CONTENTS

Highlights for 2001

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

Staff

Advisory Board

HIGHLIGHTS OF 2001

• David Dickson delivered his Inaugural Professorial Address in February

• The Centre implemented its new Honours program with a record number of Honours students

• Distance learning by video-streaming on the internet was introduced in Semester 2

• Richard Fitzherbert's sessional meeting paper in October created interest in both the profession and the media

• The Centre successfully recruited new staff during the year

• Actuarial students again dominated the major year level prizes in the Faculty of Economics and Commerce

THE YEAR IN REVIEW

Introduction

The Centre for Actuarial Studies is the focal point for actuarial education in Victoria.  Over the last twelve months it has continued to develop its teaching and research.  The Centre continues to have strong professional and international links as detailed in the following pages.

Staff news

Mr Mr Edward McEllin was appointed as a Lecturer in Actuarial Studies from 1 September.  Eddie joins the Centre from the United States, having gained seven years experience of the health insurance industry there working for the Blue Cross Blue Shield insurance company.  Prior to that he gained his tertiary qualifications at the University of Arizona, with a major specialisation in economics and a minor in mathematics.  Eddie is an Associate of the Society of Actuaries and has completed all the examination requirements to become a Fellow.

Richard Fitzherbert was appointed as a Senior Lecturer within the Centre as from 1 July. Richard's research interests lie in the investment area. He has previously served as both a tutor and examiner for the Institute of Actuaries of Australia, and his book Blueprint for Investment forms part of the reading for the Institute's exam in Investment Management.

Mr Grant Harslett was appointed as an Honorary Senior Fellow from 1 January. He was appointed as a member of the lecturing team for subjects 300-410 and 300-411.  Grant has previously been involved with the actuarial program at the university, first as a tutor in the days before there were permanent academic staff here, and more recently as a member of the Centre's Advisory Board.  Grant will be the superannuation expert in the teaching team, replacing Bruce Rafter who decided to step down both from teaching and the Centre's Advisory Board at theend of 2000.  We thank Bruce for his contribution to the Centre over the last few years.

Greg Taylor was re-appointed as a Professorial Fellow within the Centre for a further period of five years.

Inaugural Professorial Address

David Dickson delivered his Inaugural Professorial Address in February to an audience of around 75, comprising downtown actuaries, academics, university graduates and current students.  In his address, entitled "Modern Landmarks in Actuarial Science", David gave a personal view of the important contributions to actuarial research in recent times, discussing their impact on actuarial practice, research and teaching.  A full copy of the address can be obtained from the Centre's website.

Research Activities

The following pages outline the research interests and activities of staff. Additions to the Centre's Research Paper Series during 2001 are listed on page 14.  The papers are available in printed form from the Centre or on the internet at the following address:

      http://www.economics.unimelb.edu.au/actwww/papers.html

The main areas of research in 2001 were stochastic interest rate models, ruin theory, aggregate claims distributions and reliability theory.

Teaching Activities

A brand new honours program was launched in the 2001 academic year. The following new subjects were introduced:

       300-406 Risk Theory I

       300-407 Risk Theory II

       300-408 Advanced Financial Mathematics

The content of subjects 300-406 and 300-407 broadly corresponds to that of Subject 106 of the professional exams of the Institute of Actuaries of Australia, while the content of subject 300-408 covers the mathematical side of the Institute's Subject 109.

A total of twenty-four students successfully completed honours in 2001, an increase of nine over 2000's record number of completions.

The Centre's distance education program, covering Part II of the Institute of Actuaries of Australia's professional syllabus, went on-line in Semester 2. Instead of using video-tapes to provide distance education, video-streaming on the internet was introduced. A sample lecture can be viewed at

http://www.economics.unimelb.edu.au/RealServer/Streaming/ActCont/ActContMain.html

Teaching was supported by a number of local actuaries. In addition to specialist guest lectures in subjects 300-410 and 300-411 Actuarial Practice and Control I and II, lectures were given by Mr Iain Ross and Mr Stephen Huppert, both members of the Melbourne actuarial community.  Iain conducted lectures on actuarial practice for first year students while Stephen taught 300-341 Actuarial Mathematics I in second semester.

Professional Activities

Richard Fitzherbert presented his paper "Volatility, beta and return: was there ever a meaningful relationship?" to the October sessional meetings of the Institute of Actuaries of Australia. In addition to attracting packed houses to each meeting, there were media articles about the paper in both the Australian Financial Review and the Sunday Age.

Jules Gribble was Chairman of the Review Committee for the Syllabus of Part II of the professional qualification of the Institute of Actuaries of Australia. As such, he gave a presentation at the Institute's biennial convention in May.

