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
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
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.
New Stochastic Processes with Applications in Finance. This project investigates the properties and the use of two new families of models with applications in Finance, and beyond. It will contribute to the development of fundamental research in mathematics and its applications. The project will produce more realistic financial models that will benefit researchers in this field. This will in turn have a flow on effect to benefit the wider community. The project will provide for postgraduate train ....New Stochastic Processes with Applications in Finance. This project investigates the properties and the use of two new families of models with applications in Finance, and beyond. It will contribute to the development of fundamental research in mathematics and its applications. The project will produce more realistic financial models that will benefit researchers in this field. This will in turn have a flow on effect to benefit the wider community. The project will provide for postgraduate training and international scientific exchange. Overall, the project will strengthen Australia's standing at the forefront of fundamental and applied research.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
Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a frame ....Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a framework to help market regulators manage illiquidity, enhance the efficiency of option trading in illiquid markets and help in the detection of market manipulation.Read moreRead less
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
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
Modelling with stochastic differential equations. We will develop methodology for modelling and analysis of phenomena subjected to random and uncertain influences, such as behaviour of investors in the market, evolution of economy, values of stocks and ant colonies. This methodology will enable scientists to achieve more accurate description and analysis of their models and provide better understanding of these phenomena. Creating the tools for understanding such complex systems will have far re ....Modelling with stochastic differential equations. We will develop methodology for modelling and analysis of phenomena subjected to random and uncertain influences, such as behaviour of investors in the market, evolution of economy, values of stocks and ant colonies. This methodology will enable scientists to achieve more accurate description and analysis of their models and provide better understanding of these phenomena. Creating the tools for understanding such complex systems will have far reaching benefits both nationally and internationally and will allow Australia to strengthen its position in international research. The project will also provide for postgraduate training and international scientific exchange.Read moreRead less
Stochastic systems with applications to Biology and Finance. This project is concerned with stochastic systems. These mathematical systems, which are controlled by statistical uncertainty and variability, have profound importance in the fields of biology and finance. They are recognised worldwide as being of primary scientific importance. Important questions to be examined are: 1) Branching processes in DNA Polymerase Chain Reaction, 2) long term stationarity in metastable systems, and 3) Sto ....Stochastic systems with applications to Biology and Finance. This project is concerned with stochastic systems. These mathematical systems, which are controlled by statistical uncertainty and variability, have profound importance in the fields of biology and finance. They are recognised worldwide as being of primary scientific importance. Important questions to be examined are: 1) Branching processes in DNA Polymerase Chain Reaction, 2) long term stationarity in metastable systems, and 3) Stochastic Volatility in Finance. The answers to these questions will underpin the statistical theory for potential breakthroughs in the respective areas. This project will contribute to the theory and applications of Stochastic Processes, as well as modelling in biology and finance.Read moreRead less