Centre for Actuarial Studies

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The Year in Review 3,Teaching 5,Student Prize Winners 6. PhD Students and Research Topics 6, Publications and Other Research Activities in 2012 7. Research Paper Series 9,Staff and Advisory Board 11. 2 centre for actuarial studies annual report 2012,The Year in Review. INTRODUCTION Dr Zhuo Jin was awarded a University of Melbourne Early. The Centre for Actuarial Studies is part of the Department Career Research Grant for a project entitled Optimal. of Economics The main activities of the Centre are Dividend Strategy with Capital Injections He was also. teaching research and knowledge transfer The majority of awarded a Faculty of Business and Economics Research. undergraduate and master students study to become Grant for a project entitled A Numerical Analysis of Optimal. actuaries but a fraction of them find employment in Dividend Payment and Investment Strategies of Markov. banking or investments in particular a good number of our Switching Jump Diffusion Model. PhD students have topics in financial mathematics The. Centre is proud of the high achieving students it attracts TEACHING. and strives to give them the best preparation for actuarial Overall undergraduate enrolments decreased slightly in. and other quantitative work Because it is fully accredited 2012 from their 2011 level Student numbers in 3rd and 4th. by the Actuaries Institute the Centre for Actuarial Studies year were lower but 45 students completed the Honours. allows its students to obtain exemptions from the whole of year Overall Master enrollments in 2012 increased from. Parts I and II of the actuarial examinations With regard to their 2011 level Details of enrolments are given later in this. research the members of the Centre are experts in their report. fields and are internationally recognised for their work in. actuarial science financial mathematics probability and Teaching was supported by a number of external lecturers. statistics The Centre has eight full time academic staff and including Mr Richard Fitzherbert Financial Mathematics I. several part time lecturers from the actuarial profession and II APC III Dr Jules Gribble Mr David Heath Mr Cary. the complete list is at the end of this report Helenius and Mr Donald Campbell Actuarial Practice and. Control I and II, The Centre for Actuarial Studies continues to be the focal.
point for actuarial education in Victoria It has the support Actuarial Practice and Control Cycle III ACTL 40009 was. of the actuarial profession in Australia and produces taught for the first time in 2011 as part of Part II exemption. research of high quality It also maintains strong In 2012 this subject saw an increase in the number of. international links and contributes to the local actuarial students enrolled. KNOWLEDGE TRANSFER, STAFF NEWS Professor Mark Joshi worked on various open source. Professor Daniel Dufresne was the Director of the Centre software projects In particular he continued to develop. for 2012 Professor David Dickson served as Head of the and administer the project Kooderive for pricing derivative. Department of Economics for the second half of the year securities using graphics cards with the CUDA. programming language He also participated in the testing. and release of version 5 0 of the popular xlw application for. RESEARCH AND GRANTS interfacing C and EXCEL, Staff continued to publish in top journals and to present. their research at seminars and conferences Details of. publications and additions to the Centre s Research Paper PROFESSIONAL ACTIVITIES. Series can be found later in this report Professor David Dickson was an external examiner and an. independent examiner for the UK actuarial profession at. The 4th International Gerber Shiu Workshop was hosted by Nanyang Business School Singapore. the Centre on 4 5 July 2012 The theme of the workshop was. risk theory with particular emphasis on ruin theory and. related problems The keynote speakers were Professor VISITORS. Sheldon Lin University of Toronto Professor Hanspeter Professor Felisa V zquez Abad from City University of New. Schmidli University of Cologne Professor Elias Shiu York CUNY visited the Centre in January and February. University of Iowa and Professor Gordon Willmot Associate Professor Yi Lu from Simon Fraser University. University of Waterloo The Centre for Actuarial Studies visited the Centre in February and March Professor George. would like to thank the members of the organizing Yin from Wayne State University visited the centre for 2. committee Prof David Dickson Dr Ping Chen Assoc Prof weeks in May Professors Mary Hardy University of. Shuanming Li Dr Xueyuan Wu and Mrs Brooke Hall for Waterloo and Phelim Boyle Wilfrid Laurier University as. making this event a success well as Dr Jinxia Zhu University of New South Wales. visited the Centre in December These visits were mostly for. Professor Daniel Dufresne continued his Linkage Grant for research collaboration with members of the Centre. a project Understanding Cycles in Mineral Commodity. Prices a Market Model with Uncertainty,centre for actuarial studies annual report 2012 3. The Year in Review,MASTER OF ACTUARIAL SCIENCE TEACHING. The Master of Actuarial Science degree commenced in 2011. Master of Actuarial Science Class Sizes, This two year Master program consists of 16 subjects 8.