Jules was also an organiser of the international symposium on Managing Regulatory Change in Life Insurance and Pensions, held in Beijing in November.  He also gave a presentation at this meeting.

Greg Taylor was a Member of the Institute of Actuaries of Australia Task Force charged with producing a General Insurance standard for valuation of outstanding claim liabilities.

Greg was also a session organiser, chairman and paper discussant at the International Statistical Institute biennial conference in Seoul in August.

International Visitors

Dr Zhang Lianzeng from the Department of Risk Management and Insurance, Nankai University, China, visited the Centre for a week in June and presented a research seminar.

Dr Vladimir Kaishev from the Institute of Mathematics and Informatics at the Bulgarian Academy of Sciences in Sofia visited the Centre from July to December.  During this time Vladimir contributed to the Centre's research activities and taught subject 300-342 Actuarial Mathematics II.

Professor Harry Panjer from the University of Waterloo paid a flying visit to the Centre in November and presented a research seminar.

Professor Ragnar Norberg from the London School of Economics visited the Centre for a week in December and presented a research seminar.

Professor Howard Waters from Heriot-Watt University, Edinburgh, visited the Centre in December in his capacity as Independent Examiner for the UK professional actuarial bodies.  During his two-week visit he also gave a research seminar.

The Centre again played host to two exchange students from Heriot-Watt University, and sent four students there in return.

Student Achievements

For the second year running, actuarial students won all the major year level awards in the Faculty of Economics and Commerce, as detailed on page 19.  An indicator of the high quality of the actuarial student body is the number of students who are placed on the Dean's Honours List.  Although actuarial students comprise less than 10% of students in the Faculty of Economics and Commerce, 32% of students on the Dean's Honours List were actuarial students.

ACADEMIC ACTIVITIES

Publications in Refereed Journals

Dickson, D.C.M. and Hipp, C., On the time to ruin for Erlang(2) risk processes. Insurance:  Mathematics & Economics 29, 333-344.

 Dickson, D.C.M., Modern landmarks in actuarial science.  Australian Actuarial Journal 7, 217-245.

Dickson, D.C.M. and Sundt, B., Comparison of methods for evaluation of the convolution of two compound R1 distributions.  Scandinavian Actuarial Journal, 40-54.

Fitzherbert, R.M., Volatility, beta and return:  was there ever a meaningful relationship?  Australian Actuarial Journal 7, 681-714.

Taylor, G.C., Geographic rating by Whittaker spatial smoothing.  ASTIN Bulletin 31, 151-164.

Willmot, G.E., Cai, J. and Lin, X.S., Lundberg inequalities for renewal equations. Advances in Applied Probability 33, 674-689.

Willmot, G.E. and Cai, J., Aging and other distributional properties of discrete compound geometric distributions.  Insurance:  Mathematics & Economics 28, 361-379.

Other Publications

Gribble, J.D. and McGing, S., Insurance on line:  one year on .  Proceedings of 2001 IAAust Biennial Convention.

Involvement as Referees

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

• ASTIN Bulletin
• Australian Actuarial Journal
• Insurance:  Mathematics & Economics
• North American Actuarial Journal
• Scandinavian Actuarial Journal
• South African Actuarial Journal
• Statistics and Probability Letters

Other Activities

David Dickson is an associate editor of Insurance: Mathematics & Economics and of British Actuarial Journal.

David Dickson is Adjunct Professor at the University of Waterloo.

Richard Fitzherbert is an associate editor of Australian Actuarial Journal.

Richard Fitzherbert is the appointed actuary of East Yarra Friendly Society.

Greg Taylor is an associate editor of Insurance: Mathematics & Economics.

RESEARCH PAPER SERIES

The Centre has an established Research Papers Series and the papers published in 2001 are listed below. Abstracts and electronic forms of papers are available on the World Wide Web

(http://www.economics.unimelb.edu.au/actwww/papers.html)

UNDERGRADUATE AND HONOURS TEACHING

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

Subject Name	1999	2000	2001
300-101 Introduction to Actuarial Studies	116	94	84
300-203 Financial Mathematics I	118	117	102
300-204 Financial Mathematics II	68	79	74
300-330 Survival Models:  Theory and Applications*	60	69	81
300-331 Modelling in Insurance and Finance I	-	65	69
300-332 Modelling in Insurance and Finance II	-	52	60
300-341 Actuarial Mathematics I*	53	51	64
300-342 Actuarial Mathematics II*	53	45	65
300-400 Actuarial Studies Research Essay	8	16	24
300-406 Risk Theory I*	5	18	19
300-407 Risk Theory II*	5	18	16
300-408 Advanced Financial Mathematics	-	-	25
300-410 The Actuarial Control Cycle I	38	46	37
300-410 The Actuarial Control Cycle I - Distance	28	11	13
300-411 The Actuarial Control Cycle II	33	31	39
300-411 The Actuarial Control Cycle II - Distance	26	14	6
Total Enrolments	611	726	778

The numbers shown for 1999 and 2000 for subjects marked * refer to enrolments in subjects broadly corresponding to new subjects introduced in 2000 and 2001.

