Chen and Junyi Guo	On a discrete-time two level NCD risk model	Jun 2014	240
Jingchao Li, David C M Dickson, Shuanming Li	Finite time ruin problems for the Markov-modulated risk model	Jun 2014	239
Jingchao Li, David C M Dickson, Shuanming Li	A note on the distribution of the aggregate claim amount at ruin	May 2014	238
Mark Joshi	Analyzing the bias in the primal-dual upper bound method for early exercisable derivatives: Bounds, estimation and removal	Mar 2014	237
Mark Joshi	Kooderive: Multi-core Graphics cards The Libor Market Model Least Squares Monte carlo and the Pricing of Cancellable Swaps	Feb 2014	236

Working Papers 2013

Authors	Title of Paper	Date	Paper
Zhuo Jin, G. Yin and Fuke Wu	Optimal Reinsurance Strategies in Regime-switching 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 Regime-Switching Jump Diffusion Models with Capital Injections	Mar 2013	234
Mark Joshi and Chun Fung Kwok	The rate of convergence of the two-state lattice model for pricing vanilla options	Nov 2011	233

Working Papers 2012

Authors	Title of Paper	Date	Paper
Shuanming Lia and Yi Lu	On the generalized Gerber-Shiu function for surplus processes with interest	Dec 2012	232
Evan A. Hariyanto, David C.M. Dickson & David G.W. Pitt	Estimation of Disability Transition Probabilities in Australia II: Implementation	Dec 2012	231
Evan A. Hariyanto, David C.M. Dickson and David G.W. Pitt	Estimation of Disability Transition Probabilities in Australia I: Preliminary	Dec 2012	230
Ciyu Nie, David C M Dickson & Shuanming Li	The ¿finite time ruin probability in a risk model with capital injections	Oct 2012	229
Qing Liu, David Pitt, Yan Wang & Xueyuan Wu	Survival Analysis of Left Truncated Income Protection Insurance Data	Jul 2012	228
Jean-Pierre Chateau & Daniel Dufresne	Gram-Charlier processes and equity-indexed annuitie	Jun 2012	227
David C.M. Dickson & Shuanming Li	The distributions of some quantities for Erlang(2) risk models	May 2012	226
Emilio Gomez-Deniz & Enrique Calderin-Ojeda	Unconditional Distributions Obtained from Conditional Specification Models with Applications in Risk Theory	Mar 2012	225
Daniel Dufresne & Felisa J. Vazquez-Abad	Cobweb Theorems with production lags and price forecasting	Feb 2012	224

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 two-dimensional extention of Bougerol's identity in law for the exponential functional of Brownian motion	Nov 2011	222
Greg Taylor	A Homotopy Class of Semi-Recursive 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

Authors	Title of Paper	Date	Paper
Chris J. Beveridge, Mark S. Joshi & Will M. Wright	Efficient pricing and Greeks in the cross-currency LIBOR market model	Oct 2010	215
Nick Denson and Mark Joshi	Fast Greeks for Markov-Functional Models using Adjoint PDE Methods	May 2010	214
Mark Joshi & Chao Yang	Fast Gamma Computations for CDO Tranches	Oct 2010	213
Ting Che and Mark Joshi	Truncation and Accerleration of the Tian Tree for the Pricing American Put Options	May 2010	212
Jiun Hong Chan and Mark Joshi	First and Second Order Greeks in the Heston Model	Dec 2010	211
Jiun Hong Chan and Mark Joshi	Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model	Jun 2010	210
Jiun Hong Chan & Mark Joshi	Fast Monte-Carlo Greeks for Financial Products with Discontinuous Pay-Offs	Oct 2010	209
Mark Joshi & Kang Kwon	Monte Carlo Market Greeks in the Displaced Diffusion Libor Market Model	Nov 2010	208
Christopher Beveridge and Mark Joshi	Monte Carlo Bounds for Game Options Including Convertible Bonds	May 2010	207
Ciyu Nie, David C M Dickson & Shuanming Li	Minmising the ruin probability through capital injections	May 2010	206
Kok Keng Siaw and Xueyuan Wu	Matrix-form Recursive Evaluation of the Aggregate Claims Distribution Revisited	May 2010	205
Xueyuan Wu	Ruin probabilities for a risk model with two classes of risk processes	Apr 2010	204
Wang Chun Wei	Modelling and Replicating Hedge Fund Returns	Mar 2010	203
David C M Dickson & Shuanming Li	Erlang risk models and finite time ruin problems	Apr 2010	202

