# Piet de Jong

**Title**: Professor**Position**: Professor - Department of Applied Finance and Actuarial Studies**Qualifications**: BEc Syd., PhD Melb.

## Contact Details

**Ph:**(+61-2) 9850 8552**Email**Piet de Jong**Fax:**(+61-2) 9850 9481**Room:**751, building: E4A

## Areas of Expertise

- financial risk
- statistics
- insurance mathematics
- time series and forecasting
- econometrics
- mathematical psychology
- quantitative ecology.

## Profile

Piet de Jong has been Professor of Actuarial Studies since 2003. Prior to coming to Macquarie, Professor de Jong spent many years as Professor of Statistics at the University of British Columbia and Reader in Actuarial Science at the London School of Economics. He has more than 30 publications in refereed journals in diverse quantitative areas such as actuarial statistics, insurance mathematics, time series and forecasting, econometrics, mathematical psychology, and quantitative ecology. Professor de Jong has consulted widely on actuarial and statistical problems both in Australia and overseas and both in the private and public sector. He is a past associate editor of the American Journal of Business and Economic Statistics. His current research interests are forecasting in both general and life insurance, genetic testing and data mining of insurance and other data bases.

## Research areas

Prof Jong's research focuses on financial risk where liabilities arise from more than one source. These risk calculations are critical to financial regulators and diversified financial companies. Dependencies between risks (in particular extreme risks) require quantitative techniques which answer such questions as adequacy.

### Books

- De Jong P. and Heller, G.Z. (2008) "Generalized linear modelling for insurance data." Cambridge University Press
- De Jong, P. (2005) "Smoothing and interpolation with the state space model." in Readings in unobserved component models (A. Harvey and T Proietti) Oxford University Press, Oxford 2005, pp 68-75. (This work was previously published in 1989) (ISBN 0-19-927865-2)
- De Jong P. and Shephard N. (2005) "The simulation smoother for time series models" in Readings in unobserved component models (A. Harvey and T Proietti) Oxford University Press, Oxford, pp 354-366. (This work was previously published in 1995). (ISBN 0-19-927865-2)

### Conferences and Presentations

- De Jong, P. (2007) "Mortality forecasting using the Wang Transform" NBER-NSF Time Series Conference September 14-15, 2007 Iowa City, Iowa. Invited presentation
- De Jong, P. (2007) "Joint modeling of mortality using the Wang Transform" Department of Risk Management and Insurance, Georgia State University, Atlanta GA. Invited presentation.
- De Jong, P. (2007) "Evaluating the benefit of bicycle helmet legislation" Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont. Invited presentation
- De Jong, P. (2005) "State space models in actuarial science." Proceedings of Second Brazilian Conference on Statistical Modelling in Insurance and Finance.Sao Paulo.
- De Jong, P (2000) "Likelihood maximization for non linear time series using simulated annealing." Proceedings of the International Symposium on Frontiers of Time Series Modelling The Institute of Statistical Mathematics. Tokyo.
- P.P. Boyle, J. Butterworth and De Jong, P. (1984) . "Models of moral hazard in insurance and finance." Proceedings of the 22nd International Congress of Actuaries Vol 1. pp 195-207.
- De Jong, P. (1984). "The mean square error of a randomly discounted sequence of uncertain payments." Premium Calculation in Insurance, F.E.C. De Vylder et al. (eds) , pp.449-459. Reidell, Dordrecht.
- De Jong, P. and P.P. Boyle (1984). "Monitoring mortality: a state-space approach." ARCH 2:81-96.

## PhD Student Supervision

- Associate Supervisor of Genyuan Fu - PhD-Actuarial Studies Research - Full Time
- Associate Supervisor of Liang Wang - PhD-Actuarial Studies Research - Part Time
- Principal Supervisor of Tandy (Jianhui ) Xu - PhD-Actuarial Studies Research - Full Time

