Centre for Actuarial Studies · 2017-12-05 · INTRODUCTION The Centre for Actuarial Studies is a teaching and research unit located within the Department of Economics. The majority

Centre for Actuarial StudiesANNUAL REPORT 2015

Contents

2

The Year in Review......................................................................................... 3

Teaching ....................................................................................................... 5

Student Prize Winners ................................................................................... 6

PhD Students and Research Topics................................................................ 6

Publications and Other Research Activities ................................................... 7

Staff ............................................................................................................ 9

centre for actuarial studies | annual report 2015

INTRODUCTIONThe Centre for Actuarial Studies is a teaching and researchunit located within the Department of Economics. Themajority of undergraduate and Masters students study tobecome actuaries, but a number of our students findemployment in banking or investments; in particular, anumber of our PhD students have research topics infinancial mathematics. The Centre attracts high achievingstudents; many of the faculty’s participants in theprestigious Chancellor’s Scholars Program (admission towhich is based on university entrance score) are studentsmajoring in actuarial studies.

The Centre for Actuarial Studies is fully accredited by theActuaries Institute, meaning that its students can obtainexemptions from all of Parts I and II of the Institute’sexaminations. With regard to research, members of theCentre are experts in their fields and are internationallyrecognised for their work in actuarial science, financialmathematics, probability and statistics. The Centre haseight full-time academic staff and several part-time lecturersfrom the Melbourne actuarial community (the complete listis at the end of this report).

The Centre for Actuarial Studies continues to be the focalpoint for actuarial education in Victoria. It has the support ofthe actuarial profession in Australia and produces researchof high quality. It also maintains strong international linksand contributes to the local actuarial community.

In December 2015, the Society of Actuaries (SOA) namedthe University of Melbourne’s actuarial studies program asan SOA Center of Actuarial Excellence (CAE). Actuarialscience school programs must meet eight rigorous criteriaand specific CAE requirements to qualify for the CAEdesignation. These criteria involve the degree, curriculum,graduate count, faculty composition, graduate quality,appropriate integration, and connection to industry andresearch/scholarships. Only 30 colleges and universitiesaround the world have attained the CAE designation.

Centre staff publish in top journals and present theirresearch at seminars and conferences in Australia andoverseas. Details of publications can be found later in thisreport, as well as a list of conference and seminarpresentations.

STAFF NEWS RESEARCH AND GRANTSProfessor Mark Joshi has acted as Director of the Centresince January 2015. Professor Dickson was on a study leavein the second half of the year 2015. Dr. Kevin Fergusson hasaccepted an academic position in the unit and he will join theCentre as a senior lecturer in March 2016. Prior to that,

Kevin was a senior lecturer at the Department ofMathematics and Statistics at Curtin University.

Dr Enrique Calderin received the best oral presentationaward in the International Conference on Applied Statistics,ICAS 2015. In addition, he was awarded a Deans’certificate for research excellence based on hispublications in 2014.

Professor David Dickson is an editor of ASTIN Bulletin, anassociate editor of Insurance: Mathematics & Economicsand Annals of Actuarial Science, a member of the editorialboard of North American Actuarial Journal, and an AdjunctProfessor at the University of Waterloo.

Professor Daniel Dufresne was an invited speaker at the5th Monash-Ritsumeikan Symposium on Probability andRelated Fields, hosted by Monash University in March, andan invited speaker at the Symposium in Memory of MarcYor, hosted by Universite Paris 7 in June.

Dr. Zhuo Jin is an editor of SIAM Activity Group on Controland Systems Theory Newsletter, an associate editor ofconference proceedings editorial board - The 54th IEEEConference on Decision and Control Technical programcommittee member, and an associate editor for theproceedings - The 28th Chinese Control and DecisionConference. He is also a member of the editorial board ofJournal of Systems Science and Complexity and a memberof the group in stochastic control, and the technicalcommittee on control theory of the Chinese Association ofAutomation.

Professor Mark Joshi is a managing editor of QuantitativeFinance and was a member of the Scientific Committee ofthe Second International Conference on Mathematics andStatistics AUS-ICMS.

