
About Us Staff Profiles PhD Students Contact Us Actuarial Students' Society Courses & Programs Information Booklet for Future Students Undergraduate & Honours Courses Guide to the Bachelor of Commerce Honours in Actuarial Studies Scholarships Information for Current Students Subjects Pages Learning Management System Students Guide: 2008 Past Exam Papers Applying for IAAust Exemptions Exchange Program : Heriot-Watt University Exemption Lists Postgraduate Studies Distance Education The Actuarial Control Cycle Application Form - Actuarial Control Cycle Results Semester 1 2008 Applying for IAAUST Exemptions Research 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 Annual Reports 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 Useful Links Other Uni Melb Sites Other Actuarial Sites Positions Vacant Academic General Economics Home

Research Paper Series - 2008

Click on the title of any paper to see an abstract or summary. Pdf versions of some papers are also available on these pages.

For copies of these working papers please e-mail your request to:
actuarials@mercury.ecom.unimelb.edu.au

Additions to the series in 2008

No 167	A Simple Model Of Insurance Market Dynamics. by Greg Taylor
No 168	Finite time ruin problems for the Erlang(2) risk model. by David C M Dickson and Shuanming Li
No 169	On a discrete-time Sparre Anderson model with phase-type claims. by Xueyuan Wu and Shuanming Li
No 170	The Convergence of Binomial Trees for Pricing the American Put. by Mark S. Joshi
No 171	Comparing Discretisations of the Libor Market Model in the Spot Measure. by Christopher Beveridge, Nicholas Denson, and Mark S. Joshi
No 172	Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions. by Ferdinando M. Ametrano and Mark S. Joshi
No 173	Conditional Analytic Monte-Carlo Pricing Schemes of Auto-Callable Products. by Christian P. Fries and Mark S. Joshi
No 174	Juggling Snowballs. by Christopher Beveridge and Mark S. Joshi
No 175	Trinomial or Binomial: Accelerating American Put Option Price on Trees. by Juin Hong Chan, Mark S. Joshi, Robert Tang and Chao Yang
No 176	The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model. by Shuanming Li
No 177	The Distribution of Total Dividend Payments in a Sparre Andersen Model. by Shuanming Li and Yi Lu
No 178	On the Maximum Severity of Ruin in the Compound Poisson Model with a Threshold Dividend Strategy. by Shuanming Li and Yi Lu
No 179	The Markovian Regime-Switching Risk Model with a Threshold Dividend Strategy. by Yi Lu and Shuanming Li

Centre for Actuarial Studies