# Working Papers

## 2018

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

David Dickson | An identity based on the generalised negative binomial distribution with applications in Ruin Theory | Jan 2018 | 2035 | 978 0 7340 5420 3 |

Jules Gribble & Lesley Traverso | Actuary Reinvented – Strategic context for Actuarial Education | Jan 2018 | 2034 | 978 0 7340 5419 7 |

## 2014

## 2013

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 | N/A |

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 | N/A |

Mark Joshi and Chun Fung Kwok | The rate of convergence of the two-state lattice model for pricing vanilla options | Nov 2011 | 233 | N/A |

## 2012

## 2011

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 |

## 2010

## 2009

## 2008

## 2007

## 2006

## 2005

## 2004

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 |

## 2003

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 |

## 2002

## 2001

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 |

## 2000

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

A J G Cairns, D C M Dickson, A S Macdonald, H R Waters & M Willde | Stochastic Processes: Learning the Language | Jan 2000 | 76 |

## 1999

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 |

## 1998

## 1997

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 |

## 1996

## 1995

## 1994

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 |

## 1993

Authors | Title of Paper | Date | Paper | ISBN |
---|---|---|---|---|

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 |