Associate Professor Shuanming Li is an External Reviewerfor the journal Insurance Markets and Companies:Analyses and Actuarial Computations.

TEACHING Overall enrolments increased slightly from the level inprevious years, in particular, the enrollment in Introductionto Actuarial Studies (ACTL 10001) increased by 38% to239. Enrolments at Masters level dropped slightly. TheCentre introduced a new 1.5-year M.Com (ActuarialStudies) degree to replace the 2-year one for studentscompleting the B.Com degree with the first studentscommencing in 2016. The M.Com (Actuarial Studies)degree has a ‘practice’ pathway, which focuses onadvanced professional training, and a ‘research’ pathway,which prepares students for the PhD in Actuarial Studies.

The Year in Review / Teaching

centre for actuarial studies | annual report 2015 3

Teaching was supported by a number of external lecturersincluding Mr Richard Fitzherbert (Actuarial Practice andControl III), Dr Jane Joshi (Financial Mathematics III,Mathematics of Finance II), Mr David Heath, Mr AndrewBrown, Mr Donald Campbell, and Mr Andrew Gale(Actuarial Practice and Control I and II).

ENGAGEMENT Dr Enrique Calderin gave guidance on the use of thesoftware package R to the insurance company AIA.

Professor Mark Joshi assisted Nick Dunbar ltd withmathematical modelling. In Dunbar’s words: “Prof Joshiprovided expert advice on complex bank loan contracts tothe producer of a documentary by UK broadcaster Channel4 on local authority borrowing, which was watched by 1.1million viewers and led to an inquiry by a UK parliamentarycommittee”

Professor Mark Joshi continued to administrate andcontribute to the Kooderive, xlw and QuantLib open sourceprojects. He was a member of the Moneyscience advisoryboard.

PROFESSIONAL ACTIVITIESDr Zhuo Jin attended the 7th Australasian ActuarialEducation and Research Symposium at Bond University inDecember.

Mr Richard Fitzherbert is a member of the ResearchCouncil Committee of the Actuaries Institute.

VISITORS AND SEMINARSProfessor Felisa Vázquez-Abad, from City University of NewYork, visited the Centre in January and February.

Professor Paul SF Yip, from the Centre for SuicideResearch and Prevention, Hong Kong University, visited theCentre on March 23 and gave a talk on “Geography ofsuicide in HK: Spatial patterning, and socioeconomiccorrelates and inequalities”.

Professor Ken Siu, from the Department of AppliedFinance and Actuarial Studies, Macquarie University,visited the Centre on June 9 and 10 and gave a talk on “ASelf-Exciting Threshold Jump-Diffusion Model for OptionValuation”.

Professor Dietmar P.J. Leisen, from Gutenberg School ofManagement and Economics, University of Mainz, Germany,

visited the Centre on August 31 and gave a talk on “A Perturbation Approach to Continuous-time PortfolioSelection”.

Dr Farzad Alavi Fard, from School of Economics, Financeand Marketing, RMIT University, visited the Centre onOctober 26 and gave a talk on “A Non-ParametricApproach to Modeling Electricity Spikes”.

Dr Kevin Fergusson, from the Department of Mathematicsand Statistics, Curtin University, visited the Centre onOctober 30 and gave a talk on “Pricing and HedgingExtreme-Maturity Interest Rate Derivatives and Equity IndexOptions”.

Associate Professor David Pitt, from the Department ofApplied Finance and Actuarial Studies, MacquarieUniversity, visited the Centre from November 17 to 19.

Professor Hansjoerg Albrecher, from Université deLausanne, Switzerland, visited the Centre from December19 to 24 and gave a talk on “Randomized Observations inRisk Theory”.

