CONTENTS

Highlights of 1999

The Year in Review

Academic Activities

Conference, Seminar and Lecture Presentations

Research Paper Series

Undergraduate and Honours Teaching

Honours Results and Theses Topics

Prize Winners

Seventh Annual Colloquium of Superannuation Researchers

Staff

Advisory Board

HIGHLIGHTS OF 1999

• The appointment of David Dickson to the Chair of Actuarial Studies.

• The appointment of four new Honorary Senior Fellows from industry, strengthening downtown links and bringing practical experience to our honours program.

• The award of the Victorian Rhodes Scholarship for 2000 to an actuarial student.

• The champagne launch of the second volume of the ADVANCE software package in March.

• The success of actuarial students at the Faculty of Economics and Commerce prizegiving ceremony.

• A major restructuring of the actuarial program to enhance the quality of actuarial education at the University of Melbourne.

• Research presentations by staff both in Australia and overseas. 

THE YEAR IN REVIEW

1999 was a year of change for the Centre for Actuarial Studies. It bad farewell to four members of staff and welcomed four new honorary Senior Fellows.

The undergraduate and honours programs continue to flourish, with overall student numbers showing an increase from 1998.

Staff continue to be active in research, with publications in top journals and research presentations around the globe.

Student achievements

Tom Snow has been awarded the Rhodes Scholarship for Victoria for 2000. Tom graduated with a double degree in Commerce and Science in 1999, with an outstanding academic record that included sharing the AMPCASS Consulting Prize for best overall performance in 3rd year actuarial subjects in 1998.

At the Faculty of Economics and Commerce Prizegiving Ceremony in March, the following awards were made to actuarial students, based on performance in 1998:

• A C Morley Prize, awarded to the best first year student: Ha Chin Kean
• Paton Advertising Service Exhibition, awarded to the best second year student: Jeffrey Chee
• J F Major Memorial Scolarship, awarded to the best third year student intending to undertake the BCom(Hons): Eng Hun Yeoh
• William Noall & Son Prize, awarded to the best honours student: Amanda Johnston and Judy Wang

International links

Congratulations to Greg Taylor on his election as an Honorary Member of the Association of Swiss Actuaries in recognition of his many contributions to actuarial science.

Professor Ragnar Norberg's stay as GIO Visiting Professorial Fellow concluded at the end of January. During his visit Ragnar gave seminar presentations at the university and conducted research that was subsequently published in the Centre's Research Paper Series.

As in previous years, the Centre taught students on exchange from Heriot-Watt University and from the University of Amsterdam. In return, three Melbourne students studied at Heriot-Watt in 1999.

Staff continued to make presentations overseas, with talks being given in Europe, North America and Asia.
 

Research activities

The following pages outline the research interests and activities of staff.  Additions to the Centre's Research Paper Series during 1999 are listed on page xx.  The papers are available in printed form from the Centre or on the web at the following address: www.economics.unimelb.edu.au/actwww/papers.html.

The main areas of research in 1999 were mathematical finance, superannuation and risk theory.

The Seventh Annual Colloquium of Superannuation Researchers was held in July, attracting around fifty delegates from industry and academia. After seven years of hosting the colloquium, the Centre has passed responsibility for the running of next year's colloquium to the University of New South Wales.

Teaching activities

During the year, the Centre conducted a major review of its undergraduate and honours programs. The main result of this review is a restructuring of the way material is taught at third year and honours level. From 2000, subjects taught at these levels will differ from those listed on page xx. The restructuring will allow students to gain exemption from Parts I and II of the professional examinations of the Institute of Actuaries of Australia.

The 1999 academic year marked the end of the Centre's teaching by video-conferencing to the Australian National University. Following the appointment of actuarial staff at ANU late in the year, all actuarial subjects offered at ANU in 2000 will be taught by ANU academics.

The Centre again ran a very successful distance education program for students taking Part II of the professional qualification of the Institute of Actuaries of Australia.

In February the Centre launched Volume 2 of its software package ADVANCE 2, which includes modules on risk models, ruin theory, credibility theory, and reserving, premium calculation and profit testing in life insurance. Members of staff from within and outside the Faculty of Economics and Commerce attended a presentation by Donna Walker who demonstrated the package's capabilities. The launch concluded with a champagne reception.

Staff news

David Dickson was appointed as Professor of Actuarial Studies and Director of the Centre. David has been a member of staff in the Centre since 1993 when he was appointed as Senior Lecturer. He was promoted to Associate Professor in 1998.

