University of New South Wales

News & Analysis

finance and insurance 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

• 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

• 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

• The HIH catastrophe will not be the last.

  - 2003-04-21

  Apr 20, 2003 (The Canberra Times - ABIX via COMTEX) Some experts in Australia believe that future corporate collapses on the scale of HIH Insurance's demise are inevitable. The HIH royal commissioner, Justice Neville Owen, concluded that mismanagement played a major part in the...

  Tags: Australia, collapse, FINANCE, Insurance, University of New South Wales

• 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

• Which super fund delivers the most for your retirement?

  - 2002-05-02

  May 02, 2002 Real Estate Journal of NSW ABIX via COMTEX -- The extent of a person's superannuation savings can depend on the type of superannuation fund selected by the Australian investor. REI Super is one organisation which offers an inexpensive flat fee structure,...

  Tags: Australia, FINANCE, Insurance, investor, University of New South Wales

• Keeping fees on the agenda.

  - 2002-02-26

  Feb 25, 2002 Investor Weekly ABIX via COMTEX -- Disturbing research from the University of New South Wales has been produced on superannuation charges and fees. The research was conducted for the Australian Institute of Superannuation Trustees. It found that master trusts compared badly...

  Tags: FINANCE, Insurance, Strategy, University of New South Wales

• Where your super goes.

  - 2002-01-20

  Jan 20, 2002 (The Sun-Herald ABIX via COMTEX) -- Poor investment returns on superannuation funds in Australia in 2001 have drawn attention to fee charges. The Australian Consumers' Association has indicated a one per cent increase in fees can consume up to $A100,000...

  Tags: Australia, Benefits, FINANCE, Insurance, payout, University of New South Wales