The Year in Review / Teaching

4 centre for actuarial studies | annual report 2015

UNDERGRADUATE AND HONOURS CLASS SIZES

Subject Name 2013 2014 2015

ACTL10001 Introduction to Actuarial Studies 178 173 239

ACTL20001 Financial Mathematics I 136 117 121

ACTL20002 Financial Mathematics II 123 96 107

ACTL30001 Actuarial Modelling I 88 110 92

ACTL30002 Actuarial Modelling II 87 110 92

ACTL30003 Contingencies 80 84 77

ACTL30004 Actuarial Statistics 83 93 85

ACTL30005 Models for Insurance and Finance 77 85 85

ACTL30006 Financial Mathematics III 80 100 80

ACTL40001 Actuarial Studies Research Essay 8 3 5

ACTL40002 Risk Theory I 37 18 26

ACTL40003 Risk Theory II 27 11 10

ACTL40004 Advanced Financial Mathematics I 37 17 27

ACTL40005 Actuarial Studies Projects 30 14 24

ACTL40006 Actuarial Practice and Control I 53 36 43

ACTL40007 Actuarial Practice and Control II 32 30 41

ACTL40008 Advanced Financial Mathematics II 9 8 7

ACTL40009 Actuarial Practice and Control III 33 27 33

Total Enrolments 1216 1132 1194

Teaching


MASTERS CLASS SIZES

Subject Name 2013 2014 2015

ACTL90001 Mathematics of Finance I 16 15 12

ACTL90002 Mathematics of Finance II 16 13 11

ACTL90003 Mathematics of Finance III 10 16 11

ACTL90004 Insurance Risk Models 11 17 11

ACTL90005 Life Contingencies 15 12 10

ACTL90006 Life Insurance Models 1 14 15 11

ACTL90007 Life Insurance Models 2 13 15 11

ACTL90008 Statistical Techniques in Insurance 10 15 13

ACTL90009 Actuarial Practice and Control III 18 3 22

ACTL90010 Actuarial Practice and Control I 2 3 6

ACTL90011 Actuarial Practice and Control II 0 3 4

ACTL90012 Actuarial Studies Research Essay 0 2 1

ACTL90014 Insurance risk models II 0 2 0

Total Enrolments 125 131 123

HONOURS GRADES OVER THE LAST FIVE YEARS

H1 H2A H2B H3 N Total

2011 18 14 13 8 0 53

2012 12 12 15 6 0 45

2013 10 9 13 2 4 38

2014 5 6 4 2 0 17

2015 2 7 12 3 4 28

HONOURS ESSAY AND PROJECT TOPICS

The following students successfully completed a Bachelorof Commerce (Honours) with a specialisation in ActuarialStudies: Annie Chen, Gege Cheng, Yun Kitt, Kenny Choo,Aiden Chung, Yufan Deng, Christopher Ebeling, JevonFulbrooke, Yu Gai, Joseph Tue Giang, Weipei He, MashiyatKhan, Daryl Zhen Hui Lee, Steve Lim, Yuan Ma, RowenaQiu, Yaozhong Qiu, Desmond Tam, Zhenyu Wang, ShaoSheng Wang, Chun Hang, Dennis Wong, Zhengmao Yang,Dominic Zhang, Kevin Zheng, Angela Zhou.

An Honours research essay has about 10,000 words andcounts for 25% of the final assessment for a student’sHonours grade. Five Honours students wrote an essay in2015, and the topics were: • On the efficiency of the quadratic exponential scheme

of the Heston stochastic volatility model• Australian Betting Markets: A probit analysis• Reverse mortgages• Post-IPO share price pattern in China• Optimal consumer lifetime insurance coverage

The majority of Honours students do three research projectsinstead of the essay. In 2015 the topics of those projectswere: • Derivative pricing with non-constant stock volatilities• Life cycle investment strategies• Investment and portfolio allocation

Actuaries Institute Prize

for Research Essay and ProjectsYaozhong Qiu

Comminsure Prize

for Introduction to Actuarial StudiesYanchao Yang

Deloitte Actuaries & Consulting Prize

for Actuarial Practice and Control I and IIYaozhong Qiu

Honours Medal in Actuarial Studies

Yaozhong Qiu

Trimantium Capital Award

for Financial Mathematics IIIHolly Briffa

Martin Jilovsky Prize

for best third year results by an Australian studentMengtong Xia

Taylor Fry Prize

for Actuarial StatisticsMengtong Xia

Towers Watson Prize

for Risk Theory I and IIAnnie Chen

Student Prize Winners

PhD Students and Research Topics


Xiang ChengOptimal control and Monte Carlo

Can Jin On occupation times in some insurance risk models

Pham LeOn non-arbitrage theory in markets with transactionscosts and associated processes

