Centre for Actuarial StudiesANNUAL REPORT 2018

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The Year in Review ....................................................................................... 3

Teaching ..................................................................................................... 5

Student Prize Winners ................................................................................. 6

PhD Students and Research Topics .............................................................. 6

Publications and Other Research Activities .................................................. 7

Staff ........................................................................................................... 9

Contents

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The Year in Review

INTRODUCTIONThe Centre for Actuarial Studies is a teaching and research unit located within the Department of Economics. The majority of undergraduate and Masters students study to become actuaries, but a number of our students find employment in the banking or investment sector. Our PhD students have research topics in risk theory, investment models, survival analysis, financial mathematics, derivative pricing and applied probability. The Centre attracts high achieving students; many of the faculty’s participants in the prestigious Chancellor’s Scholars Program (admission to which is based on university entrance score) are students majoring in actuarial studies.

The Centre for Actuarial Studies is fully accredited by the Actuaries Institute, meaning that its students can obtain exemptions from all of Parts I and II of the Institute’s examinations. With regard to research, members of the Centre are experts in their fields and are internationally recognised for their work in actuarial science, financial mathematics, probability and statistics. The Centre has nine full-time academic positions and several part-time lecturers from the Melbourne actuarial community (the complete list is at the end of this report).

The Centre for Actuarial Studies continues to be the focal point for actuarial education in Victoria. It has the support of the actuarial profession in Australia and produces research of high quality. It also maintains strong international links and contributes to the local actuarial community.

In December 2015, the Society of Actuaries (SOA) named the University of Melbourne’s actuarial studies program as an SOA Center of Actuarial Excellence (CAE). Actuarial science school programs must meet eight rigorous criteria and specific CAE requirements to qualify for the CAE designation. These criteria involve the degree, curriculum, graduate count, faculty composition, graduate quality, appropriate integration, and connection to industry and research/scholarships. Only 33 colleges and universities around the world have attained the CAE designation. The CAE designation for the Centre was renewed successfully for 2016, 2017 and 2018.

Centre staff publish in top journals and present their research at seminars and conferences in Australia and overseas. Details of publications can be found later in this report, as well as a list of conference and seminar presentations.

The 7th International Gerber-Shiu Workshop was hosted by the Centre on 10-11 July 2018. The themes of the workshop were risk theory, general insurance and related problems. More than 50 participants from 9 countries attended the workshop. The Centre for Actuarial Studies would like to thank the members of the organizing committee Professor David Dickson (Co-chairman), Associate Professor Shuanming Li (Co-chairman), Dr Enrique Calderin, Dr Ping Chen, Dr Kevin Fergusson, Dr Zhuo Jin, Dr Xueyuan Wu, Dr Rui Zhou and Ms Nicole Scott, for making this event a success.

The Mark Joshi Memorial Prize was established, to be awarded in perpetuity, after an appeal raised around $85,000. Professor Mark Joshi will be fondly remembered by former students and colleagues at the University of Melbourne.

STAFF NEWS, RESEARCH AND GRANTSProfessor David Dickson was the Head of Department of Economics for 2018 with his three-year term ending in December 2018.

Dr Rui Zhou joined the Centre in January 2018.

Professor Johnny Li joined the Centre in July 2018.

Associate Professor Shuanming Li was the Director of the Centre for Actuarial Studies for 2018. Dr Ping Chen was on a study leave from 1st August 2018 to 31th January 2019.

Professor David Dickson is an editor of ASTIN Bulletin, a member of the editorial board of Insurance: Mathematics & Economics, Annals of Actuarial Science and North American Actuarial Journal, an Adjunct Professor at the University of Waterloo. In 2018 he was a member of the Scientific Committee for the IME Congress at UNSW, a member of the Prize Committee for the best presentation by a PhD student at the IME Congress, and an external referee for promotion applications at ANU and UNSW.

Professor Johnny Li is a Co-Editor of the North American Actuarial Journal, and an Associate Director of the Actuarial Research Center (ARC) of the Institute and Faculty of Actuaries in the UK.

