University of New South Wales

Recent Events

News & Analysis

business operations and university of new south wales - All News and Analysis

• Spatial Risk Smoothing

  BNET - 2004-11-02

  This paper describes a method for estimating insurance claims or risk premiums allowing for spatial dependence as well as explanatory factors. The concepts are related to those used for graduation of mortality tables using cubic splines but extended to spatial dependence as found in many insurance products. Firstly techniques for...

  Tags: University Of New South Wales, Dependence, Insurance, Financial Planning, Business Operations, Corporate Insurance, Finance

• Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process With Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts

  BNET - 2004-09-17

  In practical situations, the number of claims to an insurance portfolio is observed but not the claim intensity. It is therefore of interest to try to solve the filtering problem, that is to obtain the best estimate of the claim intensity on the basis of reported claims. This paper states...

  Tags: Intensity, University Of New South Wales, Reinsurance, Pricing Strategy, Insurance, Financial Planning, Business Operations, Corporate Insurance, Finance

• The Distribution of the Interval of the Cox Process With Shot Noise Intensity for Insurance Claims and its Moments

  BNET - 2004-08-25

  Applying piecewise deterministic Markov processes theory, the probability generating function of the Cox process, incorporating with shot noise process as the claim intensity, is obtained. The paper also derives the Laplace transform of the distribution of the shot noise process at claim jump times, using stationary assumption of the shot...

  Tags: University Of New South Wales, Noise Intensity, Insurance, Financial Planning, Business Operations, Corporate Insurance, Finance

• Insurance and Asset Pricing in Incomplete Markets With Heavy Tailed Risks

  BNET - 2004-05-18

  A model for pricing risks in incomplete markets using prices for traded assets and allowing for heavy tailed risks is developed. The approach used is based on an approximation that collapses to the CAPM for multi normal portfolios. The pricing result is derived as an approximation using elliptical distributions and...

  Tags: Asset, Risk, Asset Pricing, University Of New South Wales, Pricing Strategy, Asset Management, Pricing, Insurance, Marketing Research, Strategy, Operational Planning, Business Operations, Marketing, Corporate Insurance, Management

• Risk-Based Regulatory Capital for Insurers

  BNET - 2004-03-24

  This paper studies the issues in determining regulatory capital requirements using advanced modeling by assessing and comparing capital requirements under the two alternative approaches. A Dynamic Financial Analysis DFA model is used for this paper. These issues are of current international interest as regulators, insurers and actuaries face the significant...

  Tags: University Of New South Wales, Insurance Company, Insurance, Business Operations, Corporate Insurance

• Solvency, Capital Allocation and Fair Rate of Return in Insurance

  BNET - 2004-01-15

  This paper considers the links between solvency, capital allocation and fair rate of return in insurance. A method to allocate capital in insurance to lines of business is developed based on an economic definition of solvency and the market value of the insurer balance sheet. Solvency, and its financial impact,...

  Tags: University Of New South Wales, Allocation, Insurance, Financial Planning, Balance Sheets, Business Operations, Corporate Insurance, Finance, Financial Statements, Financial Accounting

• Linking Requirements Goal Modeling Techniques To Strategic e-Business Patterns And Best Practice

  BNET - 2003-08-14

  We propose that requirements for strategic-level IT systems for e-business can be linked to business strategy via techniques in goal modeling. We further propose that there exist repeating patterns of best practice in business strategy, which are based on recurring business models. These patterns have both direct and indirect implications...

  Tags: University Of New South Wales, Pattern, Best Practice, Modeling, E-business, Business Strategy, Research & Development, Business Operations

• Equilibrium Insurance Pricing, Market Value of Liabilities & Optimal Value of Market Capitalization

  BNET - 2003-06-05

  This paper reviews an insurance pricing model for a simple one period economy with shares in productive firms, insurance firm?s real estate. The paper considers the valuation of insurance firm?s liabilities in the model and in the optimal capitalization of the firm. The relationship of the results to standard financial...

  Tags: Market Capitalization, University Of New South Wales, Insurance, Financial Planning, Business Operations, Corporate Insurance, Finance

• Encyclopedia of Actuarial Science Asset Management

  BNET - 2003-03-24

  Asset management is integral to the actuarial management of any financial security system, although the earliest practical developments took place in life insurance. In more recent years there has been an increased integration of modern financial theories into actuarial science & the adoption of actuarial techniques in areas of asset...

  Tags: Asset, Financial, University Of New South Wales, Asset Management, Operational Planning, Business Operations

• Stochastic Control Theory for Optimal Investment

  BNET - 2002-11-11

  This paper illustrates the application of stochastic control methods in ruin theory. It presents concepts, such as the Hamilton-Jacobi-Bellman equation, and reviews recent results to illustrate their use in ruin theory. In particular, given an insurance business and a fixed amount for investment in a portfolio consisting of one riskless...

  Tags: Theory, University Of New South Wales, Asset Management, Insurance, Investment, Operational Planning, Business Operations, Corporate Insurance, Finance