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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/1959.14/272421
Description: Credit ratings and accounting-based Altman Z-scores are two important sources of information for assessing the creditworthiness of firms. In this paper we build a model based on a double hidden Markov ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/319367
Description: This paper presents the results of a pilot survey of recent graduates of some Australian university actuarial programs. The survey aimed to shed light on graduates' views relating to their education s ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302629
Description: In this paper, we revisit the consumption-investment problem with a general discount function and a logarithmic utility function in a non-Markovian framework. The coefficients in our model, including ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302983
Description: A bonus-malus system calculates the premiums for car insurance based on the previous claim experience (class). In this paper, we propose a model that allows dependence between the claim frequency and ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303655
Description: This study investigates the determinants of liquidity and execution probability in an exchange operated dark pool. We analyse a unique set of data collated from the Australian Securities Exchange (ASX ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303648
Description: This study measures the magnitude of execution costs of outright options and options which constitute strategies ("strategy-linked options"), and examines if any differences in execution costs between ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/319136
Description: This is the first of two papers in which we estimate transition probabilities amongst levels of disability as defined in the Australian Survey of Disability, Ageing and Carers. In this paper we descri ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/319151
Description: This is the second of two papers in which we estimate transition probabilities amongst levels of disability as defined in the Australian Survey of Disability, Ageing and Carers. In this paper we descr ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272496
Description: A continuous-time Markov chain which is partially observed in Poisson noise is considered, where a structural change in the dynamics of the hidden process occurs at a random change point. Filtering an ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/273445
Description: We examine whether the probability of informed trading ('PIN') is a determinant of stock returns in Australia, an alternative market with considerably different information attributes to the U.S. Uniq ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303557
Description: Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-time, finite-state Markov chain are derived using Bismut's change of measures approach to Malliavin c ... More
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Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302558
Description: This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump-diffusion stochastic delay different ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303287
Description: This paper discusses a mean-variance portfolio selection problem under a constant elasticity of variance model. A backward stochastic Riccati equation is first considered. Then we relate the solution ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/336434
Description: Naked short selling and purposeful fails-to-deliver have been identified in the popular press and by the SEC as contributing factors to the stock market decline in 2008. We investigate the market impa ... More
Reviewed: Reviewed