Kevin Fergusson

Fast maximum likelihood estimation of parameters for square root and Bessel processes

Kevin Fergusson

Journal article  |  2020  |  Studies in Nonlinear Dynamics & Econometrics

Explicit formulae for maximum likelihood estimates of the parameters of square root processes and Bessel processes and first and s..

LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC

Kevin Fergusson

Journal article  |  2020  |  ASTIN Bulletin

Variable annuities are products offered by pension funds and life offices that provide periodic future payments to the investor an..

Forecasting inflation using univariate continuous‐time stochastic models

K Fergusson

Journal article  |  2020  |  Journal of Forecasting

In this paper we investigate the applicability of several continuous‐time stochastic models to forecasting inflation rates with ho..

Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure

K Fergusson

Journal article  |  2019  |  Scandinavian Actuarial Journal

The Cox–Ingersoll–Ross CIR short rate model is a mean-reverting model of the short rate which, for suitably chosen parameters, per..

The profit-and-loss attribution test

Peter Thompson, Hayden Luo, Kevin Fergusson

Journal article  |  2017  |  Journal of Risk Model Validation

An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims

Enrique Calderin-Ojeda, Kevin Fergusson, Xueyuan Wu

Journal article  |  2017  |  Risks

ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE

K FERGUSSON

Journal article  |  2017  |  Annals of Financial Economics

Vasicek's short rate model is a mean reverting model of the short rate which permits closed-form pricing formulae of zero coupon b..

Extreme Weather: Why the Impact Will Be Felt More Widely

Kevin Fergusson

Original Creative Work - Textual Work  |  2017

Properties in areas at high-risk of extreme weather such as flooding will necessarily incur a higher premium, so more disaster mit..

EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS

K FERGUSSON

Journal article  |  2017  |  Annals of Financial Economics

A discounted equity index is computed as the ratio of an equity index to the accumulated savings account denominated in the same c..

Hard and Difficult Debate on Super Will Not Go Away

K Fergusson

Original Creative Work - Textual Work  |  2016

The superannuation policies of the major parties heading into this election were never going to address the elephant in the room, ..

Pre-election Policy Analysis: Superannuation

K Fergusson

Original Creative Work - Textual Work  |  2016

This paper discusses superannuation election promises and their implications.

Preliminary Work on the Prediction of Extreme Rainfall Events and Flood Events in Australia

K FERGUSSON

Report  |  2016

Among many scientific discoveries over the centuries, the pioneering work in Richardson [1922] has provided the mathematical theor..

Application of Maximum Likelihood Estimation to Stochastic Short Rate Models

K FERGUSSON, E PLATEN

Journal article  |  2015  |  Annals of Financial Economics

The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome de..

Hedging Long-Dated Interest Rate Derivatives for Australian Pension Funds and Life Insurers

K FERGUSSON, E Platen

Journal article  |  2014  |  Australian Journal of Actuarial Practice

On the distributional characterization of daily log-returns of a world stock index

K Fergusson, E Platen

Journal article  |  2006  |  Applied Mathematical Finance

Partitions into large unequal parts from a general sequence

KJ Fergusson

Journal article  |  2006  |  Journal of the Australian Mathematical Society

Partitions into large unequal parts

K Fergusson

Journal article  |  1997  |  Bulletin of the Australian Mathematical Society