Joan NakotoSuperannuation: Its challenges and recommendations

Navin Ranasinghe Volatility derivatives

Marjan QazviniRisk models with capital injections

Miao ZhangContinuous time mean-variance model for portfolioselection

Nan ZhangSome optimal reinsurance problems

Zhehao ZhangPresent value distribution of aggregated discountedclaims

Dan ZhuOn fast and efficient computations of second orderGreeks for financial products

REFEREED JOURNAL ARTICLESBelomestny, D., Joshi, M.S., Schoenmakers, J.-Addendumto: Multilevel dual approach for pricing American stylederivatives. Finance and Stochastics, 19(3), 681-684.Chan, J.H., Joshi, M.S. – First and second order Greeksin the Heston model. Journal of Risk, 17(4), 19-69. Chan, J.H., Joshi, M.S. – Optimal limit methods for com-puting sensitivities of discontinuous integrals includingtriggerable derivative securities. IIE Transactions, 47(9),978-997. Calderin, E. – On the composite Weibull-Burr model todescribe claim data. Communication in Statistics: CaseStudies, Data Analysis and Applications, 1(1), 59-69.Gomez-Deniz, E., Calderin, E. – Credibility premiums fornatural exponential family and general 0-1 loss function.Chilean Journal of Statistics, 6(2), 3-7.Gomez-Deniz, E., Calderin, E. – Modelling insurance datawith the Pareto ArcTan distribution. ASTIN Bulletin, 45(3),639-660.Gomez-Deniz, E., Calderin, E. – On the use of the ParetoArcTan distribution for describing city size in Australia andNew Zealand. Physica A: Statistical Mechanics and itsApplications, 436, 821-832.Gomez-Deniz, E., Calderin, E.- Parameters estimation fora new generalized geometric distribution.Communications in Statistics-Simulation andComputation, 44(8), 2023-2039.Jin, Z., Yang, H., Yin, G. – Optimal debt ratio and dividendpayment strategies with reinsurance. InsuranceMathematics and Economics, 64, 351-363.Jin, Z. – Optimal debt ratio and consumption strategies infinancial crisis. Journal of Optimization Theory andApplications, 166(3), 1029-1050.Jin, Z., Qian, L. – Lookback option pricing for regime-switching jump diffusion models. Mathematical Controland Related Fields, 5(2), 237-258.Jin, Z., Stockbridge, R., Yin, G.- Some recent progress onnumerical methods for controlled regime-switching mod-els with applications to insurance and risk management.Computational Methods in Applied Mathematics, 15(3),331-351.Joshi, M.S. – A new class of dual upper bounds for earlyexercisable derivatives encompassing both the additiveand multiplicative bounds. Operations Research Letters,43(6), 581-585.Li, J., Dickson, D.C.M., Li, S. – Finite time ruin problemsfor the MAP risk model. Insurance: Mathematics andEconomics, 65, 1-8.Li, S., Lu, Y., Jin, C. – Number of jumps in two-sided first exitproblems for the compound Poisson process. Methodologyand Computing in Applied Probability, 17(2), 1-18.

Meng, H., Li, S., Jin, Z. – A reinsurance game betweentwo insurance companies with non-linear risk processes.Insurance: Mathematics and Economics, 62, 91-97.Nie, C., Dickson, D.C.M., Li, S. – The finite time ruinprobability in a risk model with capital injections.Scandinavian Actuarial Journal, (4), 301-318.Tan, S., Jin, Z., Wu, F. – Arbitrage and leverage strategiesin bubbles under synchronization risks and noise-traderrisks. Economic Modelling, 49, 331-343.Wu, X., Chen, M., Guo, J., Jin, C. – On a discrete-time riskmodel with claim correlated premiums. Annals of ActuarialScience, 9(2), 322-342.Zhao, Y., Wang, R., Yao, D., Chen P. – Optimal dividendsand capital injections in the dual model with a randomtime horizon. Journal of Optimization Theory andApplications, 167(1), 272-295.

