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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045653
Description: In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1044192
Description: Most extrapolative stochastic mortality models are constructed in a similar manner. Specifically, when they are fitted to historical data, one or more series of time-varying parameters are identified. ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143435
Description: We introduce an approach for valuing some path-dependent options in a discrete-time Markov chain market based on the characteristic function of a vector of occupation times of the chain. A pricing ker ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163378
Description: We investigate the default time of a firm when a stochastic discount factor is used so that both diffusion and regime switching risks are priced. We establish the relationship between the probability ... More
Reviewed: Reviewed
Authors: Perera, Ryle
Date: 2009
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/69640
Description: Major objectives of an investor are to minimize risk and maximize expected portfolio returns. International diversification is a natural means to these ends. We extend the search into the area of curr ... More
Authors: Siu, Tak Kuen
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/209680
Description: Discussion of Phelim Boyle and Sun Siang Liew's "Asset Allocation with Hedge Funds on the Menu" (NAAJ Volume 11, Number 4, December 2007)
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137361
Description: We consider the valuation of credit default swaps (CDSs) under an extended version of Merton’s structural model for a firm’s corporate liabilities. In particular, the interest rate process of a money ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/9090
Description: This article discusses risk classification and develops and discusses a framework for estimating the effects of restrictions on risk classification.It is shown that expected losses due to adverse sele ... More
Reviewed: Reviewed
Authors: de Jong, Piet
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/10676
Description: This paper deals with the methodology of liability forecasting using the runoff triangle data. Techniques are based on time series models and methods that facilitate the calculation of forecast distri ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138721
Description: We introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture mod ... More
Reviewed: Reviewed
Date: 2002
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1081036
Description: 45 page(s)
Reviewed: Reviewed
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