This paper discusses the role that Genetic Algorithms (GA) can have in determining asset allocation for multi sector funds. We present an asset allocation model where the investors' utility function departs from the quadratic utility function assumed by the standard Mean-Variance optimisation....

Established over 160 years ago, actuarial studies is a highly regarded disciplineand many students aspire to gain admission into the program offered by universities worldwide. The discipline is reknowned for offering students with the potential of excellent career prospects and high salaries....

The focus by investment practitioners on the impacts of non-traditional environmental and governance issues has intensified in recent times as a result of global events. This paper examines the relationship between environmental social governance (ESG) factors and financial performance of US...

This paper details the experience at UNSW of teaching the IAA Part 11 course since 2001, and outlines the course structure and teaching and learning approaches adopted. Suggestions of improvements to the course are also made

This paper reports the results of an empirical analysis of operational risk in a bank and derives a model to represent the distribution of losses. Comparisons are made with models traditionally used to model operational risk. The paper concentrates more on the severity issue rather than the...

Insurers operate in a complex economic system where a reductionist analysis of claims to ascertain the key characteristics fails to take into account interdependency of the characteristics which may result in a mispricing of risks and a failure to detect emerging drivers of claims. This paper...

The determination of leading indicators of stock market returns is of interest to both practitioners and academics. This paper analyses the validity of the recent macroeconomic factors indicated in the literature as providing a reliable indication of Australian stock market returns and concludes...

This paper uses a systems-based analysis across 137 countries over the period 2002~2017 to identify if there are macroeconomic characteristics that discern low, middle- and high-income countries and countries ranked by GDP per capita quartiles. The analysis identifies defining characteristics...

The dynamics of “insider” and “outsider” groups and the social and economic consequences has been of interest to academics for some time. This paper uses a systems methodology to analyse the data from a major study of Italian prejudices to determine if “insider” groups are prejudiced...

Most research relating to the adequacy of the Australian retirement system has concentrated on Pillars 1 and 2. This paper indicates that there is a high probability that Pillars 3 and 4 will be needed to ensure an adequate standard of living in retirement, and in most scenarios, the...