| Publication | Date of Publication | Type |
|---|
Importance sampling for option pricing with feedforward neural networks
Finance and Stochastics | 2025-01-09 | Paper |
Optimal annuitisation, housing and reverse mortgage in retirement in the presence of a means-tested public pension
European Actuarial Journal | 2024-12-05 | Paper |
Multi-factor polynomial diffusion models and inter-temporal futures dynamics
| 2024-10-31 | Paper |
On autoregressive measurement errors in a two-factor model
| 2024-10-31 | Paper |
Life cycle insurance, bequest motives and annuity loads
| 2023-10-09 | Paper |
Cyber risk frequency, severity and insurance viability
Insurance Mathematics & Economics | 2022-09-14 | Paper |
A bias-corrected least-squares Monte Carlo for solving multi-period utility models
European Actuarial Journal | 2022-07-27 | Paper |
Myopic robust index tracking with Bregman divergence
Quantitative Finance | 2022-04-05 | Paper |
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
Mathematics and Financial Economics | 2021-05-05 | Paper |
Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades
Journal of Forecasting | 2019-05-28 | Paper |
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
European Journal of Operational Research | 2018-11-19 | Paper |
Dependent default and recovery: Markov chain Monte Carlo study of downturn loss given default credit risk model
ANZIAM Journal | 2018-05-08 | Paper |
Machine learning techniques for mortality modeling
European Actuarial Journal | 2018-01-12 | Paper |
Historical backtesting of local volatility model using aud/usd vanilla options
The ANZIAM Journal | 2017-10-17 | Paper |
Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
Insurance Mathematics & Economics | 2017-09-19 | Paper |
Optimal exercise strategies for operational risk insurance via multiple stopping times
Methodology and Computing in Applied Probability | 2017-08-14 | Paper |
Optimal consumption, investment and housing with means-tested public pension in retirement
Insurance Mathematics & Economics | 2017-07-17 | Paper |
From `Funny time, funny money' to realistic labour times
| 2016-02-18 | Paper |
HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS
The ANZIAM Journal | 2015-08-10 | Paper |
Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
Methodology and Computing in Applied Probability | 2015-01-28 | Paper |
Bayesian model choice of grouped \(t\)-copula
Methodology and Computing in Applied Probability | 2013-01-11 | Paper |
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation
Insurance Mathematics & Economics | 2011-12-21 | Paper |
Implementing loss distribution approach for operational risk
Applied Stochastic Models in Business and Industry | 2011-11-26 | Paper |
Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
Insurance Mathematics & Economics | 2011-08-01 | Paper |
The \(t\) copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
Quantitative Finance | 2011-04-29 | Paper |
A short tale of long tail integration
Numerical Algorithms | 2011-04-08 | Paper |
Model uncertainty in claims reserving within Tweedie's compound Poisson models
ASTIN Bulletin | 2011-01-20 | Paper |
Modelling operational risk using Bayesian inference.
| 2010-10-14 | Paper |
Computing tails of compound distributions using direct numerical integration
The Journal of Computational Finance | 2010-02-05 | Paper |
Spin-wave Gap Critical Index for the Quantum Two-layer Heisenberg Antiferromagnet at T = 0
Australian Journal of Physics | 2003-06-04 | Paper |