Working Papers 2009

Authors	Title of Paper	Date	Paper
Nick Denson & Mark Joshi	Vega Control	May 2009	201
Christopher Beveridge & Mark Joshi	Practical Policy Iteration: Generic Methods for Obtaining Rapid and Tight	Nov 2009	200
Jiun Hong Chan & Mark Joshi	Minimal Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks	May 2009	199
Jiun Hong Chan & Mark Joshi	Fast Monte-Carlo Greeks for Financial Products with Discontinuous Pay-offs	Nov 2009	198
Mark Joshi & Robert Tang	Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier	Oct 2009	197
Mark Joshi	Graphical Asian Options	Oct 2009	196
Christopher Beveridge & Mark Joshi	Interpolation schemes in the displaced-diffusion libor market	Sep 2009	195
Paul Yip, David Pitt, Yan Wang, Tina Xu & Xueyuan Wu	Assessing the Impact of Suicide Exclusion Periods on Life Insurance	Sep 2009	194
Jisheng Cui, David Pitt & Guoqi Qian	Model Selection and Claim Frequency for Workers’ Compensation Insurance	May 2009	193
Mark Joshi & Chao Yang	Fast delta computations in the swap market model	Dec 2009	192
Mark Joshi & Chao Yang	Efficient Greek estimation in generic market models	Sep 2009	191
Mark Joshi & Chao Yang	Fast and accurate pricing and hedging of long-dated CMS spread options	Dec 2009	190
Mark Joshi & David Pitt	Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds	Dec 2009	189
Zhimin Zhang, Hu Yang & Shuanming Li	The perturbed compound Poisson risk model with two-sided jumps	May 2009	188
Jiandong Ren & Shuanming Li	The analysis of perturbed risk processes with Markovian arrivals	May 2009	187
Xueyuan Wu & Shuanming Li	Matrix-form Recursions for a family of compound distributions	May 2009	186
Daniel Dufresne	Stochastic volatility and option pricing	Nov 2009	185
Richard Fitzherbert	A Review of the Methodology of Forecasting Long-term Equity Returns	Sep 2009	184
Greg Taylor	Chain Ladder Forecast Efficiency	Aug 2009	183
Stephen Chin & Daniel Dufresne	A general formula for option prices in a stochastic volatility model	Jul 2009	182
Daniel Dufresne	G distributions and the beta-gamma algebra	Jun 2009	181
Greg Taylor	A Hierarchical Kalman Filter	Mar 2009	180

Working Papers 2008

Authors	Title of Paper	Date	Paper
Yi Lu & Shuanming Li	The Markovian Regime-Switching Risk Model with a Threshold Dividend Strategy	Dec 2008	179
Shuanming Li and Yi Lu	On the Maximum Severity of Ruin in the Compound Poisson Model with a Threshold Dividend Strategy	Oct 2008	178
Shuanming Li and Yi Lu	The Distribution of Total Dividend Payments in a Sparre Andersen Model	Jul 2008	177
Shuanming Li	The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model	Jul 2008	176
Juin Hong Chan, Mark S. Joshi, Robert Tang & Chao Yang	Trinomial or Binomial: Accelerating American Put Option Price on Trees	Oct 2008	175
Christopher Beveridge & Mark S. Joshi	Juggling Snowballs	Jun 2008	174
Christian P. Fries & Mark S. Joshi	Conditional Analytic Monte-Carlo Pricing Schemes of Auto-Callable Products	Apr 2008	173
Ferdinando M. Ametrano & Mark S. Joshi	Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions	Jun 2008	172
Christopher Beveridge, Nicholas Denson & Mark S. Joshi	Comparing Discretisations of the Libor Market Model in the Spot Measure	Oct 2008	171
Mark S. Joshi	The Convergence of Binomial Trees for Pricing the American Put	Apr 2008	170
Xueyuan Wu & Shuanming Li	On a discrete-time Sparre Anderson model with phase-type claims	Apr 2008	169
David C M Dickson & Shuanming Li	Finite time ruin problems for the Erlang(2) risk model	Apr 2008	168
Greg Taylor	A Simple Model Of Insurance Market Dynamics	Mar 2008	167