Associate Professor Shuanming Li is a member of the Editorial board for the Journal of Insurance Markets and Companies, a Reviewer for American Mathematical Reviews (AMR). In 2018 he acted as an external referee for a promotion application at Monash University.

Dr Zhuo Jin is a member of the editorial board of Journal of Systems Science and Complexity and a reviewer for Mathematical Reviews.

Professor David Dickson and Associate Professor Shuanming Li co-chaired the organising committee for the 7th Gerber-Shiu workshop.

Dr Enrique Calderin was an external examiner for a doctoral thesis at Macquarie University and a member of the scientific committee of the 7th Workshop on Risk Management and Insurance, Risk 2018.

Professor David Dickson was a co-recipient of the Ross Williams Career Achievement in Teaching Award from the Faculty of Business and Economics (FBE).

Professor Johnny Li completed two research projects that are supported by the Society of Actuaries and the Canadian Institute of Actuaries, respectively. His collaborative project with Dr. Rui Zhou from the Centre for Actuarial Studies and Gary Stoneham from the Centre for Market Design in the Department of Economics was awarded research funding from the Commonwealth Government of Australia in 2018.

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The Year in Review

Dr Ping Chen and Professor Haixiang Yao from Guangdong University of Foreign Studies were awarded a National Natural Science Foundation of China grant (CNY480,000, 2019-2022) for their project entitled “Research on Optimal Investment, Consumption and Life Insurance Strategies under the Pension Risk: From the Life Cycle’s Perspective”.

TEACHINGOverall enrolments dropped slightly from the level in previous years; in particular, the enrolment in Introduction to Actuarial Science (ACTL10001) dropped from 224 to 213. There were 17 enrolments in the new 1.5-year M.Com. (Actuarial Studies) degree. The M.Com. (Actuarial Studies) degree has a ‘practice’ pathway, which focuses on advanced professional training, and a ‘research’ pathway, which prepares students for a PhD in Actuarial Studies. Enrolments at Honours level increased from 4 in 2017 to 8 in 2018 as a result.

Teaching was supported by external lecturers including Mr Jason Davis (Financial Mathematics II), Mr David Heath, Mr Andrew Brown, Mr Donald Campbell, Mr Richard Cooney and Mr Andrew Gale (Actuarial Practice and Control I and II, and General Insurance Practice).

ENGAGEMENT In July, Associate Professor Shuanming Li and the faculty’s Associate Dean (International) Jennifer Grafton met with a delegation of 4 academic staff from Renmin University of China including Prof Xiaojun Wang, the Dean of the School of Statistics, and the Head of the actuarial discipline, to discuss a possible joint degree between the School of Statistics and the Centre for Actuarial Studies.

Associate Professor Shuanming Li, Dr Enrique Calderin, Dr Zhuo Jin and Dr Kevin Fergusson attended the 9th Australasian Actuarial Education and Research Symposium (AAERS) in 2018 hosted by Macquarie University. The topic for this conference was Actuarial Science and Data Analysis.

Dr Rui Zhou completed the FBE Women in leadership workshops and attended the 14th International Longevity Risk and Capital Markets Solutions Conference at Amsterdam, Netherlands.

Dr Xueyuan Wu attended the 31st International Summer School of the Swiss Association of Actuaries on “Insurance Analytics, a Primer” hosted by the University of Lausanne, 13-17 August.

Dr Kevin Fergusson attended the CEPAR workshop on “Longevity and Long-Term Care Risks and Products” hosted by the University of New South Wales, Sydney in July. He also attended the Society of Actuaries CAE (Centre of Actuarial Excellence) Faculty Conference in Austin, Texas in June.

PROFESSIONAL ACTIVITIESJohnny Li serves as an Associate Director of the Actuarial Research Centre (ARC) of the Institute and Faculty of Actuaries

in the UK. In his role as Associate Director of the ARC, Johnny oversees progress and delivery of the ARC’s research programmes, provides quality assurance of research, and strengthen the ARC’s research network by attracting the best actuarial consortia.

