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Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172290
Description: This paper develops two copula models for fitting the insurance claim numbers with excess zeros and time-dependence. The joint distribution of the claims in two successive periods is modeled by a copu ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218756
Description: This study examines whether order flow originating from overseas contributes to price discovery in domestic futures markets. This issue is examined using a unique dataset for stock index futures trade ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286969
Description: In this paper, we consider the trading behavior of institutional investors and short sellers around earnings announcements. The results suggest that institutional investors, and to a lesser extent sho ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/197330
Description: This paper develops models aimed at more accurate estimation of the medical cost function based on the individual cost data. In our proposed models, the cost data are assumed to be dependent on the wh ... More
Reviewed: Reviewed
Authors: Ferris, Shauna
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/189509
Description: Although insurers have developed sophisticated techniques for measuring and managing mortality risks, asset-liability mismatch, and interest rate risks, they may underestimate the potential cost of op ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172396
Description: Climate adaptation is uniquely linked to location, making it predominantly a local government and community responsibility. Despite the obligation to act, local governments are hindered by the absence ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/185761
Description: This study considers calibration to forward-looking betas by extracting information on equity and index options from prices using Lévy models. The resulting calibrated betas are called Lévy betas. The ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/179639
Description: In this paper, we discuss the use of some representation results for double martingales to value and hedge contingent claims in a Markovian regime-switching market. A set of N Markov jump assets is in ... More
Reviewed: Reviewed
Authors: Ferris, S
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219735
Description: Theoretically, insurance should be beneficial to society. But in practice, insurance systems may become dysfunctional, creating an excessive increase in systemic risk which is detrimental to society. ... More
Reviewed: Reviewed
Authors: de Jong, Piet
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172448
Description: A critical problem in property and casualty insurance is forecasting incurred but as yet unpaid losses. Forecasts and risk margins are often based on individual loss triangles with each triangle corre ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/195112
Description: We investigate the volatility dynamics of gold markets. While there are a number of recent studies examining volatility and Value-at-Risk (VaR) measures in financial and commodity markets, none of the ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286931
Description: Performance indices for illiquid investments are known to suffer from returns smoothing, and the purpose of this paper is to investigate the presence and nature of such smoothing in the context of ven ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/166314
Description: An explicit formula for the finite-time ruin probability in a discrete-time collective ruin model with constant interest rate is found under the assumption that claims follow a generalised hyperexpone ... More
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212848
Description: In this paper we consider the optimal dividend strategy under the diffusion model with regime switching. In contrast to the classical risk theory, the dividends can only be paid at the arrival times o ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/208235
Description: Traditional project evaluations rely mainly on Net Present Value methodology, and largely ignore the flexibilities available to the sponsor to vary the project after initiation. Real Options Analysis ... More
Reviewed: Reviewed