Working Papers 2007

Authors	Title of Paper	Date	Paper
Suparatana Tanthanongsakkun, David Pitt & Sirimon Treepongkaruna	A Comparison of Corporate Bankruptcy Models in Australia: the Merton vs Accounting-based Models	Oct 2007	166
Greg Taylor and Grainne McGuire	Adaptive Reserving using Bayesian Revision for the Exponential Dispersion Family	Dec 2007	165
Daniel Dufresne	Beta Products with Complex Parameters	Nov 2007	164
Xueyuan Wu & Shuanming Li	On the Discounted Penalty Function in a Discrete Time Renewal Risk Model with General Interclaim Times	Oct 2007	163
Shuanming Li and Yi Lu	The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-modulated Risk Model	Sep 2007	162
Christian P. Fries and Mark S. Joshi	Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks	Sep 2006	161
Mark S. Joshi	Achieving Higher Order Convergence for the Prices of European Options in Binomial Trees	Oct 2007	160
Mark S. Joshi	Achieving Smooth Asymptotics for the Prices of European Options in Binomial Trees	Jul 2007	159
Konstantin A Borovkov and David C. M. Dickson	On the ruin time distribution for a Sparre Andersen process with exponential claim sizes	May 2007	158
Eric C.K. Cheung, David C. M. Dickson, and Steve Drekic	Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model	May 2007	157
Greg Taylor	Chain Ladder For Tweedie Distributed Claims Data	Nov 2007	156
Ashley Evans	A Directional Multiplicative Intensity for Credit Migrations	Aug 2007	155
Christopher J Beveridge, David C M Dickson & Xueyuan Wu	Optimal Dividends Under Reinsurance	May 2007	154
David C M Dickson	Some finite time ruin problems	May 2007	153
Shuanming Li	The Moments of the Present Value of Total Dividends under Stochastic Interest Rates	May 2007	152
Greg Taylor, Gráinne McGuire and James Sullivan	Individual Claim Loss Reserving Conditioned by Case Estimates	Dec 2006	151
David C M Dickson	Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin	Apr 2007	150
Greg Taylor	Credibility, Hypothesis Testing and Regression Software	Feb 2007	149
Ashley Evans	Using a Multiplicative Intensity Process to Forecast Firm Failure	Aug 2007	148

Working Papers 2006

Authors	Title of Paper	Date	Paper
Jackie Li	Application of Bayesian Models with Markov Chain Monte Carlo Simulation to Real Claims Data	May 2006	147
Jackie Li	Modelling Dependency between Different Lines of Business with Copulas	May 2006	146
Xueyuan Wu & Shuanming Li	On a discrete time risk model with delayed claims and a constant divident barrier	May 2006	145
Mark S. Joshi	Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs	May 2006	144
Mark S. Joshi	A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options.	May 2006	143
Mark S. Joshi and Lorenzo Liesch.	Effective Implementation of Generic Market Models	May 2006	142
Mark S. Joshi and Terence Leung	Using Monte Carlo Simulation and Importance Sampling to Rapidly obtain Jump-Diffusion Prices of Continuous Barrier Options	May 2006	141
Mark S. Joshi and Alan M. Stacey	New and Robust Drift Approximations for the Libor Market Model	May 2006	140
Mark S. Joshi and Alan M. Stacey	Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives	May 2006	139
Mark S. Joshi	Achieving Decorrelation and Speed Simultaneously in the Libor Market Model	Apr 2006	138
Mark S. Joshi	Option Pricing and the Dirichlet Problem	May 2006	137
Greg Taylor	APRA General Insurance Risk Margins	Feb 2006	136
David Pitt	Regression Quantile Analysis of Claim Termination Rates for Income Protection Insurance	Feb 2006	135
Shuanming Li & Biao Wu	The Diffusion Perturbed Compound Poisson Risk Model with a Dividend Barrier.	Feb 2006	134
Greg Taylor and Peter Mulquiney	Modelling Mortgage Insurance As A Multi-State Process	Feb 2006	133
David Pitt	Modeling the Claim Duration of Income Protection Insurance Policyholders Using Parametric Mixture Models	Jan 2006	132
Jackie Li	Comparison of Stochastic Reserving Methods	Jan 2006	131
Shuanming Li and Yi Lu	Some Optimal Dividend Problems in a Markov-modulated Risk Model.	Jan 2006	130
David C M Dickson & Howard R Waters	Optimal dynamic reinsurance	Jan 2006	129