Professor David Dickson and Dr Kevin Fergusson attended the Accredited Universities/Actuaries Institute meeting on 6th July.

VISITORS AND SEMINARSAssociate Professor Nikolai Dokuchaev from Curtin University School of Electrical Engineering, Computing and Mathematical Sciences gave a talk on 6th April entitled “On market models with stochastic numeraire”.

Professor Qihe Tang from the School of Risk and Actuarial Studies, University of New South Wales, Sydney and Department of Statistics and Actuarial Science, University of Iowa gave a talk on 27th April entitled “Approximations for credit portfolio losses under extreme risks”.

Associate Professor Faustino Prieto from University of Cantabria, Spain visited the Centre from 1st July to 30th September and gave a talk on 21st September entitled “Modelling real phenomena, associated with extreme events, in the whole domain: the new family of GPL distributions”.

Associate Professor Wenyuan Wang from the School of Mathematical Sciences, Xiamen University visited the Centre from 6th July to 10th September.

Associate Professor Hui Zhao from Tianjin University, China, visited the Centre from 8th July to 15th July.

Ms Xin Li from the University of New South Wales visited the Centre from 9th July to 13th July.

Professor Jiaqin Wei from East China Normal University, China visited the Centre from 18th July to 2nd August and gave a talk on 27 July entitled “Time-consistent Mean-variance Asset-liability Management with Margin Requirements”.

Dr Qian Zhao from Shanghai University of International Business and Economics, China visited the Centre from 18th July to 2 August.

Professor Arnold F. Shapiro from Penn State University gave a talk on 23rd July entitled “Blockchains: what they are, how they work, and their implications for the insurance industry”.

Associate Professor Dongyang Ding, Director of Bayesian Decision and Risk Management Institute, Nanchang University, visited the Centre from 30th July 2018 until 30th July 2019.

Dr Guillermo Lòpez-Campo from Queen’s University Belfast visited the Centre from 23rd August to 2nd September on the research project “Analysis of Microbiome Information in Risk Quantification”.

Associate Professor Qian Liu from the Intellectual Property Development and Research Center of SIPO (State Intellectual

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Teaching

Property Office of People’s Republic of China) visited the Centre from 29th September 2018 until 28th September 2019.

Dr Qingshuo Song from the City University of Hong Kong, Hong Kong visited the Centre from 14th October to 20th October.

Dr Kevin Fergusson gave a talk on 9th November entitled “Asset allocation for financial planning using the benchmark approach”.

Dr Han Li from Macquarie University gave a talk on 23rd November entitled “Analyzing mortality bond indexes via Hierarchical forecast reconciliation”.

