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Financial Risk Publications

Working Papers

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Publications

2016

  • Pitt, D, Guillen, M & Bolance, C (2016) Estimation of Parametric and Non-Parametric Models for Univariate Loss Distributions - an approach using R. Journal of Financial Education (forthcoming)

2015

  • Pitt, D (2015) On the scaling of NSW HSC marks in mathematics and encouraging higher participation in calculus-based courses. Australian Journal of Education, 59 (1), 65-81.
  • Choo, W, de Jong, P (2015) 'The trade-off insurance premium as a two-sided generalisation of the distortion premium' Insurance Mathematics and Economics (forthcoming)
  • Sarmiento-Sabogal, J, Sadeghi, M (2015) 'Estimating the Cost of Equity for Private Firms Using Accounting Fundamentals' Applied Economics 47(3): 288-301
  • Sheedy, E, Griffin, B, Barbour, J. 2015 'A Framework and Measure for Examining Risk Climate in Financial Institutions' Journal of Business Psychology (forthcoming)
  • Cummings, J.R. (2015), 'Effect of fund size on the performance of Australian superannuation funds', Accounting and Finance, forthcoming.
  • Cummings, J.R. and Ellis, K. (2015), 'Risk and return of illiquid investments: A trade-off for superannuation funds offering transferable accounts', Economic Record, forthcoming.
  • Cummings, J.R and Wright, S. (2015), 'Effect of higher capital requirements on the funding costs of Australian banks', Australian Economic Review, forthcoming.
  • Perera, RS (2015) Dynamic Asset Allocation for a Bank under CRRA and HARA Framework: International Journal of Financial Engineering, DOI 10. 1142/S24247866315500310.
  • De Jong, P, Loudon, G & Choo, W 2015 Measuring background and systemic risk using financial time series. Produced for the Centre for International Finance and Regulation (CIFR).
  • Hoadley, S, Tickle, L, Wood, LN & Kyng, T 2015 Threshold concepts in finance: Conceptualizing the curriculum. International Journal of Mathematical Education in Science and Technology (forthcoming)
  • Abelson, P & Joyeux, R 2015 Smoke and Mirrors: Fallacies on the NSW Government Views on Local Government Capacity, Public Money and Management, 35, 315-320.
  • Joyeux, R & Milunovich, G 2015 Speculative Bubbles, Financial Crises and Convergence in Global Real Estate Investment Trusts, Applied Economics (forthcoming).
  • Heaton, C 2015 Testing for multiple-period predictability between serially dependent time series International Journal of Forecasting, 31(3), p.587-597
  • Shi, S & Vipin, A 2015 Nonlinearities and Tests of Asset Price Bubbles, Empirical Economics, forthcoming
  • Shi, S 2015 Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, International Economic Review, forthcoming
  • De Mello, L, Sheedy, E & Storck, S 2015 A Practical Guide for Non-Financial Companies When Modelling Longer-Term Currency and Commodity Exposures Journal of Applied Corporate Finance, 27: 89–100. doi: 10.1111/jacf.12108
  • Sheedy, E, Griffin, B & Barbour, J 2015 A Framework and Measure for Examining Risk Culture in Financial Institutions (under review)