The Distance students, in centres throughout South East Asia and Australia, received the lectures through video tapes and video streaming.

As in previous years, the teaching of subjects 300-410 and 300-411 was supported by a number of guest lectures by practising actuaries on specialised topics.

HONOURS RESULTS AND THESES TOPICS

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

First Class Honours

Eric Lew
Gordon Li
Tzer-Han Lim
Yee Yan Lo
Philip Rappoccio
Eugene Tan
Justin Tang
Agnes Wong

Upper Second Class Honours

Alistair Barker
Darryl Frank
Justin Gray
Su Lin Hoh
Jessica Leong
Edward Leung
Kenric Leung
Elena Quek
Peter Stuchbery
Kien Trinh

Lower Second Class Honours

Marianne Ho
Tania Leong
Jacalin Lo
Jayeeta Saha

Third Class Honours

Addy Khouth
Hoi Ning Yong

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.

Topics of honours research essays included:

• Modelling extremes of daily price changes in a stock market
• Deficit at ruin in the classical risk model modified by interest
• Diffusion models with given distribution tail behaviour
• Evaluation of annuities payable more frequently than annually
• Sensitivity analysis of personal injury compensation
•  Graduation of population mortality data by kernel methods
• Socially responsible investment
• Short-term interest rate models
• Stochastic stock price volatility
• Causality between stock market and exchange rate returns
• Non-parametric estimation of conditional measures of risk
• Application of the Wilkie model to defined benefit funds in Australia
• Interaction between the spot market and the stock index futures market

PRIZE WINNERS

Actuarial Subject Prizes 

The AMP Consulting Prize for Modelling in Insurance and Finance I and II
Benjamin Chan and Hong Yong Leong (equal share)

The AXA Australia Prize for Financial Mathematics I and II
Harry Lee

The Colonial Prize for Introduction to Actuarial Studies
Anthony Chan

The NSP Buck Prize for Survival Models: Theory and Applications
Benjamin Chan and Henry Hou (equal share)

The NSP Buck Prize for Actuarial Mathematics I and II
David Lamm and Francis Ratnasabapathy (equal share)

The Tillinghast Towers Perrin Prize for Risk Theory I and II
Eugene Tan

The Trowbridge Consulting Prize for Actuarial Control Cycle I & II
Agnes Wong and Eugene Tan (equal share)
 
Faculty of Economics and Commerce Awards

The A.C. Morley Prize for the best first year student in the Bachelor of Commerce degree
Han-Kee Gan

The Paton Advertising Service Exhibition for the best student in the second year of the Bachelor of Commerce degree
Harry Lee

The J.F. Major Memorial Scholarship for the best third year student intending to undertake the Bachelor of Commerce Honours degree
Hong Yong Leong

The William Noall & Son Prize for the top honours graduate in the Faculty of Economics and Commerce
Justin Tang 

STAFF 

Professor of Actuarial Studies

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

Senior Lecturers in Actuarial Studies

Jun Cai, BSc, MSc, Phd

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

 Lecturer in Actuarial Studies

Edward B McEllin, BA, MA, ASA 

Professorial Fellow 

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

Honorary Senior Fellows

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

Grant Harslett, BSc (Hons), FIA, FIAA, ASA

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

Tutors

Su Lin Hoh

Demi Lambropoulos, BCom

Jessica Leong

Edward Leung

Eugene Tan

Justin Tang

Agnes Wong

Research Student

Manabu Sato

Administrative Co-ordinator

webmaster

ADVISORY BOARD

The membership of the Advisory Board is as follows.

External Members

Mr Graham Rogers, Offley House Group 

Professor Greg Taylor, Taylor-Fry Consulting Actuaries

Mr Craig Thorburn, Australian Prudential Regulation Authority
 

 University Members

Professor Robert Brown, Department of Finance

Dr Jun Cai, Centre for Actuarial Studies 

Professor David Dickson, Centre for Actuarial Studies

Mr Richard Fitzherbert, Centre for Actuarial Studies

Professor John Freebairn, Department of Economics

Mr Edward McEllin, Centre for Actuarial Studies

Professor Ross Williams (Chair), Dean, Faculty of Economics and Commerce