The Department of of Acturarial Studies and Business Analytics has a strong research program built on the application of advanced quantitative techniques to real-world problems. This involves model-building and sophisticated analytical approaches for research in insurance, finance, economics, and business. We pursue knowledge that puts us at the forefront of our disciplines in Australia and internationally.
The research of the Department is neatly captured by three key areas.
Risk, data analytics and insurance
Modelling and management of risk is crucial to ensure the financial security and prosperity of individuals and the effective operation of insurance and financial markets. The rise of Big Data is increasing the need for data analytic techniques to model, price, analyse and manage financial risks, in addition to creating major changes in the nature of insurance and financial products and services.
This research network develops and applies innovative quantitative and data analytic techniques to model and manage financial risk. Projects undertaken include modelling and forecasting of disability, mortality and longevity risk, valuation of insurance products, and risk management strategies including reinsurance, hedging and risk control.
Financial mathematics and actuarial mathematics
Financial Mathematics and Actuarial Mathematics are, by their very nature, multi-disciplinary research fields which draw on techniques and methodologies from the disciplines such as mathematics, statistics, economics, finance and computing to solve theoretical and applied problems arising from the finance and insurance industries. The two research fields have traditionally been closely linked and their interactions have flourished the developments of many theories and models which deepen our understanding to both the theories and practices of some major problems in both the finance and insurance industries. The aim of this research network is to explore the interactions between financial mathematics and actuarial mathematics so as to create fruitful impacts on the two research fields and some related quantitative fields. Some examples of research topics are, but certainly not limited to, (1) option pricing and hedging (2) quantitative risk measurement and management, (3) optimal asset allocation, (4) statistical models in finance and insurance, (5) life insurance mathematics, (6) non-life insurance mathematics, (7) pension fund mathematics, (8) advanced quantitative analytics, and etc.
Commodity and energy markets
Mining and the export of natural resources are vital contributors to the Australian economy. Commodity and energy prices are highly dependent on expectations about economic growth but also on climate change adaptation policies that might enhance the use of renewable resources for energy production. This research network focuses on the economic and financial analysis of commodity markets, in particular econometric and analytical techniques and their application to commodity, energy, weather derivative and carbon emission markets. It aims to describe the complex behaviour and structure of these markets and to quantify financial and economic risks. The network also aims to relate the impact of renewable energy policies to Australian commodity and financial markets.