2014

  • Herrerias, M & Joyeux, R 2014 Regional Electricity Consumption and Economic Growth in China, in Yao, S & Herrerias, MJ (eds) Energy Security and Sustainable Economic Growth in China, Palgrave Macmillan.
  • Li, R, Joyeux, R & Ripple, R 2014 International Gas Market Integration, The Energy Journal, 35, 159-179 .
  • Dufrenot G G, Joyeux, R &  Peguin-Feissolle, A 2014 Which of the real money gap or nominal money gap helped predict inflation in Europe? A retrospective analysis. Banks and Bank Systems, 3, 91-102.
  • Park, JS & Heaton, C 2014 Technical trading rules in Australian financial markets, International Journal of Economics and Finance, 6(10), p.67-75
  • Trueck, S, Inchauspe, J & Ripple, R 2014 The Dynamics of Returns on Renewable Energy Companies:  A State-Space Approach, Energy Economics, forthcoming.
  • Trueck, S, Nowotarski, J, Raviv, E & Weron, R. 2014 An empirical comparison of alternative schemes for combining electricity spot price forecasts, Energy Economics 46, 2014.
  • Sarmiento-Sabogal, J & Sadeghi, M 2014 Unlevered betas and the cost of equity capital:
    An empirical approach, North American Journal of Economics and Finance, 30. 90-105
  • Salazar, Y & Ng, W 2014 Nonparametric Estimation of General Multivariate Tail Dependence and Applications to Financial Time Series, Statistical Methods & Applications, In press, (DOI) 10.1007/s10260-014-0274-7
  • Salazar, Y 2014 General Multivariate Dependence using Associated Copulas, REVSTAT-Revista Portuguesa de Estati­stica (forthcoming)
  • Dyball M, Wang F & Wright S 2014 (Dis)Engaging with Sustainability: Evidence from an Australian Business Faculty, accepted  in Accounting, Auditing and Accountability Journal.
  • Choi S.K, Chen X, Wright S & Wu H 2014 Analysts Forecasts Following Forced CEO Changes, Abacus, 50, 2: 146-173
  • Booth, H, Hyndman, R & Tickle, L 2014 Prospective Life Tables, In A. Charpentier (forthcoming), Computational Actuarial Science with R, Chapman and Hall.
  • Tickle, L & Booth, H 2014. The Longevity Prospects of Australian Seniors: An evaluation of forecast method and outcome. Asia Pacific Journal of Risk and Insurance, 8(2), 259-292.
  • Tickle, L, Kyng, T & Wood, L 2014 The role of universities in preparing graduates to use software in the financial services workplace. International Journal of Mathematical Education in Science and Technology, 45(2), 200-213
  • Sadeghi, M 2014 Are Faithfuls rewarded by the Market: Evidence from Australian Data, International Review of Business Research Papers, September (forthcoming)
  • Sadeghi, M & Sabogal, J 2014 M Estimating the Cost of Equity for Private Firms Using Accounting Fundamentals, Journal of Applied Economics (forthcoming)
  • Sadeghi, M & Sabogal, J 2014 Unlevered Betas and the Cost of Equity Capital: An Empirical Approach, North American Journal of Economics and Finance (forthcoming)
  • Zhao,Q, Wei, J and Wang, R 2014 On Dividend Strategies with Non-Exponential Discounting. Insurance: Mathematics and Economics, 58:1-13.
  • Zhao,Q, Shen, Y and Wei, J. 2014 Consumption-Investment Strategies with Non-Exponential Discounting and Logarithmic Utility. European Journal of Operational Research, 238:824-835.
  • Dyball M, Wang, F and Wright S 2014 "(Dis)Engaging with Sustainability: Evidence from an Australian Business Faculty", accepted  in Accounting, Auditing and Accountability Journal.
  • Choi S.K, Chen X, Wright S and Wu H 2014, "Analysts Forecasts Following Forced CEO Changes", Abacus, 50, 2: 146-173
  • Joyeux, R, Li, R & Ripple, R 2014 International Gas Market Integration, The Energy Journal, 35, 159-179
  • Poudel, G, Hellmann, A & Perera, H 2014 The adoption of International Financial Reporting Standards in a non-colonized developing country: The case of Nepal, Advances in Accounting, incorporating Advances in International Accounting, 30(1).
  • Shi, S & Song, Y 2014 'Identifying Speculative Bubbles with an Infinite Hidden Markov Model', Journal of Financial Econometrics, (forthcoming)
  • Shi, S, Phillips, PCB & Yu, J 2014 'Testing for Multiple Bubbles: Limit Theory of Real Time Detectors', International Economic Review, (forthcoming)
    Trueck, S, Nowotarski, J, Raviv, E & Weron, R 2014 'An Empirical Comparison of Alternative Schemes for Combining Electricity Spot Price Forecasts', Energy Economics (forthcoming)
  • Centre for Financial Risk Newsletter Vol. 1 Issue 1 - 2014 (PDF)
  • Shen,Y & Wei, J 2014 'Optimal Investment-Consumption-Insurance with Random Parameters', Scandinavian Actuarial Journal, DOI: 10.1080/03461238.2014.900518.
  • Trueck, S & Kumar, S 2014 'Unbiasedness and Risk Premiums in the Indian Currency Futures Market' Journal of International Financial Markets, Institutions and Money 29, 2014
  • Trueck, S & Rong, N 2014 'Modelling the Dependence Structure between Australian Equity and Real Estate Markets - a Conditional Copula Approach' Australasian Accounting, Business and Finance Journal (forthcoming)
  • Kingston, G & Weng, H 2014 'Agency Theory and Financial Planning Practice' Australian Economic Review, September issue, pp29-303
  • Kingston, G, Ding, J & Purcal, S 2014 'Dynamic Asset Allocation when Bequests are Luxury Goods' Journal of Economics and Control 65-71
  • Fu, J, Wei, J & Yang, H 2014 'Elasticity Approach to Portfolio Optimization in a Regime-Switching Market'. European Journal of Operational Research, 233:184-192.
  • Butt A, Evans J, Farmer J & Pitt D 2014 A Pilot Survey of Actuarial Graduates' Views on their Education Australian Journal of Actuarial Practice; 1: 63-75
  • Hariyanto, EA, Dickson, DCM & Pitt, D 2014. Estimation of Disability Transition Probabilities in Australia I: Preliminary. Annals of Actuarial Science, 8, pp 131-155
  • Hariyanto, EA, Dickson, DCM & Pitt, D 2014. Estimation of Disability Transition Probabilities in Australia II: Implementation. Annals of Actuarial Science, 8, pp 156-175
  • Liu, Q, Pitt, D & Wu, X 2014 On the prediction of claim duration for income protection insurance policyholders, Annals of Actuarial Science (forthcoming)

publications more icon Past publications

2013

  • Adrian C, Wright S and Kilgore A 2013 Corporate Governance: What Matters Most to Directors, JASSA, 3: 17-22
  • Kyng, T, Tickle, L & Wood, L. 2013 Perceptions of the software skills of graduates by employers in the financial services industry. International Journal of Mathematical Education in Science and Technology, 44(8), 1,224-1,238.
  • Sadeghi,M 2013 Misvaluation and Merger Wave: Evidence from Australia, Journal of Business, Economic and Management , 2013, Volume 1, pp. 49-58
  • Kingston, G & Fisher, L 2013 'Down the Retirement Risk Zone with Gun and Camera', Economic Papers, 2014 pp153-162
  • Tweedie D, Dyball M., Hazelton J. and Wright S. 2013 "Teaching Global Ethical Standards: A Case and Strategy For Broadening the Accounting Ethics Curriculum", Journal of Business Ethics, 115:1, 1-15.
  • Potter B., Ravlic T. and Wright S. 2013 "Developing Accounting Regulations that Reflect Public Viewpoints: The Australian Solution to Differential Reporting", Australian Accounting Review, 64, 23:1, 18-28.
  • Milunovich, G. & Yang, M. 2013 "On Identifying Structural VAR models via ARCH Effects" Journal of Time Series Econometrics, 5(2), 117-–131.
  • Tani, M, Heaton, C. and Chan, G. 2013 "The wage premium of foreign education: New evidence from Australia" The Australian Economic Review, 46(4), p.395-404.
  • Kingston, G & Bateman, H 2013 'Restoring a Level Playing Field for Defined Benefits Superannuation', JASSA: The Finsia Journal of Applied Finance, December issue, pp36-41
  • Adrian C, Wright S & Kilgore A 2013 'Good Corporate Governance: What Matters Most to Directors', JASSA: The Finsia Journal of Applied Finance, 3:17-22
  • Liu, Q, Pitt, D, Wang, Y & Wu, X 2013 'Survival Analysis of Left Truncated Income Protection Insurance Data', Asia-Pacific Journal of Risk and Insurance, 7(1).
  • Wei, J, Wong, KC, Yam, SCP & Yung, SP 2013 'Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Time-Consistent Approach'. Insurance: Mathematics and Economics, 53:281- 291.  
  • Trueck, S, Janczura, J, Weron, R & Wolff, R 2013 'Identifying spikes and seasonal components in electricity spot price data: A guide to robust modelling', Energy Economics 38.
  • Trueck, S & Cotton, D 2013 'Emissions Mitigation Schemes in Australia - the past, present and future', Low Carbon Economy, 4(2)
  • Trueck, S & Milunovich, G 2013 'Regional and Global Contagion in Real Estate Investment Trusts: The case of the Financial Crisis of 2007-2009', Journal of Property Investment and Finance 31(1).
  • Truong, CH 2013 'Capital Budgeting Methods for Irrigation Technology Adoption Decisions: A Review in Ali, M.H. (ed), Irrigation Management, Technologies and Environmental Impact. Nova Science Publishers Inc, United States.
  • Truong, CH 2013 'A Two Factor Model for Water Prices and Its Implications for Evaluating Real Options and Other Water Price Derivatives', Canadian Journal of Agricultural Economics (Revue canadienne d'agroeconomie).
  • Truong, CH & Drynan, RG 2013 'Capacity Sharing Enhances Efficiency in Water Markets Involving Storage', Agricultural Water Management 122, 46-52.
  • Bowers, C & Heaton, C 2013 'What does high-dimensional factor analysis tell us about risk factors in the Australian Stock Market?' Applied Economics, p.1395-1404
  • Joyeux, R, Herrerias, MJ & Girardin, E 2013. 'Short-and long-run causality between energy consumption and economic growth: Evidence across regions in China', forthcoming in Applied Energy.
  • Joyeux, R, Girardin, E 2013 'Macro Fundamentals as a Source of Stock Market Volatility in China: A GARCH-MIDAS Approach', Economic Modelling, 34, 59-68.
  • Joyeux, R, Abelson, P & Mahuteau, S 2013 'Modelling House Prices across Sydney', Australian Economic Review, 46, 269-285.

