Superannuation as Inheritance: Law, Practice and Reform. Given that Australian retirees are leaving behind billions of superannuation assets for inheritance, this project aims to obtain accurate real world findings about how superfunds distribute superannuation inheritances in practice. Current law has not kept pace with reality, largely leaving superfund trustees to decide how to bequest their deceased members’ excess superannuation. Australian families are at the mercy of superfunds. The expec ....Superannuation as Inheritance: Law, Practice and Reform. Given that Australian retirees are leaving behind billions of superannuation assets for inheritance, this project aims to obtain accurate real world findings about how superfunds distribute superannuation inheritances in practice. Current law has not kept pace with reality, largely leaving superfund trustees to decide how to bequest their deceased members’ excess superannuation. Australian families are at the mercy of superfunds. The expected outcomes of this project include evidence-based proposals to reform industry practice and the law. These reforms will promote respect for Australians’ testamentary wishes, safeguard against abuse, and advance societal interests in philanthropy, wealth equality and fiscal responsibility.Read moreRead less
Innovations in Enterprise Risk Management: Risk Aggregation, Dependence, and Efficiency. Enterprise risk management is of critical importance to the successful management of business corporations. The savings from the integrated measurement and management of risk at the enterprise level allowing for diversification in business activities is massive. The Australian insurance and actuarial science profession is highly regarded internationally. Innovative contributions to the rapidly developing are ....Innovations in Enterprise Risk Management: Risk Aggregation, Dependence, and Efficiency. Enterprise risk management is of critical importance to the successful management of business corporations. The savings from the integrated measurement and management of risk at the enterprise level allowing for diversification in business activities is massive. The Australian insurance and actuarial science profession is highly regarded internationally. Innovative contributions to the rapidly developing area of enterprise risk management will benefit Australia by maintaining its high profile at an international level in this newly emerging area. This will lead to increased demand at an international level for Australian graduate students and international research students wishing to study at Australian universities in these disciplines.Read moreRead less
Quantitative Analysis of Systemic Risk in Insurance. This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk prem ....Quantitative Analysis of Systemic Risk in Insurance. This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk premium. The project will benefit insurers and regulators by providing a forward-looking approach to monitoring and assessing insurance risk during a systemic crisis. These important original contributions to insurance risk management will help establish Australia’s global leadership in systemic risk.Read moreRead less
Forecasting and Financing Healthy Ageing and Aged Care in Australia. This project aims to quantify future risks of chronic illness and functional disability in retirement, proposing financing strategies aimed at enhancing healthy ageing, lifestyle quality and aged care provisions. The project devotes to devising a framework integrating government and private sector participation in funding health costs which increase significantly in older ages. The expected outcome includes sustainable retireme ....Forecasting and Financing Healthy Ageing and Aged Care in Australia. This project aims to quantify future risks of chronic illness and functional disability in retirement, proposing financing strategies aimed at enhancing healthy ageing, lifestyle quality and aged care provisions. The project devotes to devising a framework integrating government and private sector participation in funding health costs which increase significantly in older ages. The expected outcome includes sustainable retirement income scenarios for easing fiscal pressure from social initiatives such as age pension and aged care financing at the same time improving living standards for seniors. The project expects to place Australia at the forefront of research on sustainable solutions to financial challenges facing retirees.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
Shock model-based framework for modelling correlated large losses. This project aims to develop aggregate risk models by utilizing shock models in reliability theory. It intends to provide a new alternative approach which is more realistic and also mathematically tractable in order to estimate various types of quantities in (re)insurance and operational risk management. The expected outcome includes enhanced capacity by advanced analytical tools to assess correlated and large risks, thus assisti ....Shock model-based framework for modelling correlated large losses. This project aims to develop aggregate risk models by utilizing shock models in reliability theory. It intends to provide a new alternative approach which is more realistic and also mathematically tractable in order to estimate various types of quantities in (re)insurance and operational risk management. The expected outcome includes enhanced capacity by advanced analytical tools to assess correlated and large risks, thus assisting in the management of key risks and improving the effectiveness of risk management. This should benefit the stability of the financial and regulatory systems where large and dependent risks are concerned.Read moreRead less
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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A new theoretical approach to pension fund economics, asset management and insurance. A new generation of sustainable pensions will be proposed, which can, in the long term, increase several times the level of pension payouts. The groundbreaking underlying theoretical approach suggests a paradigm shift and dramatic improvements in the performance of pensions and other long dated contracts in asset management and insurance.
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
Extreme Value Theory Approaches to Insurance in a Catastrophic Environment. Recent decades are marked by numerous significant natural (climate change) or man-made (financial crises) catastrophes, which have significantly altered the landscape of the insurance industry. These have potentially significant negative impacts on the availability and affordability of insurance, and hence on the capability and capacity of households and businesses to take risks and be competitive. This project endeavour ....Extreme Value Theory Approaches to Insurance in a Catastrophic Environment. Recent decades are marked by numerous significant natural (climate change) or man-made (financial crises) catastrophes, which have significantly altered the landscape of the insurance industry. These have potentially significant negative impacts on the availability and affordability of insurance, and hence on the capability and capacity of households and businesses to take risks and be competitive. This project endeavours to establish progressive approaches (using extreme value theory) to the challenges faced by insurance in such a catastrophic environment. They will enhance the financial stability and competitivity of the Australian economy, and further establish its global leadership in dealing with climate changes and catastrophes.Read moreRead less