Subject Name 2016 2017 2018

ACTL10001 Introduction to Actuarial Studies 267 224 213

ACTL20001 Financial Mathematics I 165 189 144

ACTL20002 Financial Mathematics II 122 144 122

ACTL30001 Actuarial Modelling I 90 112 128

ACTL30002 Actuarial Modelling II 88 110 122

ACTL30003 Contingencies 77 80 77

ACTL30004 Actuarial Statistics 78 83 106

ACTL30005 Models for Insurance and Finance 77 66 66

ACTL30006 Financial Mathematics III 81 103 107

ACTL40001 Actuarial Studies Research Essay 3 0 0

ACTL40002 Risk Theory I 19 5 9

ACTL40003 Risk Theory II 11 2 2

ACTL40004 Advanced Financial Mathematics I 15 4 9

ACTL40005 Actuarial Studies Projects 12 4 8

ACTL40006 Actuarial Practice and Control I 13 4 9

ACTL40007 Actuarial Practice and Control II 10 4 8

ACTL40008 Advanced Financial Mathematics II 7 0 0

ACTL40009 Actuarial Practice and Control III 7 7 9

Total Enrolments 1142 1141 1139

UNDERGRADUATE AND HONOURS CLASS SIZES

Subject Name 2016 2017 2018

ACTL90001 Mathematics of Finance I 15 14 20

ACTL90001 Mathematics of Finance II 11 14 17

ACTL90001 Mathematics of Finance III 22 23 29

ACTL90004 Insurance Risk Models 25 30 37

ACTL90005 Life Contingencies 7 14 11

ACTL90006 Life Insurance Models 1 16 10 19

ACTL90007 Life Insurance Models 2 13 9 15

ACTL90008 Statistical Techniques in Insurance 6 16 12

ACTL90009 Actuarial Practice and Control III 2 12 10

ACTL90010 Actuarial Practice and Control I 18 14 20

ACTL90011 Actuarial Practice and Control II 13 15 19

ACTL90012 Actuarial Studies Research Report 1 3 3

ACTL90013 Actuarial Studies Projects 7 1 2

ACTL90014 Insurance Risk models II 8 9 14

ACTL90015 Mathematics of Finance IV 3 9 9

ACTL90018 General Insurance Practice 0 0 6

Total Enrolments 167 193 234

MASTER CLASS SIZES

HONOURS GRADE DISTRIBUTION OVER THE LAST FIVE YEARS

H1 H2A H2B H3 N Total

2014 5 6 4 2 0 17

2015 2 7 12 3 4 28

2016 4 3 4 3 1 15

2017 2 1 1 0 0 4

2018 2 4 2 0 0 8

ESSAY AND PROJECT TOPICS There were 8 students who successfully completed a Bachelor of Commerce (Honours) with a specialisation in Actuarial Studies. In 2018, all 8 students completed three research projects:

• A numerical study on occupation times of a compound Poisson risk model with tax;

• Portfolio selection analysis;• The collective risk model: from data to distributions.

A research essay has about 10,000 words and counts for 25% of the final assessment for a student’s Honours grade or Masters grade. Three Masters students wrote an essay in 2018, and the topics were:

• Actuarial Implication of Breast Cancer Genetic Predictive Test in Australian Life Insurance Industry;

• Calculations of ruin probabilities for the classical risk model under reinsurance;

• Modelling the interaction between concentration risk and catastrophic risk using the t-copula.

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Student Prize Winners

Unisuper Prizefor Introduction to Actuarial StudiesZijie Zhu

Deloitte Actuaries & Consulting Prizefor Actuarial Practice and Control I and IIEmily Zhao

Honours Medal in Actuarial StudiesKayley Loo

KPMG Prizefor Financial Mathematics I and IIJohn Crowley

KPMG Prizefor Second Year Actuarial StudiesJohn Crowley

Martin Jilovsky Prizefor best third year results by an Australian studentJack Chen

Willis Towers Watson Prizefor Risk Theory I and IIEvan Ray Reksadinata

Mark Joshi Memorial Prizefor Financial Mathematics III and Advanced Financial Mathematics I/Mathematics of Finance IIIJiaqi Zheng

PhD Students and Research Topics

Xiang ChengMonte Carlo Methods for Pricing Early-Exercise Financial Derivatives

Pham LeOn non-arbitrage theory in markets with transactions costs and associated processes

Joan NakatoEssays on Retirement Funding

Zhehao ZhangThe Distribution of the Discounted Claims under Renewal Sums

Dhiti OsatakulDiscrete time risk models with claim correlated premiums

Jiannan ZhangTime-consistent Mean-variance Portfolio Selection

Pengcheng ZhangMultivariate insurance claim frequency modelling with dependence

Guo Liu joined the Centre as a new PhD student.

Three PhD students, Xiang Cheng, Joan Nakato and Zhehao Zhang, completed their PhD theses. Xiang Cheng joined Quantifi Sydney as a quantitative analyst. Zhehao Zhang joined Department of Mathematical Sciences, Xi’an Jiaotong-Liverpool University as a lecturer in Actuarial Science.