2012

  • Heaton, C & Solo, V 2012 Estimation of high-dimensional linear factor models with grouped variables, Journal of Multivariate Analysis, 105, p.348-367
  • Elliott, RJ & Siu, TK 2012 'An HMM approach for optimal investment of an insurer'. International Journal of Robust and Nonlinear Control 22(7), 778-807.
  • Song, N, Siu, TK, Ching, WK, Tong H & Yang H 2012 'Asset allocation under threshold autoregressive models'. Applied Stochastic Models in Business and Industry 28(1), 60-72.
  • Elliott, RJ, Siu,TK & Fung, E 2012 'Filtering nonlinear stochastic volatility models', Nonlinear Dynamics 67(2), 1295-1313.
  • Trueck, S, Matthew, S & Henderson, A. 2012 'Kochi, India case study of climate adaptation to floods: Ranking local government investment options', Global Environmental Change 22.
  • Tweedie D, Dyball M, Hazelton J and Wright S 2012 'Teaching Global Ethical Standards: A Case and Strategy for Broadening the Accounting Ethics Curriculum', Journal of Business Ethics, June 2012.
  • Wright, S, Dyball, MC, Byers, P & Radich, R. 2012 'Preparing Students for an International Career: The Case for Contextualizing and Integrating Ethics Education', Asian Social Science, Vol. 8, No. 4, pp.97-108.
  • Potter, B, Ravlic, T and Wright, S 2012 'Developing Accounting Regulations that Reflect Public Viewpoints: The Australian Solution to Differential Reporting', Australian Accounting Review.
  • Madden, R, Tickle, L, Jackson, Pulver, L & Ring, I. (2012). 'Estimating Indigenous Life Expectancy: Pitfalls with consequences', Journal of Population Research, 29(3): 269-281.

