Subject area for

Faculty Member
 A/PROF Shuanming Li Faculty Member
 DR Xueyuan Wu Faculty Member
 MR Kevin Fergusson
 PROF Paul Kofman Faculty Member

Conference Papers Refereed

Grant

Journal Articles Refereed
 A Bayesian Approach to Parameter Estimation for Kernel Density Estimation via Transformations
 A Genetic Algorithm for InvestmentConsumption Optimization with ValueatRisk Constraint and InformationProcessing Cost
 A Note on Parameter Estimation in the Composite WeibullPareto Distribution
 A Numerical Approach to Optimal Dividend Policies with Capital Injections and Transaction Costse
 A Suitable Alternative to the Pareto Distribution
 A new equilibrium trading model with asymmetric information
 A note on joint occupation times of spectrally negative Levy risk processes with tax
 A note on some joint distribution functions involving the time of ruin
 A reinsurance game between two insurance companies with nonlinear risk processes
 A strategy for hedging risks associated with period and cohort effects using qforwards
 ALMOST SURE AND pTHMOMENT STABILITY AND STABILIZATION OF REGIMESWITCHING JUMP DIFFUSION SYSTEMS
 AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS
 APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS
 ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REALWORLD MEASURE
 Aggregate claim models with oneway and twoway dependence among individual claims
 An EM Algorithm for DoubleParetoLognormal Generalized Linear Model Applied to HeavyTailed Insurance Claims
 An Efficient Method for Mitigating Longevity ValueatRisk
 An identity based on the generalised negative binomial distribution with applications in ruin theory
 Analysis of some ruinrelated quantities in a Markovmodulated risk model
 Analytical expressions of risk quantities for composite models
 Approximation of a class of nonzerosum investment and reinsurance games for regimeswitching jump–diffusion models
 Approximation of optimal ergodic dividend strategies using controlled Markov chains
 Arbitrage and leverage strategies in bubbles under synchronization risks and noisetrader risks
 Assessing basis risk in indexbased longevity swap transactions
 Asymptotics of bond yields and volatilities for extended CIR models under the realworld measure
 Bayesian local robustness under weighted squarederror loss function incorporating unimodality
 Beta transform and discounted aggregate claims under dependency
 Can the Life Insurance Market Provide Evidence for a Bequest Motive?
 Capital injections with negative surplus and delays: Models and analysis
 Constructing OutoftheMoney Longevity Hedges Using Parametric Mortality Indexes
 Credibility premiums for natural exponential family and general 01 loss function
 Deltahedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk
 Demographic risk in deepdeferred annuity valuation
 Distributional study of finitetime ruin related problems for the classical risk model
 Drivers of Mortality Dynamics: Identifying Age/Period/Cohort Components of Historical U.S. Mortality Improvements
 Dynamic Stochastic Cooperative Reinsurance Strategy in a Continuous Time Model
 EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS
 Equilibrium Distributions of Discrete Phase Type
 Expected discounted dividends in a discrete semiMarkov risk model
 Forecasting inflation using univariate continuousâtime stochastic models
 GerberShiu analysis of a risk model with capital injections
 Hedging LongDated Interest Rate Derivatives for Australian Pension Funds and Life Insurers
 Improving Risk Sharing and Borrower Incentives in Mortgage Design
 JOINT DISTRIBUTIONS OF SOME RUIN RELATED QUANTITIES IN THE COMPOUND BINOMIAL RISK MODEL
 Lifecycle patterns in the design and adoption of default funds in DC pension plans
 Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
 MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES
 MARKOWITZ'S MEANVARIANCE OPTIMIZATION WITH INVESTMENT AND CONSTRAINED REINSURANCE
 MODELLING INSURANCE DATA WITH THE PARETO ARCTAN DISTRIBUTION
 MODELLING ZEROINFLATED COUNT DATA WITH A SPECIAL CASE OF THE GENERALISED POISSON DISTRIBUTION
 Markowitz's meanvariance defined contribution pension fund management under inflation: A continuoustime model
 Matrixform Recursive Evaluation of the Aggregate Claims Distribution Revisited
 Meanvariance assetliability management under constant elasticity of variance process