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Publications and Other Research Activities

REFEREED JOURNAL ARTICLESCalderin, E. A note on parameter estimation in the composite Weibull–Pareto distribution, Risks, 6 (1), 11.Dickson, D., Qazvini, M. Ruin problems in Markov-modulated risk models. Annals of Actuarial Science, 12, 23-48Li, S., Lu, Y. On the moments and the distribution of aggregate discounted claims in a Markovian environment. Risks, 59 (6), 1-16.Liu, Y., Li, J. A Strategy for Hedging Risks Associated with Period and Cohort Effects Using q-Forwards. Insurance: Mathematics and Economics, 78, 267-285.Gomez, E., Calderin, E. Multivariate credibility in Bonus-Malus systems distinguishing between different types of claims. Risks, 6 (2), 34.Gomez, E., Calderin, E. Properties and applications of the Poisson-reciprocal Inverse Gaussian distribution. Journal of Statistical Computation and Simulation, 88 (2), 269-289. Hillman, T., Zhang, N., Jin, Z. Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation, Risks, 6 (2), 51.Jin, Z., Yang, H., Yin, G. Approximation of optimal ergodic dividend strategies using controlled Markov chains, IET Control Theory & Applications., 12 (16), 2194–2204.Kang, M., Liu, Y., Li, J., Chan, W. Mortality Forecasting for Multiple Populations: An Augmented Common Factor Model with a Penalized Log-Likelihood. Communications in Statistics – Case Studies and Data Analysis, 4, 118-141.Qian, L., Chen, L., Jin, Z., Wang, R. Optimal liability ratio and dividend payment strategies under catastrophic risk, Journal of Industrial and Management Optimization, 14 (4), 1443–1461.Qian, L., Jin, Z., Wang, W., Chen, L. Pricing dynamic fund protections for a hyper-exponential jump diffusion process, Communications in Statistics - Theory and Methods, 47 (1), 210–221.Sarabia, J., Calderin, E. Analytical expressions of risk quantities for composite models. Journal of Risk Model Validation, 12 (4), 75–101.Tan, S., Jin, Z., Yin, G. Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump diffusion model, Nonlinear Analysis: Hybrid Systems, 27, 141–156.Wang, W., Wu, X., Peng, X., Yuen, K. A note on joint occupation times of spectrally negative Levy processes with tax, Statistics and Probability Letters, 140, 13-22.Wat, K., Yuen, K., Li, W., Wu, X. On the compound binomial risk model with delayed claims and randomized dividends, Risks, 6 (6), 13.

Wu, X., Yuen, K., Zhang, P. Aggregate claim models with one-way and two-way dependence among individual claims. Statistics, Optimization and Information Computing, 6, 468-482.Zhang, N., Jin, Z., Qian, L., Wang, R. Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer, Journal of Computational and Applied Mathematics, 342, 337–351.Zhang, Z. Renewal sums under mixtures of exponentials. Applied Mathematics and Computation, 337, 281-301.Zhao, Q., Jin, Z., Wei, J. Optimal investment and dividend payment strategies with debt management and reinsurance, Journal of Industrial and Management Optimization, 14 (4), 1323–1348.Zhao, Q., Jin, Z., Wei, J. Optimal debt ratio and dividend strategies with regime- switching, Stochastic Models, 34 (4), 435–463.Zhou, R., Li, J., Pai, J. Evaluating Effectiveness of Rainfall Index Insurance. Agricultural Finance Review, 78, 611-625.