Working Papers 2005

Authors	Title of Paper	Date	Paper
Daniel Dufresne, Jose Garrido & Manuel Morales	Revised Version: Fourier Inversion Formulas in Option Pricing and Insurance	Dec 2005	128 Revised
Daniel Dufresne, Jose Garrido & Manuel Morales	Fourier Inversion Formulas in Option Pricing and Insurance	Dec 2005	128
David C.M.Dickson and Steve Drekic	Optimal Dividends under a Ruin Probability Constraint	Sep 2005	127
Daniel Dufresne	Two Notes on Financial Mathematics	Sep 2005	126
Greg Taylor	Second Order Bayesian Revision of a Generalised Linear Model	May 2005	125
Greg Taylor and Greinne McGuire	Synchronous Bootstrapping of Seemingly Unrelated Regressions	Aug 2005	124
Sam Killmier	Exploring Unknown Quantities. Development and Applicationof a Stochastic Catastrophe Model with Output and Sensitivities	May 2005	123
Edward Leung	An n- Year Roll Forward Reserve Model for Social Long Term Care Insurance in Australia	Feb 2005	122
Daniel Dufresne	Revised Version: Fitting Combinations of Exponentials to Probability Distributions	Nov 2005	121 Revised
Daniel Dufresne	Fitting Combinations of Exponentials to Probability Distributions	Feb 2005	121
Shuanming Li	The Distribution of the Dividend Payments in the Compound Poisson Risk Model Peturbed by Diffusion.	Jan 2005	120
Shuanming Li & David C.M.Dickson	The Maximum Surplus before Ruin in an Erlang(n) Risk Process and Related Problems	Jan 2005	119

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

Authors	Title of Paper	Date	Paper
Greg Taylor & Mireille Campbell	Statistical Case Estimation	Nov 2002	104
Manabu Sato, David C M Dickson & Richard M Fitzherbert	Initial Capital and Margins Required to Secure a Japanese Life Insurance Policy Portfolio Under Variable Interest Rates	Nov 2002	103
Gordon E Willmot and David C M Dickson	The Gerber-Shiu Discounted Penalty Function in the Stationary Renewal Risk Model	Aug 2002	102
Jun Cai & David C M Dickson	Ruin Probabilities with a Markov Chain Interest Model	Aug 2002	101
Daniel Dufresne	Asian and Basket Asymptotics	Jul 2002	100
Gordon E Willmot, David C M Dickson, Steve Drekic & David A Stanford	The Deficit at Ruin in the Stationary Renewal Risk Model	Jun 2002	99
Richard Fitzherbert	Continuous Compounding, Volatility and the Equity Premium	Jun 2002	98
Jun Cai & David C M Dickson	Upper Bounds for Ultimate Ruin Probabilities in the Sparre Andersen Model with Interest	Jun 2002	97
David C M Dickson	A Note on the Maximum Severity of Ruin and Related Problems	May 2002	96
David C M Dickson & Howard R Waters	The Distribution of the Time to Ruin in the Classical Risk Model	Jan 2002	95
Daniel Dufresne	A General Class of Risk Models	Jan 2002	94
Greg Taylor	Further Observations on Chain Ladder Bias	Jan 2002	93
Greg Taylor	Chain Ladder Bias	Jan 2002	92

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 Square-Root 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 Phase-Type	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

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: Non-Parametrical 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

Authors	Title of Paper	Date	Paper
David C M Dickson & Howard R Waters	Multi-Period Aggregate Loss Distributions for a Life Portfolio	Dec 1998	68
Diane Bedard and Daniel Dufresne	Pension Funding with Moving Average Rates of Return	Nov 1998	67
David C M Dickson & Bjorn Sundt	Comparison of Methods for Evaluation of the Convolution of Two Compound R1 Distributions	Sep 1998	66
Bjorn Sundt & David C M Dickson	Comparison of Methods for Evaluation of the n-fold Convolution of an Arithmetic Distribution	Aug 1998	65
David C M Dickson & Christian Hipp	Ruin Problems for Phase-Type(2) Risk Processes	Jul 1998	64
Daniel Dufresne	An Affine Property of the Reciprocal Asian Option Process	Jun 1998	63
Felisa J Vazquez-Abad and Daniel Dufresne	Accelerated Simulation for Pricing Asian Options	Jun 1998	62
M E Atkinson, David M Knox & John Creedy	The Equity Implications of Changing the Tax Basis for Pension Funds	Jun 1998	61
Bjorn Sundt	On Error Bounds for Multivariate Distributions	Aug 1998	60
Bjorn Sundt	The Multivariate De Pril Transform	Aug 1998	59
Bjorn Sundt	On Multivariate Panjer Recursions	Aug 1998	58
Bjorn Sundt and Okechukwu Ekuma	The De Pril Transform of a Compound Rk Distribution	Jul 1998	57
Jun Cai and Jose Garrido	A Unified Approach to the Study of Tail Probabilities of Compound Distributions	Jul 1998	56
Susan Donath	Super Benefits? Estimates of the Retirement Incomes that Australian Women Will Receive from Superannuation	Apr 1998	55
David M Knox	Tax Reform and Superannuation - An Opportunity to be Grasped	Apr 1998	54
David M Knox, M E Atkinson & Susan Donath	An Analysis of the Equity Implications of Recent Taxation Changes to Australian Superannuation	Apr 1998	53
Jose Garrido & Georgios Pitselis	On Robust Estimation in Buhlmann Straub's Credibility Model	Mar 1998	52
J P Chateau & Daniel Dufresne	Pricing the Stochastic Volatility Put Option of Banks' Credit Line Commitments	Mar 1998	51
M E Atkinson & Roslyn Cornish	Participation Profiles of Australian Women	Feb 1998	50
Daniel Dufresne	A Decomposition of Actuarial Surplus and Applications	Jan 1998	49