 Modeling claims data with composite Stoppa models
 Mortality Forecasting for Multiple Populations: An Augmented Common Factor Model with a Penalized LogLikelihood
 Multivariate Credibility in BonusMalus Systems Distinguishing between Different Types of Claims
 Number of Jumps in TwoSided FirstExit Problems for a Compound Poisson Process
 Numerical Methods for Optimal Dividend Payment and Investment Strategies of MarkovModulated Jump Diffusion Models with Regular and Singular Controls
 Numerical methods for optimal dividend payment and investment strategies of regimeswitching jump diffusion models with capital injections
 On a discrete time risk model with timedelayed claims and a constant dividend barrier
 On a discretetime risk model with claim correlated premiums
 On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends
 On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment
 On the discounted penalty function in a discrete time renewal risk model with general interclaim times
 On the occupation times in a delayed Sparre Andersen risk model with exponential claims
 On the prediction of claim duration for income protection insurance policyholders
 On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
 On the time and the number of claims when the surplus drops below a certain level
 Optimal Debt Ratio and Consumption Strategies in Financial Crisis
 Optimal Dividends and Capital Injections in the Dual Model with a Random Time Horizon
 Optimal debt ratio and dividend payment strategies with reinsurance
 Optimal dividend payment strategies with debt constraint in a hybrid regimeswitching jumpdiffusion model
 Optimal investment and dividend payment strategies with debt management and reinsurance
 Optimal proportional reinsurance and investment with regimeswitching for meanvariance insurers
 Optimal quotashare reinsurance based on the mutual benefit of insurer and reinsurer
 Optimal reinsurance strategies in regimeswitching jump diffusion models: Stochastic differential game formulation and numerical methods
 Optimal reinsurance under dynamic VaR constraint
 Optimal reinsurance under multiple attribute decision making
 Pricing dynamic fund protections for a hyperexponential jump diffusion process
 Pricing dynamic fund protections with regime switching
 Pricing longevitylinked derivatives using a stochastic mortality model
 RealOption Valuation in a FiniteTime, Incomplete Market with Jump Diffusion and InvestorUtility Inflation
 Robust nonzerosum investment and reinsurance game with default risk
 Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem
 Ruin problems in Markovmodulated risk models
 Shorthorizon regulation for longterm investors
 Some Recent Progress on Numerical Methods for Controlled RegimeSwitching Models with Applications to Insurance and Risk Management
 Some ruin problems for the MAP risk model
 Stochastic differential reinsurance games with capital injections
 Survival Analysis of Left Truncated Income Protection Insurance Data
 The density of the time of ruin in the classical risk model with a constant dividend barrier
 The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
 The expected discounted penalty function: from infinite time to finite time
 The finite time ruin probability in a risk model with capital injections
 The finitetime ruin probability under the compound binomial risk model
 The multivariate negative binomialLindley distribution. Properties and new representation for the univariate case
 The profitandloss attribution test
 Unconditional distributions obtained from conditional specification models with applications in risk theory

Journal Articles Unrefereed

Journal Articles Unrefereed Letters Or Notes

Minor Reports And Working Papers

Reports And Working Papers
 Are financial reports still useful to investors?
 Modeling Large Claims with Composite Stoppa Models
 Preliminary Work on the Prediction of Extreme Rainfall Events and Flood Events in Australia
 Relevance of alternative performance measures and nonfinancial information for investor decision making in Australia
 The decisionusefulness of financial reports and the future of (financial) reporting
 The effect of company size, profitability and the introduction of IFRS on the relevance of financial reports for investor decision making
 The effect of industry on the relevance of financial reports for investor decision making

Research Book Chapters

Revised Books