core plus 8 elective subjects and aims to provide initial. actuarial education for graduates who have mathematical Subject Name 2011 2012. or statistical specialisations e g in mathematics physics ACTL90001 Mathematics of Finance I 4 18. or engineering The course enables students who obtain a. sufficiently high pass to receive exemptions from the ACTL90002 Mathematics of Finance II 3 16. professional actuarial examinations conducted by the ACTL90003 Mathematics of Finance III 4 14. Actuaries Institute and the Institute and Faculty of. ACTL90004 Insurance Risk Models Not offered 15,Actuaries UK. ACTL 90005 Life contingencies Not offered 15, The program director is Professor David Dickson Further. information about this degree is available online at ACTL90006 Life Insurance Models 1 4 14. http www gsbe unimelb edu au programs actuarial ACTL90007 Life Insurance Models 2 4 14. studies Master of actuarial science html, ACTL 90008 Statistical Techniques in Insurance Not offered 15. The joint Master s program in actuarial science with Nankai. ACTL90009 Actuarial Practice and Control III Not offered 2. University started in 2012 with 12 students coming from. Nankai to Melbourne ACTL90010 Actuarial Practice and Control I Not offered 1. Total Enrolments 19 124,4 centre for actuarial studies annual report 2011. Undergraduate Honours Teaching, Subject Name 2010 2011 2012 An Honours research essay has about 10 000.
words and counts for 25 of the final, ACTL10001 Introduction to Actuarial Studies 178 174 169 assessment for a student s Honours grade. ACTL20001 Financial Mathematics I 158 126 124 Seven Honours students did an essay in 2012. and the topics they studied were,ACTL20002 Financial Mathematics II 130 115 108. ACTL30001 Actuarial Modelling I 99 112 95 Binomial trees American put options and. automatic methods of Greek computation,ACTL30002 Actuarial Modelling II 102 112 94. Characterising tail probabilities and some, ACTL30003 Contingencies 93 107 85 applications to asset price modelling using. ACTL30004 Actuarial Statistics 92 102 84 L vy processes. ACTL30005 Models for Insurance and Finance 87 109 79 Evaluating the effectiveness of two stochastic. mortality models using Hong Kong data,ACTL30006 Financial Mathematics III 93 107 87.
ACTL40001 Actuarial Studies Research Essay 7 5 7 Minimising the ruin probability in a Markov. modulated risk model with capital injections,ACTL40002 Risk Theory I 55 50 45. Joint distributions of some stopping times and, ACTL40003 Risk Theory II 29 21 23 number of claims in thecompound binomial. ACTL40004 Advanced Financial Mathematics I 51 50 45 model. ACTL40005 Actuarial Studies Projects 45 47 39 The joint distribution of the time of ruin and. ACTL40006 Actuarial Practice and Control I 54 50 45 number of gains in a dual risk model. ACTL40007 Actuarial Practice and Control II 41 34 70 The convergence of the American barrier. option on trinomial trees, ACTL40008 Advanced Financial Mathematics II 11 10 7. The majority of students do three research, ACTL40009 Actuarial Practice and Control III Not offered 37 43 projects instead of the essay In 2012 the topics. Total Enrolments 1325 1368 1219 of those projects were. Statistics of stock rates of return,Honours Grades over the Last Five Years.
H1 H2A H2B H3 Total Pricing options using Monte Carlo simulations. 2008 13 16 11 6 46 Premium calculation under a Bayesian. 2009 15 7 13 2 37 approach,2010 17 14 15 6 52,2011 18 14 13 8 53. 2012 12 12 15 6 45,Honours Results and Theses Topics. The following students successfully completed a Bachelor of. Commerce Honours with a specialisation in Actuarial Studies. Clarke Leonie Amarasuriya Kasun Basrur Akshay Chambers. Oliver Chen Honglin Chen Qiao Cheung Jeremiah Dai Jiahua. Fang Jack Feng Xu Gao Rui Goh Melvin Hu Huiling Huang. Ruby Jiang Su Li Han Lin Xiaobing Lin Jing Liu Bixi Luo. Shuhong Luo Qianjun Neelakantan Niranjan Negro Marcello. Ng Tun Ong Yu Ooi Pey Phua Mei See Sook Tai Daniel Tan Jiao. Tan Yan Teng Hao Thaviwatanachaikul Tim Tong Ying Wang. Luya Wang Steven Wityasmoro Antya Wongsodirdjo Leah Wu. Bing Xu Angela Yang Bijun Yasinta Yolanda Yeung Matthew. Yoon Vivienne Zhou Runhang,centre for actuarial studies annual report 2012 5. Student Prize Winners, CENTRE AWARDS Institute of Actuaries of Australia Prize. Actuarial Honours Prize Medal For Research,Leonie Clarke Leonie Clarke.
