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...

Deaths from the influenza virus have been occurring for 100 years which raises the issue of what is unique about this virus that has made it immune to eradication? Since the influenza virus mutates, and the environment in which it operates is a complex adaptive system, this study uses a systems...

In this paper, we investigate the problem of how to combine operational losses collected from various banks of different sizes and loss reporting thresholds in order to estimate the distribution of operational loss severities for a bank of a given size. We model the severity of operational...

Traditionally, financial risk management has mainly focused on the types of risk that can be identified and measured. Many actuarial and statistical theories and models have been developed in the past, to quantify such risks. However, high profile events such as Black Monday, the Asian financial...

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

Traditionally, financial risk management has mainly focused on the types of risk that can be identified and measured. Many actuarial and statistical theories and models have been developed in the past, to quantify such risks. However, high-profile events such as Black Monday, the Asian financial...

Traditional regression analysis of the relationship between macroeconomic characteristics and nonperforming loan (NPL) provisions makes an implicit assumption that the global economic systems are stable over time. This assumption has been shown to be incorrect and the global economic system is a...