2011

  • Kyng, T, Tickle, L & Wood, L 2011 Graduates' use of technical software in financial services. In Lau, M & Sugden, S (eds), Applications of Spreadsheets in Education - the Amazing Power of a Simple Tool, pages 241-260. Bentham Science Publishers
  • Heaton, C, Milunovich, G & Passe De Silva, A 2011 International commodity prices and the Australian stock market, Economic Record, March, 87(276), p.37-44
  • Siu, TK 2011 'Regime Switching Risk: To Price or Not to Price?'. International Journal of
    Stochastic Analysis
    .
  • Siu, TK,Fung, E & Ng M.K 2011 'Option valuation with a discrete-time double
    Markovian regime-switching model'. Applied Mathematical Finance 18(6), 473-490.
  • Elliott, RJ & Siu, TK 2011 A risk-based approach for pricing American options under a generalized Markov regime-switching model. Quantitative Finance 11(11), 1633-1646.
  • Trueck, S & Cotton, D 2011 'Interaction between Australian Carbon Prices and Energy Prices' Australasian Journal of Environmental Management 18(4).
  • Neville, SE, Taylor, LK, Moore, H, Madden, R, Ring, I, Pulver, LJ & Tickle, L 2011 'Using linkage between hospital and ABS mortality data to enhance reporting of deaths among Aboriginal and Torres Strait Islander peoples'. Australian and New Zealand Journal of Public Health, 35: 543-548. doi: 10.1111/j.1753-6405.2011.00738.x
  • Joyeux, R, Milunovich, G & Rigg, J 2011 'Forecasting demand for Australian passports', Asia Pacific Journal of Tourism Research, published online 30 September
  • Joyeux, R 2011 'Energy consumption and real income: A panel cointegration multi-country study' , The Energy Journal, 32, 107-142
  • Siu, TK 2011 'Long-term strategic asset allocation with inflation risk and regime switching', Quantitative Finance, vol 11, no 10: 1565-1580.
  • Gronwald, M, Ketterer, J & Trueck, S 2011 'The relationship between carbon, commodity and financial markets - a copula analysis'. Economic Record, 87, September.
  • Weng, H & Trueck, S 2011 'Style factors and value-at-risk of Asia-focused hedge funds", Pacific-Basin Finance Journal 19(5).
  • Bock, K & Trueck, S 2011 'Assessing uncertainty and risk in public sector investment projects', Technology and Investment 2(2).
  • Herbertsson, A, Jang, J & Schmidt, T 2011 'Pricing basket default swaps in a tractable shot-noise model', Statistics and Probability Letters 81(8): 1196-1207.
  • Elliott, RJ & Siu, TK 2011 'A BSDE approach to a risk-based optimal investment of an insurer', Automatica, 47(2): 253-428. Regular Paper (Lead Article).
  • Korn, R, Siu TK & Zhang, A 2011 'Asset allocation for a DC pension fund under regime-switching environment', European Actuarial Journal, 1(2): 361-377.
  • Elliott, RJ, Siu, TK & Badescu, A 2011 'On pricing and hedging options in regime-switching models with feedback effect', Journal of Economic Dynamics and Control, 35(5): 694-713.
  • Elliott, RJ, Siu, TK & Yang, H 2011 'Ruin theory in a hidden Markov-modulated risk model', Stochastic Models, 27: 474-489.
  • Cai, X, Wu, X & Zhou, X 2011 'Scheduling deteriorating jobs on a single machine subject to breakdowns', Journal of Scheduling, 14(2): 173-186.
  • Elliott, RJ. & Siu, TK 2011 'A stochastic differential game for optimal investment of an insurer with regime switching', Quantitative Finance
  • Liu, Q, Pitt, D, Zhang, X, & Wu, X 2011 'A Bayesian approach to parameter estimation for kernel density estimation via transformations', Annals of Actuarial Science, Cambridge University Press.
  • Meng, H & Siu, TK 2011 'On optimal reinsurance, dividend and reinvestment strategies', Economic Modelling, 28(40575): 211-218. 
  • Sadeghi, M 2011 'Investment opportunities and stock liquidity: Evidence from DJIM index additions in Persian Gulf States', Investment Management and Financial Innovations, Business Perspectives.
  • Sun, L, Tong, X & Zhou, X 2011 'A class of Box-Cox transformation models for recurrent event data', Lifetime Data Analysis, 17(2): 280-301. 
  • You, J, Zhou, X, Zhu, L & Zhou, B 2009 'Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors', Statistical Papers, 52(2): 263-286.
  • Kang, W, Kilgore A & Wright S 2011 'The Effectiveness of Audit Committees for low and mid-cap firms', Managerial Auditing Journal, 26, 7, 623-650.
  • Wright S, Byers P, Dyball M, Hazelton J & Radich R 2011 'Engaging Staff in Curriculum Change: Reflections from an Accounting Ethics Initiative', Asian Social Science, 7, 11, 93-99.