ANZ Prize Taylor Fry Prize, For Advanced Financial Mathematics I and II For Actuarial Statistics. Nikita Kozlov Jing Fang,Aviva Prize Towers Perrin Prize. For Contingencies For Risk Theory I and II, Nikita Kozlov Cheung Jeremiah Yee Man and Chambers Oliver Basil. Comminsure Prize Martin Jilovsky Prize, For Introduction to Actuarial Studies For best third year results. Samuel Schonberger Yining Feng, Deloitte Actuaries Consulting Prize Faculty of Business and Economics Medal.
For Actuarial Practice and Control I and II Timothy Lee. Kasun Amarasuriya,PhD Students and Research Topics. Evan Hariyanto Navin Ranasinghe, Pricing and risk management of reverse mortgages in the Volatility derivatives. Australian market, Jingchao Li Generic algorithmic differentiation methods for computing. Finite time ruin problems financial derivative Greeks. Qing Liu Robert Tang, Bivariate claim modeling for general insurance survival New methods and improvements to Monte Carlo methods. analysis of left truncated income protection insurance data for pricing derivative securities. Ciyu Nie Dan Zhu, A lower barrier alerting system for risk processes On fast and efficient computations of second order Greeks.
for financial products,Peter Raymond, Allowing for mortality uncertainty in life insurance models. 6 centre for actuarial studies annual report 2012,Publications and Other. Research Activities in 2012, Books data 4th International Gerber Shiu Workshop The. Dickson D Hardy M and Waters H Solutions Manual for University of Melbourne Melbourne July. Actuarial Mathematics for Life Contingent Risks,Cambridge University Press Cambridge Chen Ping. Optimal proportional reinsurance and investment with. Fitzherbert R and Pitt D Compound Interest and its regime switching for mean variance insurers 16th. Applications University of Melbourne Custom Book Centre International Congress on Insurance Mathematics and. Economics University of Hong Kong Hong Kong June,Refereed Journal Articles.
Chin S and Dufresne D A general formula for option Dickson David. prices in a stochastic volatility model Applied On a risk model with capital injections International. Mathematical Finance 19 4 313 340 Conference on Actuarial Science and Risk Management. Xiamen University China June invited speaker, Beveridge C and Joshi M Interpolation schemes in the. displaced diffusion LIBOR market model SIAM Journal of On the distribution of the duration of negative surplus 4th. Financial Mathematics 3 593 604 International Gerber Shiu Workshop University of. Melbourne Melbourne July, Beveridge C Joshi M and Wright W Efficient Pricing and. Greeks in the Cross Currency LIBOR Market Model Dufresne Daniel. Journal of Risk 14 4 65 113 Gram Charlier Distributions 4th Micro Conference on. Dickson D The joint distribution of the time to ruin and the Probability and its Applications University of Melbourne March. number of claims until ruin in the classical risk model Gram Charlier Distributions and Option Pricing Concordia. Insurance Mathematics and Economics 50 4 334 337 University Montreal July. Dickson D and Li S Erlang risk models and finite time ruin Gram Charlier Distributions and Option Pricing Monash. problems Scandinavian Actuarial Journal 2012 3 183 202 University Econometrics Seminar September. Jin Z Yin G and Zhu C Numerical solutions of optimal. risk control and dividend optimization policies under a Li Shuanming. generalized singular control formulation Automatica 48 Some finite time ruin probabilities in the classical risk. 1489 1501 model with barriers 16th International Congress on. Insurance Mathematics and Economics University of,Jos. centre for actuarial studies annual report 2012 5 Subject Name 2010 2011 2012 ACTL10001 Introduction to Actuarial Studies 178 174 169 ACTL20001 Financial Mathematics I 158 126 124 ACTL20002 Financial Mathematics II 130 115 108 ACTL30001 Actuarial Modelling I 99 112 95 ACTL30002 Actuarial Modelling II 102 112 94 ACTL30003 Contingencies 93 107 85

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