Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions ....Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions and estimate the errors involved. Applications include analysis of data in insurance, finance, flood prediction in hydrology.Read moreRead less
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
New valuation and parallel simulation methods for finance and insurance. Many Australians have superannuation savings and hold life insurance contracts. Hence, the price and risk of these investments is of particular importance to the welfare of Australia. The proposed research will improve the financial security of Australians by demonstrating that many long term insurance and superannuation products require far less capital than currently suggested. This project will provide path breaking fron ....New valuation and parallel simulation methods for finance and insurance. Many Australians have superannuation savings and hold life insurance contracts. Hence, the price and risk of these investments is of particular importance to the welfare of Australia. The proposed research will improve the financial security of Australians by demonstrating that many long term insurance and superannuation products require far less capital than currently suggested. This project will provide path breaking frontier technology for enhancing the performance of superannuation funds, insurance companies and banks, giving these Australian institutions a competitive advantage. An additional outcome will be global growth for sectors of Australia's IT industry, developing related software and tailored hardware.
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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
Dynamic risk measures. Exposure to risk is a pervasive problem. The results will be of importance for financial institutions when they estimate their exposure to risk. Other applications will be to determine the level of risk from a terrorist attack or regional instability. Companies wish to allocate resources to minimize their exposure to adverse events.
Sparse grid approximations and fitting using generalised combination techniques. Sparse grid techniques provide an effective tool to deal with the
computational curse of dimensionality which is a constant challenge in
modelling complex data. The proposed research is aimed at the
development and analysis of algorithms for data fitting with sparse
grids using variants of the combination technique. The outcome of the
research is a theory which will provide insights in the applicability,
limit ....Sparse grid approximations and fitting using generalised combination techniques. Sparse grid techniques provide an effective tool to deal with the
computational curse of dimensionality which is a constant challenge in
modelling complex data. The proposed research is aimed at the
development and analysis of algorithms for data fitting with sparse
grids using variants of the combination technique. The outcome of the
research is a theory which will provide insights in the applicability,
limitations and the convergence properties of the proposed
algorithms. The outcomes will be widely applicable in modelling of
large scale and complex data as is encountered in areas of
bioinformatics, physics and experimental studies of complex systems.
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Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new ....Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new statistical control charts for security monitoring of epidemics, networks intrusions and other potentially dangerous changes. The research will also give Australia a competitive advantage in the area of education related to stochastic processes, mathematical finance, control theory and their applications.Read moreRead less
Rare Event Simulation with Heavy Tails. The project provides a rigorous way to enhance our understanding of the mechanisms that bring about catastrophic rare events such as urban flooding, electricity shortages and financial bankrupcy. Australia is at the forefront of exciting recent developments in rare event simulation. The advancement of the knowledge in this area will generate a competitive advantage for various sections of the Australian industry, including the areas of industrial reliabili ....Rare Event Simulation with Heavy Tails. The project provides a rigorous way to enhance our understanding of the mechanisms that bring about catastrophic rare events such as urban flooding, electricity shortages and financial bankrupcy. Australia is at the forefront of exciting recent developments in rare event simulation. The advancement of the knowledge in this area will generate a competitive advantage for various sections of the Australian industry, including the areas of industrial reliability, finance and insurance, were accurate simulation techniques are becoming increasingly important.Read moreRead less
Stochastic analysis and the development and application of financial risk processes. Ensuring the stability of Australia's financial system requires an understanding of the complex financial instruments, strategies and technologies that have evolved in recent years. A strong well-integrated research effort in stochastic analysis with particular application to financial markets is fundamental for measuring and managing risk, to protect and preserve a well functioning system, and to inform policy ....Stochastic analysis and the development and application of financial risk processes. Ensuring the stability of Australia's financial system requires an understanding of the complex financial instruments, strategies and technologies that have evolved in recent years. A strong well-integrated research effort in stochastic analysis with particular application to financial markets is fundamental for measuring and managing risk, to protect and preserve a well functioning system, and to inform policy debate on financial strategies and insurance liabilities.
These challenges are global and require extensive international research collaboration and interaction. The present project will enhance Australia's contributions in this area and facilitate its global impact more than is possible through individual efforts.Read moreRead less
Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models. New models for assessing and managing risk of financial products will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for ....Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models. New models for assessing and managing risk of financial products will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for example, environment risk, climate change, and energy and security problems.Read moreRead less