2010

  • Heaton, C & Oslington, P 2010 Micro vs macro explanations of post-war US unemployment movements, Economics Letters, February, 106(2), p.87-91
  • Siu, TK 2010 'A Markov regime switching marked point process for short rate analysis with credit risk', International Journal of Stochastic Analysis, Volume 2010, Article ID 870516, 18 pages.
  • Bryant, WA & Joyeux, R 2010 'Interest rates linkages between the US, UK and German interest rates: Should the UK join the European Monetary Union?', International Review of Applied Economics, 24.
  • Choo, W & De Jong, P 2010 'Determining and allocating diversification benefits for a portfolio of risks', ASTIN Bulletin - The Journal of the International Actuarial Association, 1(1): 257-269.
  • Cui, J, Pitt, D & Qian G 2010 'Model selection and claim frequency for workers' compensation insurance', ASTIN Bulletin - The Journal of the International Actuarial Association, 40(2): 779-796.
  • Dean, W, Faff, R & Loudon, G 2010 'Asymmetry in return and volatility spillover between equity and bond markets in Australia', Pacific-Basin Finance Journal, 18(3): 272-289.
  • Dungey, M, Milunovich, G & Thorp, S 2010 'Unobservable shocks as carriers of contagion: A dynamic analysis using identified structural GARCH', Journal of Banking and Finance, 35(5): 1008-1021.
  • Elliott, RJ, Siu, TK & Yang, H 2010 'Filtering a Markov modulated random measure', IEEE Transactions on Automatic Control, 55(1): 74-88.
  • Elliott, RJ, Siu, TK & Badescu, A 2010 'On mean-variance portfolio selection under a hidden Markovian regime-switching model', Economic Modeling, 27(3): 678-686. 
  • Elliott, RJ & Siu, TK 2010 'Risk-based indifference pricing under a stochastic volatility model', Communications on Stochastic Analysis. Special issue for Professor G. Kallianpur, 4(1): 51-73. 
  • Farmer, J 2010 'Model fitting for predicted precipitation in darwin: Some issues with model choice', Australian Senior Mathematics Journal, 24 (2), Australian Association of Mathematics Teachers Inc, 12 June.
  • Ferris, S 2010 'Someone else's problem: The failure of the Guarantee Security Life Insurance Company', Australian Actuarial Journal, 16(1): 1-64.
  • Ferris, S 2010 'How to destabilise the financial system: A beginner's guide', Variance: Advancing the Science of Risk, 4(1): 81-112.
  • Ferris, S & Gillies, P 2010 The legal obligations of superannuation fund trustees: The VBN v APRA litigation', Journal of Banking and Finance Law and Practice, 21(3): 214-244.
  • Fisher, LA, Otto, G, Voss, GM 2010 'The response of Australian consumption to housing wealth', Journal of Macroeconomics, 32(1): 284-299.
  • Fitzherbert, R & Pitt, D 2010 'Investment return calculations and senior school mathematics', Australian Senior Mathematics Journal, 24(1): 7-17.
  • Huang, M, Chen, G, Ching, W, & Siu, T 2010 'Principal-agent theory based risk allocation model for virtual enterprise', Journal of Service Science and Management, 3(2): 241-249.
  • Joshi, M & Pitt D. 2010 'Fast sensitivity computations for Monte Carlo valuation of pension funds', ASTIN Bulletin - The Journal of the International Actuarial Association, 40(2): 655-667.
  • Joyeux, R 2010 'Long memory processes: A joint paper with Clive Granger'. Journal of Financial Econometrics, 8: 184-186. 
  • Li, R, Joyeux, R, & Ripple, R 2010 'International Steam Coal Market Integration', The Energy Journal, 31: 179-200.
  • Liew, C & Siu, TK 2010 'A hidden Markov regime-switching model for option valuation', Insurance Mathematics and Economics, 47(3): 374-384
  • Milunovich, G 2010 'Temporal Links Between the Asia-Pacific and International Stock Markets: 1971 - 2010'. Investment Management and Financial Innovations, 2.
  • Milunovich, G & Joyeux, R 2010 'Testing Market Efficiency in the EU Carbon Futures Market', Applied Financial Economics, 20.
  • Nazifi, F & Milunovich, G 2010 'Measuring the Impact of Carbon Allowance Trading on Energy Prices', Energy and Environment, 21(5): 367-383.
  • Perera, R 2010 'Optimal consumption, investment and insurance with insurable risk for an investor in a Levy market', Insurance Mathematics and Economics, 46(3): 479-484.
  • Sadeghi, M 2010 'The evolution of Islamic insurance - Takaful: a literature survey', Insurance Markets and Companies: Analyses and Actuarial Computations, 1(2): 100-107.
  • Sheedy, E 2010 "The Future of Risk Modelling", In Robert W. Kolb (Ed.) Lessons from the financial crisis: causes, consequences, and our economic future, (pp. 301-306). Hoboken, NJ: Wiley.
  • Siu, TK 2010 'Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows', Applied Mathematics and Computation, 216 (11), Elsevier, 3184-3190. 
  • Siu, TK 2010 Discussion of published paper: 'Computation of multivariate barrier crossing probability and its applications in credit risk models', Joonghee Huh and Adam Kilkiewicz, July 2008. North American Actuarial Journal, 14(1): 150-156.  
  • Trueck, S, & Rong, N 2010 'Returns of REITS and stock markets - measuring dependence and risk', Journal of Property Investment and Finance, 28(1): 34-57. 
  • Truong, H & Trueck, S 2010 'Evaluation of investment options mitigating catastrophic losses under the impacts of climate change', Environmental Economics, 1(2): 111-117. 
  • Wylie, J, Zhang, Q, & Siu, T 2010 'Can expected shortfall and value-at-risk be used to statically hedge options?' Quantitative Finance, 10(6): 575-583.  
  • Yiu, C, Liu, J, Siu, T, & Ching, W 2010 'Optimal portfolios with regime-switching and value-at-risk constraint', Automatica, 46(6): 979-989 .
  • Yip, P, Pitt, D, Wang, Y, Wu, X & Watson, R. 2010 'Assessing the impact of suicide exclusion periods on Australian life insurance crisis'. The Journal of Crisis Intervention and Suicide Pr, 31(4): 217-223.
  • You, J & Zhou, X 2010 'Statistical inference on seemingly unrelated varying coefficient partially linear models', Statistica Neerlandica, 64(2): 227-253.
  • You, J, Zhou, X & Zhou, Y 2010 'Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors', Journal of Multivariate Analysis, 101(5): 1079-1101.
  • Zhang, X, Siu, T, & Meng, Q 2010 'Portfolio selection in the enlarged Markovian regime-switching market', Siam Journal On Control and Optimization, 48(5): 3368-3388.  
  • Zhao, X & Zho, Z 2010 'Applying copula models to individual claim loss reserving method', Insurance: Mathematics and Economics, 46: 290-299.
  • Zhao, X & Zhou, X 2010 'Empirical receiver operating characteristic curve for two-sample comparison with cure fractions', Lifetime Data Analysis, 16(3): 316-332.
  • Zhao, X & Zhou X 2010 'Semiparametric estimation in transformation models with cure fraction'. Communications in Statistics-Theory and Methods, 39(18): 3371-3388.
  • Cheung, E, Evans, E & Wright, S. 2010 'An historical review of quality in financial reporting in Australia', Pacific Accounting Review, 22, 2, 147-169.
  • Wu, H, Fargher, N & Wright S. 2010 'Accounting for investments and the relevance of losses to firm value', The International Journal of Accounting, 45, 104-127.