OTHER PUBLICATIONS

Gomez-Deniz, E., Vazquez-Polo, F. J., Garcia, V., Calderin, E.(2015). The Exponential-Reciprocal generalized inverseGaussian distribution-A new model to describe lossdistributions. Conference proceedings of Current Topics onRisk Analysis: ICRA6 and RISK 2015 Conference.Barcelona, Spain.Calderin, E., Gomez-Deniz, E. (2015). Modelling largeclaims with Pareto ArcTan distribution. Conferenceproceedings of Actuarial and Financial MathematicsConference: Interplay between Finance and Insurance.Brussels, Belgium.Joshi, M.S. Proof Patterns, Springer March 2015.

CONFERENCE AND SEMINAR PRESENTATIONSCalderín, Enrique

“The Pareto ArcTan distribution: A simple way to modelurban agglomerations in the Asia Pacific region (2015)”.International Conference on Applied Statistics, ICAS 2015.Pattaya, Thailand.

“Modeling large claims with Pareto ArcTan distribution”.Actuarial and Financial Mathematics Conference: Interplaybetween Finance and Insurance. Brussels, Belgium.Dickson, David

“The time of ruin in a Markov-modulated risk model”.Heriot–Watt University, August.

“The time of ruin in a Markov-modulated risk model”.University of Barcelona, September.

“The time of ruin in a Markov-modulated risk model”. ISEG,University of Lisbon, October.

“Analysis of a risk model with capital injections”. Heriot–Watt University, November.

“Analysis of a risk model with capital injections”. ETH,Zurich, December.

Publications and Other Research Activities


Dufresne, Daniel"In Memory of Marc Yor", 5th Ritsumeikan-MonashSymposium on Probability and Related Fields, MonashUniversity, March."Some two-dimensional extensions of Bougerol¹s identityin law for the exponential functional of linear Brownianmotion". The 5th Monash-Ritsumeikan Symposium onProbability and Related Fields. Monash University, March. "Marc Yor’s contribution to the pricing of Asian options".Symposium in Memory de Marc Yor, Universite Paris 7,June. "Pricing Asian options: Convergence of Gram-Charlierseries". ASTIN AFIR/ERM and IACA Colloquia, Sydney,August."Pricing Asian options: Two techniques". The 59th Meetingof the Australian Mathematical Society, Flinders University,Adelaide, September. "Change of dimension for pricing Asian options: Upsizing".Hunter College, City University of New York, December. "Convergence of Gram-Charlier series". Hunter College,City University of New York, December. Jin, Zhuo

“Some dividend problems with debt constraints”. Workshopon Financial Engineering and Its Applications, Ningbo,China, December.

“Lookback option pricing for regime-switching jump diffusionmodels”. Minisymposium co-organizer and speaker inSIAM Conference on Control and Its Applications (CT15),Paris, July. Jin, Can

“On the occupation times for the surplus process beingbelow or above a certain level prior to ruin in a classicalrisk model”. The 7th Australasian Actuarial Education andResearch Symposium, Bond University, December. Joshi, Mark

“Kooderive: Multi-Core Graphics Cards, the Libor MarketModel, Least-Squares Monte Carlo and the Pricing ofCancellable Swaps,” University of Technology, Sydney, May

“Using GPUs to price derivatives”. The QuantitativeMethods in Finance (QMF) 2015 Conference, University ofTechnology, Sydney, December. Zhu, Dan

“The Robust computation and the sensitivity analysis offinite-time ruin probabilities and the estimation of risk-based regulatory capital”. The 18th International Congresson Insurance: Mathematics & Economics, Liverpool, June.

“An exact method for the sensitivity analysis of systemssimulated by projection techniques”. Department ofEconometrics and Business Statistics, Monash University,November.

Other Activities Staff of the Centre acted as a referee for Institute andFaculty of Actuaries (IFA) Research Funding. Threemembers of the Centre, Dr Zhuo Jin, Associate ProfessorShuanming Li and Dr Xueyuan Wu, were reviewers forAmerican Mathematical Reviews.

