Click on the title of any paper to see an abstract or summary. Pdf versions of some papers are also available on these pages. 

For copies of these working papers please e-mail your request to actuarial.enquiries@econ.unimelb.edu.au

Additions to the series in 2006

No 129	Optimal dynamic reinsurance. (Amended July 3 2006)  David C M Dickson and Howard R Waters
No 130	Some Optimal Dividend Problems in a Markov-modulated  Risk Model. Shuanming Li and Yi Lu
No 131	Comparison of Stochastic Reserving Methods. Jackie Li
No 132	Modeling the Claim Duration of Income Protection Insurance Policyholders Using Parametric Mixture Models.  David Pitt
No 133	Modelling Mortgage Insurance As A Multi-State Process. Greg Taylor and Peter Mulquiney
No 134	The Diffusion Perturbed Compound Poisson Risk Model with a Dividend Barrier.  Shuanming Li and Biao Wu Updated March 2007.
No 135	Regression Quantile Analysis of Claim Termination Rates for Income Protection Insurance.   David Pitt
No 136	APRA General Insurance Risk Margins.   Greg Taylor
No 137	Option Pricing and the Dirichlet Problem. Mark S. Joshi
No 138	Achieving Decorrelation and Speed Simultaneously in the  Libor Market Model.  Mark S. Joshi
No 139	Intensity Gamma: A New Approach to Pricing Portfolio  Credit Derivatives.  Mark S. Joshi and Alan M. Stacey
No140	New and Robust Drift Approximations for the Libor  Market  Model. Mark S. Joshi and Alan M. Stacey
No 141	Using Monte Carlo Simulation and Importance Sampling to Rapidly obtain Jump-Diffusion Prices of Continuous  Barrier Options.   Mark S. Joshi and Terence Leung
No 142	Effective Implementation of Generic Market Models. Mark S. Joshi and Lorenzo Liesch.
No 143	A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options. Mark S. Joshi
No 144	Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs.  Mark S. Joshi
No145	On a discrete time risk model with delayed claims and a constant divident barrier. Xueyuan Wu and Shuanming Li
No146	Modelling Dependency between Different Lines of Business with Copulas. Jackie Li
No147	Application of Bayesian Models with Markov Chain Monte Carlo Simulation to Real Claims Data.  Jackie Li