## Teaching

- ACST357/ACST862: General Insurance Pricing and Reserving

## Publications and Research

### Research Publications

- Choo, Weihao and De Jong, P. (2009), " Determining and Allocating Diversification Benefits for a Portfolio of Risks" Astin Bulletin. To Appear.
- Choo, Weihao and De Jong, P. (2009), “Loss Reserving Using Loss Aversion Functions" Insurance, Mathematics & Economics, Vol 45, Iss 2 pp 271-277.
- De Jong. P. and Marshall, C. (2007) “Forecasting mortality using the Wang transform” Astin Bulletin 37(1): 149-162
- Heller G. Z., Stasinopoulos D. M., Rigby, R. A., De Jong, P. (2007) “Mean and dispersion modelling for policy claims costs” Scandinavian Actuarial Journal 4: pp 281-292
- De Jong, P. (2006) “Forecasting runoff triangles.” North American Actuarial Journal 10:28-38. ISSN: 1092-02773..
- De Jong, P. and Tickle, L (2006) “Extending the Lee-Carter model of mortality projection.” Mathematical Population Studies 13:1-18. ISSN 0889-84802.
- De Jong, P. and Ferris, S (2006) “Adverse selection spirals” Astin Bulletin 36: 589-628. ISSN 0515-0361
- De Jong, P. (2005) “State space models in Actuarial Science.” Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and P. Morettin, editors), Institute of Mathematics and Statistics, University of São Paulo (2005).
- De Jong, P. and Ferris, S. (2005) “Assessing the costs of adverse selection.” The ICFAI Journal of Risk and Insurance, II, p64-82.
- De Jong, P. and Penzer, J (2004).
- De Jong, P. and S. Chu-Chun-Lin (1994). “Stationary and nonstationary state space models.” Journal of Time Series Analysis 15:151-166.
- De Jong, P. (1991). “The diffuse Kalman filter.” Annals of Statistics 2:1073-1083.
- De Jong, P. (1991). “Stable algorithms for the state space model” Journal of Time Series Analysis 12:143-157.
- De Jong, P. and R. Thompson (1990). “Testing linear hypotheses in the SUR framework with identical explanatory variables.” Research in Finance 8:59-76
- De Jong, P. (1989). “Smoothing and interpolation with the state space model.” Journal of the American Statistical Association 84:1085-1088.
- De Jong, P. (1988). “A cross validation filter for time series models.” Biometrika 75:594-600.
- De Jong, P. and Murray J. Mackinnon (1988). “Covariances for smoothed estimates in state space models.” Biometrika 75:601-2.
- De Jong, P. (1988). “The likelihood for a state space model.” Biometrika 75:165-9.
- De Jong, P. (1987). “Rational economic data revisions.” Journal of Business and Economic Statistics 5:539-548.
- De Jong, P. (1986). “State transition specification in state-space models” Journal of Time Series Analysis 7:213-216.
- L.R. Webb and De Jong, P. (1986). “Competitive bidding and the price mechanism.” In Firms and Markets. K.A. Tucker & C. Baden Fuller (eds) 109-129.
- De Jong, P. (1985). “An asymptotically efficient regression estimator for variance component time series models.” Methods of Operations Research 50:2
- De Jong, P. and M. Greig (1985). “Models and methods for pairing data.” Canadian Journal of Statistics 13:233-241.
- R. Turkington, J.L. Harper, P. De Jong, and L. Aarssen (1985). “A reanalysis of interspecific association in an old pasture.” Journal of Ecology 73
- De Jong, P. (1984). “A statistical approach to Saaty's scaling method for priorities.” Journal of Mathematical Psychology 28:467-478.
- De Jong, P. (1984). “Gauss - a matrix calculator program.” The American Statistician 38:154.
- De Jong, P. and M. Greig. “First order Markov chains with a zero diagonal transition matrix.” Biometrics (1984) 40:101-108.
- De Jong, P. (1984). “The mean square error of a randomly discounted sequence of uncertain payments.” Insurance: Mathematics and Economics 3:173-178.
- De Jong, P. and P.P. Boyle (1983). “Monitoring mortality: a state-space approach.” Journal of Econometrics 23:131-146.
- De Jong, P. and B. Zehnwirth (1983). “Credibility theory and the Kalman filter.” Insurance: Mathematics and Economics 2:281-286.
- De Jong, P., L.W. Aarssen and R. Turkington (1983). “The use of contact sampling in studies of association in vegetation.” Journal of Ecology 71:54
- De Jong, P. and B. Zehnwirth (1983). “Claims reserving, state-space models and the Kalman filter.” Journal of the Institute of Actuaries 110:157-18
- De Jong, P., M. Greig and D.B. Madan (1983). “Testing for random pairing.” Journal of the American Statistical Association 78:332-336.
- De Jong, P. (1981). “Insurance premiums under demand constraints.” Scandinavian Actuarial Journal 123-126.
- De Jong, P., L.W. Aarssen and R. Turkington (1980). “The analysis of contact sampling data.”Oecologia 45:322-324.
- De Jong, P. (1978). “Determining the final form of a linear dynamic econometric model.” Journal of Econometrics 8:181-192.
- De Jong, P. (1977). “The fast Fourier transform spectral estimator.” Journal of the Royal Statistical Society, Series B 39:327-330.
- De Jong, P. (1976). “The recursive fitting of autoregressions.” Biometrika 525-530.