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 Pre-Retirement Income	Jan 1997	44

Working Papers 1996

Authors	Title of Paper	Date	Paper
Margaret E Atkinson, John Creedy & David M Knox	Alternative Retirement Income Arrangements and Lifetime Income Inequality: Lessons from Australia	Dec 1996	43
David M Knox	Video Conferencing in Actuarial Studies - A Three Year Case Study	Dec 1996	42
Ben Zehnwirth	Calculations and Diagnostics for Link Ratio Techniques	Nov 1996	41
Greg Taylor	Setting a Bonus-Malus Scale in the Presence of Other Rating Factors	Oct 1996	40
Greg Taylor	Risk, Capital and Profit in Insurance	Oct 1996	39
Greg Taylor	Geographic Premium Rating by Whittaker Spatial Smoothing	Oct 1996	38
Greg Taylor	Smoothness Criteria for Multi-Dimensional Whittaker Graduation	Oct 1996	37
David C M Dickson & Howard R Waters	Relative Reinsurance Retention Levels	Oct 1996	36
Ben Zehnwirth	Kalman Filters with Applications to Loss Reserving	Sep 1996	35
Ben Zehnwirth	Three Powerful Diagnostic Models for Loss Reserving	Aug 1996	34
Michael Sherris, Leanna M Tedesco & Ben Zehnwirth	Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australia	Aug 1996	33
Anthony Asher	Effective and Ethical Institutional Investment	Aug 1996	32
Greg C Taylor	Reserving Consecutive Layers of Inwards Excess-of-Loss Reinsurance	Mar 1996	31
David C M Dickson & Alfredo D Egidio dos Reis	The Effect of Interest on Negative Surplus	Mar 1996	30
Des W Welch and Shauna Ferris	A Survey of Valuation Assumptions and Funding Methods Used by Australian Actuaries in Defined Benefit Superannuation Fund Valuations	Mar 1996	29
M E Atkinson	The Australian Government Superannuation Co-Contributions: Analysis and Comparison	Feb 1996	28
David C M Dickson & Ben Zehnwirth	David C M Dickson and Ben Zehnwirth	Feb 1996	27
Contemporary Issues in the Ongoing Reform of the Australian Retirement Income System	Contemporary Issues in the Ongoing Reform of the Australian Retirement Income System	Feb 1996	26

Working Papers 1995

Authors	Title of Paper	Date	Paper
David M Knox	Contemporary Issues in the Ongoing Reform of the Australian Retirement Income System	Dec 1995	25
David C M Dickson	Approximate Calculationof Moments of Ruin Related Distributions	Oct 1995	24
Angela Ryan	Early Retirement and the Optimal Retirement Age	Sep 1995	23
Margaret E Atkinson, John Creedy & David M Knox	An Equity Analysis of Some Radical Suggestions for Australia's Retirement Income System	Jun 1995	22
M E Atkinson & J Creedy	Modelling Optimal Retirement Decisions in Australia	Jun 1995	21
David M Knox	Some Financial Consequences of the Size of Australia's Superannuation Industry in the Next Three Decades	Jun 1995	20
David C M Dickson, Alfredo D Egidio dos Reis & Howard R Waters	Some Stable Algorithms in Ruin Theory and Their Applications	May 1995	19
Ben Zehnwirth	Outstanding Claim Liabilities: Are They Predictable?	Feb 1995	18
David C M Dickson & Alfredo D Egidio dos Reis	On the Distribution of the Duration of Negative Surplus	Jan 1995	17

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 Life-Cycle 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