The Centre has appointed four Honorary Senior Fellows - Richard Fitzherbert, Julian Gribble, Bruce Rafter and Allen Truslove. Between them, this quartet has considerable expertise and experience in the main areas of actuarial practice in Australia. Their appointment marks a change in the Centre's plans for teaching of the honours subjects Actuarial Control Cycle I & II. These subjects provide an introduction to actuarial practice, and the Centre's intention is that, in future, these subjects will be taught by experienced practitioners.

Emma Koch has been appointed as the Centre's administrative co-ordinator.

David Knox resigned in July to take up an appointment with PricewaterhouseCoopers. As foundation Professor of Actuarial Studies, David was the first appointment in actuarial studies at the University of Melbourne, taking up his position in July 1992. In addition to being Director of the Centre, David played an active role in the affairs of both the Faculty of Economics and Commerce and the Institute of Actuaries of Australia.

Daniel Dufresne has returned to the University of Montreal to take up an appointment as professor. Congratulations to him on this appointment.

Donna Walker, Lecturer in Actuarial Studies, and Kathy Cornish, the Centre's administration officer, both resigned to take up positions downtown.

The Centre thanks each of them for their contributions to its success and wishes them well in the future.

Acknowledgement

The changes in personnel in 1999 placed a considerable burden on those working in the Centre in the second half of the year. The successful running of the academic program owed much to the goodwill and co-operation of many people, including the students. In particular, the Director thanks Maggie Atkinson and Donna Walker on the academic side, and Emma Koch and the administrative staff in both the Department of Economics and the Faculty Office for all their support.
 

ACADEMIC ACTIVITIES

Publications in Refereed Journals

Atkinson, M.E., Creedy, J. and Knox, D.M., Alternative retirement income arrangements and lifetime income inequality: lessons from Australia. International Tax and Public Finance, 6, 1, 103-107.

Atkinson, M.E., Creedy, J. and Knox, D.M., Some implications of changing the tax basis for pension funds. Fiscal Studies, 20, 2 June 1999, 189-204.

Dickson, D.C.M. and Waters, H.R., Ruin probabilities with compounding assets. Insurance: Mathematics & Economics, 25, 1, 49-62.

Dickson, D.C.M., On numerical evaluation of finite time survival probabilities. British Actuarial Journal, 5, 575-584..

Dickson, D.C.M. and Waters, H.R., Multi-period aggregate loss distributions for a life portfolio. ASTIN Bulletin, 29, 295-309.

Knox, D.M. and Cornish, R., The development of some characteristics for equitable national retirement. International Social Security Review, 52, 4/99, 25-45.

Books

Atkinson, M.E. and Dickson, D.C.M., An Introduction to Actuarial Studies. Blackbird Resources, Laburnum, VIC.

Taylor, G.C., Loss Reserving: An Actuarial Perspective. Kluwer Academic Publishers, Boston.

Chapters in Books

Atkinson, M.E., Creedy, J., The choice of early retirement age and the Australian superannuation system, in Labour Mobility, Earnings and Unemployment, Selected Papers (J. Creedy ed.).  Edward Elgar, Cheltenham.

Conference Publications

Dickson, D.C.M. and Sundt, B., Comparison of methods for evaluation of the convolution of two compound R₁ distributions. Proceedings of the XXXth ASTIN Colloquium, 201-218.

Sundt, B. and Dickson, D.C.M., Comparison of methods for evaluation of the n-fold convolution of an arithmetic distribution. Proceedings of the XXXth ASTIN Colloquium, 275-286.
 

Computer Software

Atkinson, M.E., Cox, S., Dickson, D.C.M., Foster, J., Walker, D.J., ADVANCE 2 (Volume 2). Distributor Gold Software International Pty Ltd, Melbourne.

Involvement as Referees

During the year, members of the Centre acted as referees for the following journals:

ASTIN Bulletin, Insurance: Mathematics & Economics, North American Actuarial Journal and Scandinavian Actuarial Journal.

CONFERENCE, SEMINAR AND LECTURE PRESENTATIONS IN 1999

Dickson, D.C.M., "Some problems in ruin theory", University of Toronto, June.

Dickson, D.C.M., "Relative reinsurance retention levels", University of Melbourne, August.

