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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/265528
Description: We propose a model for the valuation of participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator. The Esscher transform is employed to determi ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/283279
Description: After declining worldwide since the late 1980s, defined benefits plans will not recover their previous dominance in Australia because they can only be offered by large and stable organisations. Since ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/265591
Description: In this paper, we discuss three different approaches to select an equivalent martingale measure for the valuation of contingent claims under a Markovian regime-switching Lévy model. These approaches a ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218903
Description: One of the main characteristics of Income Protection Insurance (IPI) claim duration data,which has not been considered in the actuarial literature on the topic, is left-truncation. Claimants that are ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/278885
Description: Since the global financial crisis, banking regulators and academics have extended the traditional, narrow definition of "systemic risk" to encompass concepts such as "interconnectedness" and "shadow b ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/278651
Description: The manipulation of the London Interbank Offered Rate (LIBOR) was not a localized event. Unscrupulous traders and managers in some of the largest banks around the world deliberately and systematically ... More
Reviewed: Reviewed
Authors: Magee, Shane
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/268724
Description: This paper investigates the effect of foreign currency hedging with derivatives on the probability of financial distress. I use Merton's (1974) structural default model to compute firms' distance to d ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/230465
Description: This study examines the price behaviour surrounding both director trades, and associated market announcements, for the Australian market. Using a sample of director trades executed between 2005 and 20 ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/275087
Description: This paper examines the order flow diversion hypothesis using cross-listed Singapore Exchange (SGX) futures contracts to test if the existence of an off-shore market causes the order migration of futu ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/164676
Description: Estimates of the cost of equity are often sensitive to the specification of the linear factor model used in their construction. In this article, we use techniques developed for high-dimensional factor ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286896
Description: We characterize legality and incidence of short selling in a worldwide, multimarket framework. Home country short selling restrictions curtail home market stock borrowing by 45% and reduce short selli ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/191274
Description: A Bayesian adaptive control approach to the combined optimal investment/reinsurance problem of an insurance company is studied. The insurance company invests in a money market and a capital market ind ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/215368
Description: We develop a new approach to ruin theory for a multi-line insurance business when the risk processes for correlated insurance policies are described by a multivariate diffusion process. A relation bet ... More
Date: 2012
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/188893
Description: We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian r ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172305
Description: We discuss the asset allocation problem in the important class of parametric non-linear time series models called the threshold autoregressive model in (J. Roy. Statist. Soc. Ser. A 1977; 140:34-35; P ... More
Reviewed: Reviewed