2009

  • Badescu, A. Elliott, R, & Siu, T 2009 'Esscher transforms and consumption-based models', Insurance: Mathematics and Economics, 45(3): 337-34.
  • Blazey, P 2009 'Fiscal and regulatory challenges of managing sinks on the basis of the Australian experience: Critical issues in environmental taxation', International and Comparative Perspectives Vol VI Oxford University Press UK.
  • Blazey, P & Zenos, J 2009 'The European Union's response to the global financial crisis: Can it avoid a move to protectionism?', Business Law Journal.
  • Cai, X, Wu, X and Zhou, X 2009 'Stochastic scheduling on parallel machines to minimize discounted holding costs', Journal of Scheduling, 12(4), 375-388.
  • Cai, X, Wu, X & Zhou, X, 2009 'Stochastic scheduling subject to preemptive-repeat breakdowns with incomplete information', Operations Research, 57(5): 1236-1249.
  • Ching, W, Siu, T, Li, L, Li, T & Li, W 2009 'A parsimonious multivariate markov chain model for credit risk', Journal of Credit Risk, 5: 1-25.
  • Ching, W, Siu, T, Li, L, Li, T, & Li, W 2009 'Modeling default data via an interactive hidden Markov model', Computational Economics, 34(1): 1-19.
  • Choo, W, & De Jong, P 2009 'Loss reserving using loss aversion functions', Insurance, Mathematics & Economics, 45(2): 271-277.
  • Elliott, RJ & Siu, TK 2009 'On Markov-modulated exponential-affine bond price formulae', Applied Mathematical Finance, 16(1): 1-15.
  • Elliott, RJ & Siu, TK 2009 'On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy', Annals of Operations Research, 176(1): 271-291.
  • Elliott, RJ & Siu, TK 2009 'Portfolio risk minimization and differential games', Nonlinear Analysis Series A: Theory, Methods and Applications, 71(12): 2127-2135.
  • Elliott, RJ & Siu, TK 2009 'Robust optimal portfolio choice under Markovian regime-switching model', Methodology and Computing in Applied Probability, 11(2): 145-157.
  • Jang, J 2009 'The cost of delay in a mortgage/credit loan portfolio', Asia Pacific Journal of Risk and Insurance, 4(1), Article 5.
  • Kingston, G 2009, 'Financial plans for baby boomers: How much risk?', Economic Papers, June 2009.
  • Li, Y & Sadeghi, M 2009 'Price-performance and liquidity effects of index additions and deletions: Evidence from Chinese equity markets', Asian Journal of Finance and Accounting, 1(2): 16-52.
  • Milunovich, G 2009 'Size-sorted portfolios and information spillovers: Structural evidence from Australia', Investment Management and Financial Innovations, 4(6): 75-83.
  • Siu, T. Ching, W, Fung, E, Ng, M & Li, X 2009 'A higher-order Markov-switching model for risk measurement', Computers and Mathematics Applications, 58: 1-10.
  • Siu, TK, & Yang, H 2009 'Nonparametric Bayesian credibility', Australian Actuarial Journal, 15(2): 209-230.
  • Siu, TK & Yang, H 2009 Option pricing when the regime-switching risk is priced', Special issue of ACTA Mathematicae Applicatae Sinica, 25(3): 369-388.
  • Tanthanongsakkun, S, Pitt, D & Treepongkaruna, S 2009 'A comparison of corporate bankruptcy models in Australia: The Merton vs accounting-based models', Asia-Pacific Journal of Risk and Insurance, 3(2): 93-112.
  • Trueck, S, Bradford, W, Henderson-Sellers, A, Mathew, S, Scott, J, Street, M & Taplin, R 2009 'Assessing climate change adaptation options for local government', in Henderson-Sellers and You (eds), Climate alert: Climate change monitoring and strategy, Sydney University Press.
  • Trueck, S, Chernobai, A, Menn, C, & Rachev, S.T. 2009 'Estimation of operational value-at-risk with minimum collection thresholds' in Roesch and Schedule (eds), Model Risk in financial crises - challenges and solutions for financial risk models, Risk Books.
  • Trueck, S & Benz, E 2009 'Modeling the price dynamics of CO2 emission allowances', Energy Economics, 31(1).
  • Trueck, S & Rachev, ST 2009 'Rating Based Modeling of Credit Risk', Theory and Application of Migration Matrices, Academic Press, Elsevier 2009.
  • Wen, L, Wu, X and Zhou, X 2009 'The credibility premiums for models with dependence induced by common effects', Insurance: Mathematics and Economics, 44(1): 19-25.
  • Wu, X, Wang, J & Zhou, X, 2009 'Estimation of multi-stage survival distributions based on age stage data', Australian Actuarial Journal, 15(1): 117-142.
  • You, J & Zhou, X 2009 'Partially linear models and polynomial spline approximations for the analysis of unbalanced panel data', Journal of Statistical Planning and Inference, 139(3): 679-695.
  • You, J, Zhou, X, & Zhu, L 2009 'Inference on a regression model with noised variables and serially correlated errors', Journal of Multivariate Analysis, 100(6): 1182-1197.
  • Zhang, X & Siu, T 2009 'Optimal investment and reinsurance of an insurer with model uncertainty', Insurance: Mathematics and Economics, 45(1): 81-88. 
  • Zhao, X & Zhou, X 2009 'Semiparametric modeling of medical cost data containing zeros', Statistics and Probability Letters, 79(9): 1207-1214.
  • Zhao, XB, Zhou, X & Wu, X 2009 'A change-point model for survival data with long-term survivors', Statistica Sinica, 19: 377-390.
  • Zhao, XB, Zhou, X & Wang, JL 2009 'Semiparametric model for prediction of individual claim loss reserving', Insurance: Mathematics and Economics, 45(I): 1-8.  

2008

  • Alexander, C & Sheedy, E 2008 'Developing a stress testing framework based on market risk models', Journal of Banking and Finance, 32(10): 2220-2236.
  • Benson, K, Gray, P, Kalotay, E, & Qiu, J 2008 'Portfolio construction and performance measurement when returns are non-normal', Australian Journal of Management, 32(3): 445-461.
  • Booth, H & Tickle, L 2008 'Mortality modeling and forecasting: A review of methods', Annals of Actuarial Science, 3(I and II): 3-44.
  • Dassios, A & Jang, J 2008 'The distribution of the interval between events of a Cox process with shot noise intensity', Journal of Applied Mathematics and Stochastic Analysis, 2008 (367170), Hindawi Publishing Corporation, Article ID 367170.
  • Farmer, J 2008 'Understanding statistical variation: A response to Sharma', Australian Senior Mathematics Journal, 22(1): 59-62.
  • Fisher, LA 2008 'Consumption, wealth and expected stock returns in Australia: Some further results', Applied Financial Economics Letters, 4: 13-18.
  • Jang, J & Fu, G 2008 'Transform approach for operational risk modeling: Value-at-risk and tail conditional expectation', The Journal of Operational Risk, 3(2): 45-62.
  • Kyng, T & Taylor, P 2008 'Graduates' use of spreadsheet tools in learning and applying financial mathematics', Asian Social Science, 4(3): 66-77.
  • Neill, B, Sadeghi, M & Watts, E 2008 'Are insider trades profitable? Evidence from directors' trade on the Australian Stock Exchange', Corporate Ownership & Control, 5(3): 176-187.
  • Purcal, S & Piggott, J 2008 'Explaining low annuity demand: An optimal portfolio application to Japan'. Journal of Risk and Insurance, 75(2): 493-516. 
  • Sadeghi, M 2008 'Financial performance of shariah-compliant investment: Evidence from Malaysian stock market', International Research Journal of Finance and Economics, 20: 15-26.
  • Siu, TK, Erlwein, C & Mamon, RS 2008 'The pricing of credit default swaps under a Markov-modulated Merton's structural model', North American Actuarial Journal, 12(1): 19-46.
  • Sun, L & Zhou, X 2008 'Inference in the additive risk model with time-varying covariates subject to measurement errors',Statistics and Probability Letters, 78(16): 2559-2566.
  • Sun, X, Zhou, X & Wang, J 2008 'Confidence intervals for the scale parameter of exponential distribution based on type II doubly censored samples'. Journal of Statistical Planning and Inference, 138(7): 2045-2058.
  • Trueck, S 2008 'Forecasting credit migration matrices with business cycle effects - a model comparison'. The European Journal of Finance, 14(5): 359-379.
  • Wang, S, Shao, Q & Zhou, X 2008 'Knot-optimizing spline networks (KOSNETS) for nonparametric regression'. Journal of Industrial and Management Optimization, 4(1): 351-380.
  • Wu, X & Zhou, X 2008 'Stochastic scheduling to minimize expected maximum lateness'. European Journal of Operational Research, 190(1): 103-115.
  • Zhao, X & Zhou, X 2008 'Discrete-time survival models with long-term survivors'. Statistics in Medicine, 27(8): 1261-1281.