OTHER PUBLICATIONSGomez, E., Davila, N., Calderin, E. A bivariate probability distribution for modelling and predicting population and tourist visitors in Spain. Gran Canaria SSTD2018. III Spring Symposium on Challenges in Tourism Development. Abstract 30. ISBN: 978-84-09-03853-4.Gomez, E., Vazquez, F., Perez, J., Calderin, E. On the use of the Generalized Poisson distribution in actuarial Studies. 7th Workshop on Risk Management and Insurance. Risk 2018. Universidad de Cantabria, Santander, Spain. “Cuadernos de la Fundacion C/223”-Contributions to Risk Analysis: Risk 2018. JM Sarabia, F Prieto, M Guillen (Eds), 2018, 101-107. ISBN: 978-84-9844-683-8.Lopez, C., Calderin, E. A Survey of Microbiome Information in Risk Quantification. 7th Workshop on Risk Management and Insurance. Risk 2018. Universidad de Cantabria, Santander, Spain. “Cuadernos de la Fundacion C/223”-Contributions to Risk Analysis: Risk 2018. JM Sarabia, F Prieto, M Guillen (Eds), 2018, 187-196. ISBN: 978-84-9844-683-8.Lopez, C., Calderin, E. The role of biomedical informatics in exposome research. MOL2NET 2018, International Conference on Multidisciplinar y Sciences, 4th edition. IWMEDIC-06: International Worksop in Medical Informatics, UDC, Coruna, Spain, 2018.

CONFERENCE AND SEMINAR PRESENTATIONSCalderín, Enrique “A Survey of Microbiome Information in Risk Quantification”. The 7th Workshop on Risk Management and Insurance. RISK 2018. Universidad de Cantabria, Santander, Spain, April.“On the use of the Generalized Poisson distribution in Actuarial Statistics”. The 7th Workshop on Risk Management and Insurance. RISK 2018. Universidad de Cantabria, Santander, Spain, April.

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Publications and Other Research Activities

“Properties and Applications of a New Generalised Poisson Distribution”. The 22nd International Congress on Insurance: Mathematics and Economics, Sydney, July.Chen, Ping“Time-consistent Mean-variance Portfolio Selection: A log-return model”, Guangdong University of Foreign Studies, China, October.“Questions and Answers in Actuarial Studies”, Guangdong University of Foreign Studies, China, October.Cheng, Xiang“Non-Nested Upper Bounds for American Options”, The 7th International Gerber-Shiu Workshop, Melbourne, July.“Non-Nested Upper Bounds for American Options”, The 22nd International Congress on Insurance: Mathematics and Economics, Sydney, July.Fergusson, Kevin“Asset Allocation for Financial Planning Using the Benchmark Approach”, Centre for Actuarial Studies, University of Melbourne, November.“Characterisation of Copula-Based Dependency of Rainfall-Related Insurance Claims in Australia”, The 7th International Gerber-Shiu Workshop, Melbourne, July.“Forecasting Inflation Using Univariate Continuous-Time Stochastic Models”, The 9th Australasian Actuarial Education and Research Symposium, Macquarie University, Sydney, New South Wales, December.“Less-Expensive Valuation and Hedging of Long-Term Variable Annuities”, The 22nd International Congress on Insurance: Mathematics and Economics, Sydney, July.“Asset Allocation for Financial Planning Using the Benchmark Approach”, The Quantitative Methods in Finance (QMF) 2018 Conference, University of Technology Sydney, December.Li, Johnny“Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes”, The Insurance Risk and Finance Research and Asia-Pacific Risk and Insurance Association Joint Conference, Singapore, July-August.“Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes”, Asian Actuarial Conference, Hong Kong, September.“Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes”, The 22nd International Congress on Insurance: Mathematics and Economics, Sydney, July.“Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes”, The 14th International Longevity Risk and Capital Markets Solutions Conference, Amsterdam, September.“A Further Investigation of Longevity Greeks: Dynamic Delta, Leverage Effect and Security Structures”, The 14th International Longevity Risk and Capital Markets Solutions Conference, Amsterdam, September.

Jin, Zhuo“Optimal Consumption and Investment Strategies with Liquidity Risk and Uncertain Lifetime”, The Sixth Asian Quantitative Finance Conference (AQFC 2018), Guangzhou, China, November.“Dividend Management with Liability Constraints for Insurance Companies”, Zhejiang University, Hangzhou, China, November. “Optimal Consumption and Investment Strategies with Liquidity Risk and Uncertain Lifetime”, East China Normal University, Shanghai, China, November.“Investment and Reinsurance Non-Zero-Sum Games with Value-at-Risk Constraints”, The 12th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Taipei, July.Zhang, Zhehao“The distribution of the discounted claims under renewal sums”, The 7th International Gerber-Shiu Workshop, Melbourne, July.Zhou, Rui“Evaluating effectiveness of rainfall index insurance”, invited talk at The Australian National University RSFAS Summer Research Camp, Bowral, NSW, November.“The impact of longevity annuity provision on Canadian retirement income planning”, The 22nd International Congress on Insurance: Mathematics and Economics, Sydney, July.

