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• 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

• 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

• Building a Knowledge-Based Strategy: A System Dynamics Model for Allocating Value Adding Capacity

  BNET - 2002-06-20

  This paper reports on a project which integrates the pioneering work on 'intangible assets' with system dynamics based human capital modeling undertaken for the Australian Federal Public Service by the UNSW Centre for Business Dynamics. The project aims to create a dynamic 'management flight simulator' which helps managers understand better...

  Tags: Knowledge, University Of New South Wales, Human Capital, Research & Development, Organizational Structure, Asset Management, Strategy, Human Resources, Workforce Management, Business Operations, Operational Planning, Management