2007

  • Cai, X, Wang, L & Zhou, X 2007 'Single-machine scheduling to stochastically minimize maximum lateness', Journal of Scheduling, 10: 293-301.
  • Cai, X, Wu, X & Zhou, X 2007 'Single-machine scheduling with general costs under compound-type distributions', Journal of Scheduling, 10(1): 77-84.
  • de Jong, P, Heller, G, Stasinopoulos, M, & Rigby, R 2007 'Mean and dispersion modelling for policy claims costs', Scandinavian Actuarial Journal, 4: 281-292. 
  • de Jong, P & Marshall, C 2007 Mortality projection based on the Wang transform', Astin Bulletin the Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 37(1): 149-162.
  • Elliott, RJ, Siu, TK & Chan, L 2007 Pricing volatility swaps under Heston's stochastic volatility model with regime switching', Applied Mathematical Finance, 14(1): 41-62.
  • Farmer, J 2007 'Misconceptions of randomness and expected sequential pairs in a permutation of integers', Mathematical Gazette, 91(521): 246-248. 
  • Ferris, S 2007,'Broken promises: Solvency issues for defined benefit superannuation funds', Law, Probability and Risk: a journal of reasoning under uncertainty, 5: 201-232.
  • Gray, P, Edwards, S & Kalotay, E 2007 'Canonical valuation and hedging of index options', Journal of Futures Markets, 27(8): 771-790. 
  • Hobbes, G, Lam, F & Loudon, G 2007 'Regime shifts in the stock-bond relation in Australia', Review of Pacific Basin Financial Markets & Policies, 10(1): 81-99.
  • Jang, J 2007 'Jump diffusion processes and their applications in insurance and finance', Insurance Mathematics and Economics, 41(1): 62-70.
  • Kalotay, E, Gray, P & Sin, S 2007 'Consumer expectations and short-horizon return predictability', Journal of Banking and Finance, 31(10): 3102-3124.
  • Kalotay, E 2007 'Discussion of Hensher and Jones', Abacus A Journal of Accounting and Business Studies, 43(3): 265-270.
  • Kingston, G 2007 'Tax reform: A different view', Economic Papers, 26(2): 128-146.
  • Kingston, G, Bateman, H & Thorp, S 2007 'Financial engineering for Australian annuitants' in H Bateman (ed.), Retirement and Scary Markets, Edward Elgar, pp124-148.
  • Kingston, G & Bateman H 2007 'Superannuation and personal income tax reform', Australian Tax Forum, 137-162.
  • Kingston, G & Melecky, M 2007 'Currency preferences and the Australian dollar', Journal of International Money and Finance, 454-467.
  • Loudon, G & Rai, A 2007 'Is volatility risk priced after all? Some disconfirming evidence', Applied Financial Economics, 17(5): 357-368.
  • Parr, N, Ferris, S, & Mahuteau, S 2007 'The impact of children on Australian women's and men's superannuation'. The Economic and Labour Relations Review, 18(1): 3-26..
  • Pitt, D. 2007 'Modeling the claim duration of income protection insurance policyholders using parametric mixture models', Annals of Actuarial Science, 2 (1): 1-24.
  • Sadeghi, M & Wright, S 2007 'Can FDI be encouraged? An analysis of Iran's future economic prospects', International Economics & Finance Journal, 2 (1): 43-61.
  • Sadeghi, M, Samsami, H & Sherafat, N 2007 'Inflation-targeting exchange rate policy for an oil producing country: The case of Iran', International Research Journal of Finance and Economics, 12: 80-97.
  • Sheen, J, & Kim, D 2007 'Consumption risk-sharing within Australia and with New Zealand', Economic Record, 83(260): 46-59.
  • Trueck, S, Bierbrauer, M, Menn, C & Rachev, ST 2007 'Spot and derivative pricing in the EEX Power Market', Journal of Banking and Finance 31(11).
  • Trueck, S, Prokopczuk, M, Rachev, ST & Schindlmayr, G 2007 'Quantifying risk in the electricity business: A RAROC-based approach', Energy Economics, 29(5).
  • Trueck, S 2007 'Exploring the relationship between the sustainability of construction and market value', Property Management, 25(2): 119-149.
  • Zhao, X, Zhou, X, & Wu, X 2007 'Local linear regression in proportional hazards model with censored data', Communications in Statistics-Theory and Methods, 36(15): 2761-2776.