INVOLVEMENT AS REFEREESStaff of the Centre acted as referees for the following journals:Acta Mathematica ScientiaActa Mathematicae Applicatae SinicaAmerican Journal of Mathematical and Management SciencesAnnals of Actuarial ScienceASTIN BulletinColombia Journal of StatisticsCommunication in Statistics: Theory and MethodsDiscrete Dynamics in Nature and SocietyEntropyEuropean Journal of Operational ResearchInsurance: Mathematics and EconomicsJournal of Operational RiskJournal of Risk Model ValidationJournal of Statistical Computation and SimulationMathematics and Computers in SimulationMethodology and Computing in Applied ProbabilityNorth American Actuarial JournalRisksScandinavian Actuarial Journal

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Staff

Director of the Centre for Actuarial StudiesAssociate Professor SHUANMING LI: BSc (Tianjin), MEc (Renmin), PhD (Concordia)Research interests: Risk and ruin theory, stochastic modelling in insurance and finance, actuarial science

Professors of Actuarial StudiesDAVID DICKSON: BSc (Hons), PhD (Heriot-Watt), FFA, FIAAResearch interests: Aggregate claims distributions, renewal risk processes, recursive methods in risk theory.

JOHNNY LI: BSc (Hong Kong), MPhil (Hong Kong), PhD (Waterloo), FSAResearch interests: Longevity risk securitization; stochastic mortality modeling; financial risk management; law and actuarial science; reverse mortgages.

Senior Lecturers in Actuarial StudiesENRIQUE CALDERIN: BS, MS (UNED, Spain), PhD (ULPGC, Spain) Research interests: Bayesian inference, statistical robustness, distribution theory, actuarial statistics

PING CHEN: BAM (Qufu), MSc (CAS), PhD (Hong Kong)Research interests: Actuarial science, financial mathematics, statistics and information

KEVIN FERGUSSON: BSc (Hons), MSc, PhD, PhD, FIAA, CERAResearch interests: Stochastic analysis and modelling, superannuation and insurance services

ZHUO JIN: BS, MS (HUST), MA, PhD (WSU), ASAResearch interests: Numerical methods for stochastic systems, mathematical finance, actuarial science

XUEYUAN WU: BS, MS (Nankai), PhD (Hong Kong), AIAAResearch interests: Risk and ruin theory, discrete-time risk models, phase-type distributions in risk theory

Honorary Senior FellowsDAVID HEATH: BEc (Hons) (Monash), FIAA, CPA, FFin

External Lecturers

ANDREW BROWN: BSc, DipEd (Melbourne), FIAA, FFin

DONALD CAMPBELL: BCom (Melbourne), FIAA

ANDREW GALE: BSc (Melbourne), FIAA

JASON DAVIS: BSc (Macquarie), FIAA

External Examiners for Part II

NIKI APPLETON (Actuarial Practice and Control I and II)

PETER WORCESTER in Semester 1 and MIKE CALLAN in Semester 2 (Actuarial Practice and Control III)

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Staff

Associate Professor Shuanming Li Professor David Dickson

Professor Johnny Li Dr. Enrique Calderin

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Staff

Dr. Ping Chen Dr. Zhuo Jin

Dr. Xueyuan Wu Dr Rui Zhou

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http://fbe.unimelb.edu.au/economics/ACT/

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Authorised by the Director, Centre for Actuarial StudiesDepartment of EconomicsPublished by the Faculty of Business and Economics, July 2019© The University of Melbourne