Dickson, D.C.M., "Comparison of methods for evaluation of the convolution of two compound R₁ distributions", XXXth ASTIN Colloquium, Tokyo, August.

Dickson, D.C.M., "Ruin problems for phase-type(2) risk processes", Meeting on Risk Theory, Oberwölfach, September.

Dufresne, D., "Interplay between finance and insurance", Workshop on Probability in Finance, Fields Institute, Toronto, January.

Knox, D. M., "Super Reform?  How do we get it right?", Association of Superannuation Funds of Australia Luncheon, Melbourne, March.

Knox, D. M., "The Australian life annuity market:  Is there value for the purchaser?", 7th Annual Colloquium of Superannuation Researchers, Melbourne, July.

Walker, D.J., "Actuarial education in health financing", Institute of Actuaries of Australia Biennial Convention, Darwin, June.
 

RESEARCH PAPER SERIES

The Centre has an established Research Papers Series and the papers published in 2000 are listed below. Abstracts and electronic forms of papers are available on the World Wide Web (www.economics.unimelb.edu.au/actwww/wp.html).

UNDERGRADUATE AND HONOURS TEACHING

The numbers enrolled in each subject for the last three years are shown below.
 

Subject Name	Total 1997	Total 1998	Total  1999
300-101 Actuarial Studies I - Melbourne 300-101 Actuarial Studies I - ANU	78  31	115 45	116 -
300-203 Maths in the Financial World - Melbourne 300-203 Maths in the Financial World - ANU	65 41	74 38	118 43
300-204 Introduction to Stochastic techniques in Financial Mathematics	32	39	68
300-302 Actuarial Statistics - Melbourne 300-302 Actuarial Statistics - ANU	44 20	50 28	53 20
300-320 Risk Theory I - Melbourne 300-320 Risk Theory I - ANU	41 23	56 33	66 -
300-321 Risk Theory II - Melbourne  300-321 Risk Theory II - ANU	- -	- -	48 -
300-322 Actuarial Principles I - Melbourne 300-322 Actuarial Principles I - ANU	45 20	49 26	60 27
300-322 Actuarial Principles II - Melbourne 300-322 Actuarial Principles II - ANU	- -	- -	60 27
300-311 Life Insurance Mathematics - Melbourne 300-311 Life Insurance Mathematics - ANU	41 14	50 22	53 23
300-400 Actuarial Research Essay - Melbourne	6	10	8
300-403 Advanced Risk Theory - Melbourne	6	13	5
300-410 The Actuarial Control Cycle I - Melbourne 300-410 The Actuarial Control Cycle I - ANU 300-410 The Actuarial Control Cycle I - Distance	44 7 41	45 8 39	38 15  28
300-411 The Actuarial Control Cycle II - Melbourne 300-411 The Actuarial Control Cycle II - ANU 300-411 The Actuarial Control Cycle II - Distance	42 6 36	45 8 39	33 14 26
Total Enrolments	683	832	946

Notes: 
 

1.  Students at the ANU received lectures by video-conferencing from Melbourne to Canberra.

2.  The Distance students, in centres throughout South East Asia, Australia and New Zealand, received the lectures through videotapes. 

HONOURS RESULTS AND THESES TOPICS

The following students successfully completeda Bachelor of Commerce (Honours) with a specialisation in Actuarial Studies:

First Class Honours
Yuh Woei Chia
Keith Chong
Stephen James
Carol Lee
George Wong

Upper Second Class Honours
Tze-wei Chong
Derek Clark

Lower Second Class Honours
Gayle Chua

The following list represents the topics of the honours theses submitted by the honours students.  The variety highlights the wide range of topics chosen, ranging from the theoretical to the practical.
 

• A study of the conditional distribution of the deficit at ruin for an Erlang(2) risk process
• A model for estimating and projecting Victorian fertility

• Explicit solutions for the survival probability for Erlang(2) risk processes

• Valuing superannuation taxation concessions

• A two-sided bound for ruin probability in the Sparre Andersen model when the adjustment coefficient does not exist

• Assessing the impact of the retirement of the baby boomer generation on superannuation equity investment flows and the Australian equity market

• Numerical illustrations of the multivariate Panjer recursion
• Testing of upper bounds for the tails of compound negative binomial distributions

 

PRIZE WINNERS

The following prizes were awarded: 

The AMPCASS Prize 
for the best 3rd year result in actuarial subjects
Jeffrey Chee 

