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Authors: Siu, Tak Kuen
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1138271
Description: A self-exciting threshold jump-diffusion model for option valuation is studied. This model can incorporate regime switches without introducing an exogenous stochastic factor process. A generalized ver ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1180861
Description: This paper presents the results of a survey of recent graduates of some Australian university actuarial programs. The survey aimed to shed light on graduates’ views relating to their education since l ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1184372
Description: In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1140184
Description: Purpose – The purpose of this paper is to investigate and identify threshold concepts that are the essential conceptual content of finance programmes. Design/methodology/approach – Conducted in three ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1049946
Description: In this paper, we investigate the asymptotic behaviors of the loss reservings computed by individual data method and its aggregate data versions by Chain-Ladder (CL) and Bornhuetter–Ferguson (BF) algo ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1180790
Description: Forecasts of female and male mortality that are conducted independently run the risk of projecting implausible sex differentials and fail to exploit correlations that are known to exist between the se ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1049502
Description: The earlier work on mortality modelling and forecasting has largely focused on the study of a single population. Recently, there is an emerging strand of literature that emphasises the interrelationsh ... More
Reviewed: Reviewed
Authors: Yu, Evonne Hui
Date: 2016
Language: eng
Resource Type: Thesis MRes
Identifier: http://hdl.handle.net/1959.14/1247818
Description: Theoretical thesis.
Full Text: Full Text
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1068686
Description: We examine convenience yields and risk premiums in the EU-wide CO₂ emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008–2012). We find that the market has changed from init ... More
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1062315
Description: Using a unique dataset we provide new evidence on the significant penalty on client fund performance due to conflicts of interest related to the cross trading (TCT) activities of mutual fund advisers: ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal editorship
Identifier: http://hdl.handle.net/1959.14/1071131
Description: 466 page(s)
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1235750
Description: This study examines the relationship between fund size and performance for two major superannuation industry sectors in Australia: retail and not-for-profit, using a unique but confidential database. ... More
Reviewed: Reviewed