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.
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
Better communication to solve the under-saving, under-spending puzzle. This project expects to develop evidence-based communication tools that promote life-time financial security, specifically investigating the puzzling and harmful tendency of people to under-save while working and under-spend while retired. To achieve this goal, it will design and experimentally validate innovative boosts to superannuation communication including income projections and goal-setting targeted at common misconcep ....Better communication to solve the under-saving, under-spending puzzle. This project expects to develop evidence-based communication tools that promote life-time financial security, specifically investigating the puzzling and harmful tendency of people to under-save while working and under-spend while retired. To achieve this goal, it will design and experimentally validate innovative boosts to superannuation communication including income projections and goal-setting targeted at common misconceptions and biases. It will use new structural modelling techniques to measure welfare changes. The expected outcomes are rigorous explanations for the saving-spending puzzle, and robust communication strategies for superannuation funds that will benefit workers and retirees by raising financial capability and confidence.Read moreRead less
Development of a Risk Assessment and Cost-Effectiveness Model for Optimising Geotechnical Roadway Assets. Roadway performance is strongly a function of the topography and foundation conditions through which the roadway passes, dictating the need for cuttings and fills, and approaches to handle problematic foundation conditions. The project aims to develop a risk management model to minimise the geotechnical risks and costs involved in roadway construction and maintenance, and maximise design li ....Development of a Risk Assessment and Cost-Effectiveness Model for Optimising Geotechnical Roadway Assets. Roadway performance is strongly a function of the topography and foundation conditions through which the roadway passes, dictating the need for cuttings and fills, and approaches to handle problematic foundation conditions. The project aims to develop a risk management model to minimise the geotechnical risks and costs involved in roadway construction and maintenance, and maximise design life. In Queensland, the value of roadway geotechnical assets is about $ 7.5 billion, with $ 0.5 billion spent annually adding to and maintaining these assets. The expected outcome of the project is maximising the life of geotechnical roadway assets for the funds available.Read moreRead less
Novel econometric techniques for dealing with point processes in high frequency financial data with applications to financial risk management. The recent global financial crisis highlighted the inherent risk involved in investing in financial assets. This project aims to develop novel statistical methods for forecasting the onset of instability in asset prices. The outcomes of this research will lead to improvements in the management of financial risk.
Understanding the Impact of Sovereign Wealth Funds on the Financial Markets. This project aims not only to reveal the impact of sovereign wealth fund (SWFs) on Australian international stock markets, but also to assess their investment behaviour. An SWF is an investment fund managed by a government or other organisation on behalf of a sovereign state. The impact of SWFs on international financial markets and their behaviour are of great importance to market participants as well as policy-makers. ....Understanding the Impact of Sovereign Wealth Funds on the Financial Markets. This project aims not only to reveal the impact of sovereign wealth fund (SWFs) on Australian international stock markets, but also to assess their investment behaviour. An SWF is an investment fund managed by a government or other organisation on behalf of a sovereign state. The impact of SWFs on international financial markets and their behaviour are of great importance to market participants as well as policy-makers. The project aims to measure the systemic risk contribution of SWFs and to analyse the anti-takeover provisions of SWFs’ target firms. In addition, the project aims to understand the relation between anti-takeover provisions and target firm value and will examine the role of SWFs as a socially responsible investor. The expected outcomes will improve our understanding of the impact of SWFs on the Australian financial markets in terms of social and economic wellbeing.Read moreRead less
Mathematical models for water management systems. The Australian community is currently talking about schemes to return water to the Murray-Darling river system to combat increased salinity and dramatically reduced river flow. Many believe that vastly improved water management policies are essential to maintain agricultural well-being in Australia. Salinity and water quality depend directly on flow rates and are also important in smaller catchments. In this study we will use statistical rainf ....Mathematical models for water management systems. The Australian community is currently talking about schemes to return water to the Murray-Darling river system to combat increased salinity and dramatically reduced river flow. Many believe that vastly improved water management policies are essential to maintain agricultural well-being in Australia. Salinity and water quality depend directly on flow rates and are also important in smaller catchments. In this study we will use statistical rainfall models and stochastic dynamic programming to find practical water management policies that minimise the risk to water supply. We will develop an interactive simulation and management tool using a modern computer graphics package.Read moreRead less
A graphical simulation package for optimal management and risk assessment in urban stormwater harvesting systems. We will develop a Scalar Vector Graphics (SVG) simulation tool for optimal management and risk assessment in urban stormwater harvesting and utilisation schemes. The generic model will be applied to existing and proposed schemes within the City of Salisbury (CoS) and will include a capture dam, one or more storage dams and an aquifer storage and recovery (ASR) facility. The discret ....A graphical simulation package for optimal management and risk assessment in urban stormwater harvesting systems. We will develop a Scalar Vector Graphics (SVG) simulation tool for optimal management and risk assessment in urban stormwater harvesting and utilisation schemes. The generic model will be applied to existing and proposed schemes within the City of Salisbury (CoS) and will include a capture dam, one or more storage dams and an aquifer storage and recovery (ASR) facility. The discrete state vector will be the content of each storage unit and the daily transition will be driven by a new stochastic rainfall model (SRM). The objective will be to find a practical management policy that minimises Conditional Value-at-Risk (CVaR).Read moreRead less
Financial tunnelling: shareholder protection and wealth changes during two decades of capital management activities in Australia. Companies raise capital and distribute capital and profits through various mechanisms, often structured to benefit important shareholders such as institutions. This study examines the extent to which minority shareholders have had wealth destroyed through company capital management activities, and offers corporate governance solutions.
Financial Risk Processes: Stochastic and Statistical Models and their Applications. On the one hand, the misuse of complex financial instruments has contributed to recent major disasters in the Australian financial and insurance industries; on the other hand, great benefits can be obtained by correct use of these kinds of instruments, to share risk between markets and segments of markets. The overall research effort in Australia in these areas is relatively small. This project will target the de ....Financial Risk Processes: Stochastic and Statistical Models and their Applications. On the one hand, the misuse of complex financial instruments has contributed to recent major disasters in the Australian financial and insurance industries; on the other hand, great benefits can be obtained by correct use of these kinds of instruments, to share risk between markets and segments of markets. The overall research effort in Australia in these areas is relatively small. This project will target the development of cutting edge technologies underlying the use of financial derivatives, not presently studied in this country or elsewhere, by bringing together a variety of top level international researchers in an integrated effort to lift the Australian understanding and application of this methodology.Read moreRead less