The Colonial Mutual Prize
for Actuarial Studies I
Chor Wu Yap 

The National Mutual Prize
for Mathematics in the Financial World
Chin Kean Ha

The NSP Buck Prize
for Actuarial Principles I & II
 Jeffrey Chee

The Tillinghast Prize
for Risk Theory I & II
Jeffrey Chee 

The Trowbridge Consulting Prize
for Actuarial Control Cycle I & II
Yuh Woei Chia 

SEVENTH ANNUAL COLLOQUIUM OF SUPERANNUATION RESEARCHERS

The following paperas were presented at the Seventh Annual Colloquium of Superannuation Researchers held at The University of Melbourne on July 8-9.
 

AUTHOR	TITLE
Mr Ross Clare and Mr Douglas Connor (Association of Superannuation Funds of Australia Limited)	The Superannuation Market
Ms Heather Crawford (Australian Bureau of Statistics)	The Survey of Employment Arrangements and Superannuation
Mr Richard Cumpston and Mr Hugh Sarjeant (Cumpston Sarjeant)	Estimates of Superannuation Assets in Divorces, and Proposals for Legislative Reform
Mr Richard Cumpston  and Mr Hugh Sarjeant (Cumpston Sarjeant)	Stochastic Projections of Australia's Superannuation Contributions and Benefits
Ms Suzanne Doyle and  Mr John Piggott (University of New South Wales)	Mandatory Annuity Design:  A Preliminary Study
Ms Karolina Duklan and Mr Craig Thorburn (Australian National University)	An Imperfect Match
Ms Isabel Gordon (University of Sydney)	How the Corporates are "Paying Up" for Superannuation
Dr Ross Guest, (Griffith University) and  Professor Ian McDonald (The University of Melbourne)	Ageing, Immigration and Optimal National Saving in Australia
Mr Tim Higgins and Mr Craig Thorburn (Australian Prudential Regulatory Authority)	Life in Abundance:  The Australian Life Tables 1995-97 and Some Observations on Australian Mortality
Mr Robert Katz (The World Bank)	Are Defined Benefit and Defined Contribution Plans Really Different?  Implications for Government Sponsored Retirement Schemes
Professor David Knox (The University of Melbourne)	The Australian Life Annuity Market: Is the Value for the Purchaser?
Dr Diana Olsberg (University of New South Wales)	Public Policy, Choice and Individual Responsibility:  Making Decisions at Retirement
Dr Matthew Roberts (Australian Prudential Regulatory Authority)	Measuring the Superannuation Industry - Current Issues
Ms Sue Taylor (Queensland University of Technology)	Australia's Mandatory Occupational Superannuation Regime:  An Evaluation of Opposing Claims
Ms Julie Tinnion and Mr George Rothman (Department of the Treasury)	Retirement Income Adequacy and the Emerging Superannuation System
Mr Isi Unikowski (Retirement Team CentreLink)	Public Education on Retirement Planning:  Does it Make a Difference?

STAFF 

Professor of Actuarial Studies

 David C M Dickson, BSc(Hons), PhD, FFA, FIAA

Lecturer in Actuarial Studies

Margaret E Atkinson, BA(Hons), MPhil, PhD 

Professorial Associate

Greg C Taylor, BA, PhD, PhD, FIA, FIAA, FIMA, C Math 

Honorary Senior Fellows

Richard Fitzherbert, BSc (Hons), FIAA, FIA, ASIA

Jules Gribble, BSc (Hons), PhD, FIAA, FCIA, FSA

Bruce Rafter, BCom, FIAA, FIA

Allen Truslove, BSc (Hons), PhD, MBA, FIAA, FIA
 

Administrative Co-ordinator

Emma Koch, BA(Hons)

ADVISORY BOARD

The membership fo the Advisory Board is as follows.

External Members
Mr Graham Rogers, Offley House Group 
Mr Mike Paterson, CMG Asia 
Mr Bruce Rafter
Dr Greg Taylor, Taylor-Fry
Mr Craig Thorburn, Australian Prudential Regulation Authority

University Members
Dr Margaret Atkinson
Lecturer, Centre for Actuarial Studies 
Professor Kevin Davis 
Head of Department, Department of Accounting & Finance 
Dr David Dickson, Centre for Actuarial Studies 
Professor John Freebairn
Head of Department, Department of Economics 
Professor Ross Williams
Dean, Faculty of Economics & Commerce