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Research Paper Series - 2007

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:
actuarials@mercury.ecom.unimelb.edu.au

Additions to the series in 2007

 

No148

UPDATED VERSION 15/8/2007

Using a Multiplicative Intensity Process to Forecast
 Firm Failure. by Ashley Evans

No149

    

Credibility, Hypothesis Testing and Regression Software.
by Greg Taylor

No150

Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin. by David C M Dickson

No151

Individual Claim Loss Reserving Conditioned by Case Estimates. by Greg Taylor, Gráinne McGuire and James Sullivan

No152

 

The Moments of the Present Value of Total Dividends under Stochastic Interest Rates. by Shuanming Li

No153

Some finite time ruin problems. by David C M Dickson
No154

Optimal Dividends Under Reinsurance.
by Christopher J Beveridge, David C M Dickson & Xueyuan Wu
No155

A Directional Multiplicative Intensity for Credit Migrations. by Ashley Evans

No 156

Chain Ladder For Tweedie Distributed Claims Data (updated 13/11/07). by Greg Taylor
No 157 Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model. by Eric C.K. Cheung*, David C. M. Dickson, and Steve Drekic
No 158 On the ruin time distribution for a Sparre Andersen process with exponential claim sizes. by Konstantin A Borovkov* and David C. M. Dickson
No 159 Achieving Smooth Asymptotics for the Prices of European Options in Binomial Trees. by Mark S. Joshi
No 160 Achieving Higher Order Convergence for the Prices of European Options in Binomial Trees. by Mark S. Joshi
No 161 Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks. by Christian P. Fries and Mark S. Joshi
No 162 The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-modulated Risk Model. by Shuanming Li and Yi Lu
No 163 On the Discounted Penalty Function in a Discrete Time Renewal Risk Model with General Interclaim Times. by Xueyuan Wu, Shuanming Li
No 164 Beta Products with Complex Parameters. by Daniel Dufresne
No 165 Adaptive Reserving using Bayesian Revision for the Exponential Dispersion Family. by Greg Taylor and Grainne McGuire
No166 A Comparison of Corporate Bankruptcy Models in Australia: the Merton vs Accounting-based Models. by Suparatana Tanthanongsakkun, David Pitt and Sirimon Treepongkaruna
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