Pricing, Solvency and Capital Management in Insurance: New Perspectives from the Integration of Actuarial and Financial Economic Theory. This project will investigate the optimal level of capital, pricing and solvency for an insurance company in an equilibrium framework. It will include research on the impact of extreme events and dependence of risks on fair pricing and efficient use of capital. Billions of dollars of capital are under management in insurance companies in Australia alone. The co ....Pricing, Solvency and Capital Management in Insurance: New Perspectives from the Integration of Actuarial and Financial Economic Theory. This project will investigate the optimal level of capital, pricing and solvency for an insurance company in an equilibrium framework. It will include research on the impact of extreme events and dependence of risks on fair pricing and efficient use of capital. Billions of dollars of capital are under management in insurance companies in Australia alone. The convergence of insurance and financial markets and the recently highlighted importance of events such as the World Trade Centre Disaster on September 11, requires that these issues be addressed in an integrated research program combining actuarial and financial economic theory. New insights and understandings of optimal levels and types of capital and impacts on pricing will result. This is critical to the successful management and regulation of insurance and other financial service organisations.Read moreRead less
Risk and Prudential Regulation and Supervision of Australian Financial Institutions. The project seeks to enhance the effectiveness of prudential regulation and supervision of financial institutions (FIs) by examining the risk of FIs, as reflected in default risk premiums on FI international debt issues and variability of revenue/profitability measures, and the effect of broadening FI activities and the shift towards fee/commission income on FI risk. This forms the basis for the development and ....Risk and Prudential Regulation and Supervision of Australian Financial Institutions. The project seeks to enhance the effectiveness of prudential regulation and supervision of financial institutions (FIs) by examining the risk of FIs, as reflected in default risk premiums on FI international debt issues and variability of revenue/profitability measures, and the effect of broadening FI activities and the shift towards fee/commission income on FI risk. This forms the basis for the development and testing of statistical early warning systems of impending financial problems in Australian FIs. The models are compared with examiner rating systems currently used in prudential supervision.Read moreRead less