2006

  • Booth, H, Hyndman, R, Tickle, L & de Jong, P 2006 'Lee-Carter mortality forecasting: A multi-country comparison of variants and extensions', Demographic Research, 15(9): 289-310. 
  • Cai, X & Zhou, X 2006 'Stochastic scheduling with asymmetric earliness and tardiness penalties under random machine breakdowns' Probability in the Engineering and Informational Sciences, 20(4): 635-654.
  • de Jong, P & Tickle, L 2006 'Extending Lee-Carter forecasting', Mathematical Population Studies, 13: 1-18.
  • de Jong, P 2006 'Forecasting runoff triangles', North American Actuarial Journal, 10(2): 28-38.
  • de Jong, P & Ferris, S 2006 'Adverse selection spirals', Astin Bulletin the Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 36(2): 589-628.
  • Kingston, G 2006 'Choice of tax regime for superannuation contributors', Australian Accounting Review, 16(40): 41-46.
  • Lorenz, D, Trueck, S & Lutzkendorf, T 2006 'Addressing risk and uncertainty in property valuations: A viewpoint from Germany', Journal of Property Investment and Finance, 24(5): 400-433.
  • Loudon, G & Nguyen, K 2006 'Evidence on the issuer effect in warrant overpricing', Applied Financial Economics,16(3): 223-232.
  • Loudon, G & Nguyen, K 2006, 'Evidence on the issuer effect in warrant overpricing', Applied Financial Economics,16(3): 223-232.
  • Loudon, G 2006 'Is the risk-return relation positive? Further evidence from a stochastic volatility in mean approach' Applied Financial Economics, 16(3): 981-992.
  • Pitt, D 2006 'Regression quantile analysis of claim termination rates for income protection insurance', Annals of Actuarial Science., 1(2): 345-357. 
  • Sheen, J & Kim, SJ 2006 'Interventions in the yen-dollar spot market: A story of price, volatility and volume', Journal of Banking and Finance, 30: 3191-3214.
  • Siu, TK 2006 'Option pricing under autoregressive random variance models', North American Actuarial Journal, 10(2): 62-75.
  • Trueck, S 2006 'Asset correlations and capital requirements for SME in the revised Basel II framework'. Banks and Bank Systems, 1(1): 75-92.
  • Trueck, S 2006 'CO2 emission allowances trading in Europe - specifying a new class of assets', Problem and Perspectives in Management, 3(3): 30-40.
  • Trueck, S 2006 'Modelling catastrophe claims with left-truncated severity distributions', Computational Statistics, 21(4): 537-555.
  • Trueck, S, Weron, R & Misiorek, A 2006 'Point and interval forecasting of spot electricity prices: Linear v non-linear time series', Studies in Non-Linear Dynamics & Econometrics 10(3).
  • Wu, X & Zhou, X 2006 'A new characterization of distortion premiums via countable additivity for comonotonic risks' Insurance Mathematics and Economics, 38(2): 324-334.
  • You, J & Zhou, X 2006 'Empirical likelihood in a regression model with noised variables', Journal of Statistical Planning and Inference, 2(9): 1343-1349.
  • You, J & Zhou, X 2006 'Statistical inference in a panel data semiparametric regression model with serially correlated errors'. Journal of Multivariate Analysis, 97(4): 844-873.
  • Zhao, X & Zhou, X 2006 'Proportional hazards models for survival data with long-term survivors'. Statistics and Probability Letters, 76(15): 1685-1693.

2005

  • Cai, X & Zhou, X 2005 'Single-machine scheduling with exponential processing times and general stochastic cost functions', Journal of Global Otimization, 31(2): 317-332.
  • Cai, X, Wu, X & Zhou, X 2005 'Dynamically optimal policies for stochastic scheduling subject to preemptive-repeat machine breakdowns', IEEE Transactions On Automation Science and Engineering, 2(2): 158-172.
  • Chen, G, You, J & Zhou, X 2005 'B-Spline estimation in a semiparametric regression model with nonlinear time series errors', American Journal of Applied Sciences, 2(9): 1343-1349.
  • Dassios, A & Jang, J 2005 'Kalman-Bucy filtering for linear system driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts', Journal of Applied Probability, 42(1): 93-107.
  • de Jong, P & Ferris, S 2005 'Assessing the costs of adverse selection', The ICFAI Journal of Risk and Insurance, (2): 64-82.
  • Farmer, J 2005 'The volume of a torus using cylindrical and spherical coordinates' Australian Senior Mathematics Journal,19(2): 49-58.
  • Fisher, L & Kingston, G 2005 'Joint implications of consumption and tax smoothing', Journal of Money, Credit and Banking, 37(6): 1101-1119.
  • Kingston, G & Thorp, S 2005 'Annuitization and asset allocation with HARA utility', Journal of Pension Economics and Finance, 225-248.
  • Puza, B, Pitt, D & O'Neill, T 2005 'The Monty Hall three doors problem', Teaching Statistics, 27(1): 11-15.
  • Siu, TK 2005 'Fair valuation of participating policies with surrender options and regime switching', Insurance: Mathematics and Economics, 37(3): 533-552.
  • Trueck, S, Chernobai, A, Menn, C & Rachev, S 2005 'A Note on the estimation of the frequency and severity distribution of operational losses', The Mathematical Scientist, 30(2).
  • Trueck, S 2005 'Credit portfolio risk and probability of default confidence sets through the business cycle', The Journal of Credit Risk, 1(4): 61-88
  • Trueck, S, Mugele, C & Rachev, S 2005 'Stable modelling of different European power markets', Investment Management and Financial Innovations, 2(3).
  • Tickle, L, Booth, H, & Smith, L 2005 'Evaluation of the variants of the Lee-Carter method of forecasting mortality: A multi-country comparison', New Zealand Population Review, 31(1): 13-34.
  • Wu, X, You, J & Zhou, X 2005 'Asymptotic properties of the ISE in nonparametric regressions with serially correlated errors', Communications in Statistics-Theory and Methods, 34(4): 943-953.
  • You, J & Zhou, X 2005 'Bootstrap of a semiparametric partially linear model with autoregressive errors'. Statistica Sinica, 15(1): 117-133.
  • You, J & Zhou, X 2005 'Jackknifing in partially linear regression models with serially correlated errors', Journal of Multivariate Analysis, 92(2): 386-404.
  • You, J & Zhou, X 2005 'The law of iterated logarithm of estimators for partially linear panel data models', Statistics and Probability Letters, 75(4): 267-279.

2004

  • Heaton, C & Solo, V 2004 Identification of causal factor models of stationary time series, Econometrics Journal, 7 p.618-627
  • Booth, H & Tickle, L 2004 'Beyond three score years and ten: Prospects for longevity in Australia'. People and Place, 12(1): 15-27.
  • Tickle, L 2004 'Causes of death among Australian insured lives', Australian Actuarial Journal, 10(4): 623-694.