Involvement as Referees Staff of the Centre acted as referees for the following journals:

Advances in Difference EquationsAnnals of Actuarial ScienceApplied Mathematical FinanceApplied Stochastic Models in Business and IndustryAsia-Pacific Journal of Risk and InsuranceASTIN Bulletin The Australian Economic ReviewAutomaticaCommunications in Statistics – Simulation andComputationComputational and Applied MathematicsComputational Statistics and Data AnalysisEconomic Modelling European Actuarial JournalFinance and Stochastics Insurance: Mathematics & EconomicsInternational Journal of Decision Sciences, Risk andManagement (IJDSRM)Journal of Computational and Applied MathematicsJournal of Mathematical FinanceJournal of Industrial and Management OptimizationJournal of Optimization Theory and ApplicationsJournal of Risk and Financial ManagementMathematical Methods of Operations ResearchPhysica A: Statistical Mechanics and its ApplicationsRisksScandinavian Actuarial JournalScience in China MathematicsStatistical MethodologyStatistics and Probability Letters


Publications and Other Research Activities

STAFFProfessors of Actuarial Studies

DAVID DICKSON: BSc (Hons), PhD (Heriot-Watt), FFA,FIAA Research interests: Aggregate claims distributions,renewal risk processes, recursive methods in risktheory.

DANIEL DUFRESNE: BSc (Hons) (Montreal), PhD (The City University), FSA Research interests: Financial mathematics, actuarialscience, probability.

MARK JOSHI: BA (Hons) (Oxford), PhD (MIT) Research interests: Financial mathematics

Associate Professor in Actuarial Studies

SHUANMING LI: BSc (Tianjin), MEc (Renmin), PhD (Concordia) Research interests: Risk and ruin theory, stochasticmodelling in insurance and finance, actuarial science.

Senior Lecturer in Actuarial Studies

XUEYUAN WU: BS, MS (Nankai), PhD (Hong Kong) Research interests: Risk and ruin theory, discrete-timerisk models, phase-type distribution in risk theory

Lecturers in Actuarial Studies

PING CHEN: BAM (Qufu), MSc (CAS), PhD (Hong Kong)Research interests: Actuarial science, financialmathematics, statistics and information

ENRIQUE JAVIER CALDERIN: BS, MS (UNED, Spain),PhD (ULPGC, Spain) Research interests: Bayesian inference, statisticalrobustness, distribution theory, actuarial statistics

ZHUO JIN: BS, MS (HUST), MA, PhD (WSU), ASAResearch interests: Numerical methods for stochasticsystems, mathematical finance, actuarial science

Honorary Senior Fellows

RICHARD FITZHERBERTBSc (Sydney), FIAA, FFin

JULES GRIBBLEBSc (Hons), PhD St Andrews, FIAA, FCIA, FSA

DAVID HEATHBEc (Hons) (Monash), FIAA, CPA, FFin

External Lecturers

ANDREW BROWNBSc, DipEd (Melbourne), FIAA, FFin

DONALD CAMPBELLBCom (Melbourne), FIAA

ANDREW GALEBSc (Melbourne), FIAA

JANE JOSHIBSc (Hons) (Monash), PhD (Melbourne)

External Examiners for Part II

MARTIN FRY and ANDREW GALE(Actuarial Practice and Control I and II)

MIKE BARKER(Actuarial Practice and Control III)

Staff


Staff


Dr. Enrique Calderin Dr. Ping Chen

Professor David Dickson Professor Daniel Dufresne

Staff


Dr. Zhuo Jin Professor Mark Joshi

Associate Professor Shuanming Li Dr. Xueyuan Wu

http://fbe.unimelb.edu.au/economics/ACT/

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Published by the Faculty of Business and Economics, March 2016

© The University of Melbourne

Documents

Centre for Actuarial Studies · 2017-12-05 · INTRODUCTION The Centre for Actuarial Studies is a teaching and research unit located within the Department of Economics. The majority