Fair pricing of superannuation guaranteed benefits with downturn risk. Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect th ....Fair pricing of superannuation guaranteed benefits with downturn risk. Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect the income stream of retirees. This project aims to develop a novel approach to fair pricing and optimal withdrawals and surrender policies for superannuation guaranteed benefit products through a comprehensive analysis of complex optimisation problems in stochastic models of financial markets with downturn risk.Read moreRead less
Can green investors drive the transition to a low emissions economy? The project aims to develop a game-theoretical approach to model the impact of climate change on financial markets by studying the interactions between the government, companies and investors. Expected outcomes include novel solution concepts for stochastic games with heterogeneous beliefs, asymmetric information, and model uncertainty, as well as optimal investment and production strategies under climate driven economic transi ....Can green investors drive the transition to a low emissions economy? The project aims to develop a game-theoretical approach to model the impact of climate change on financial markets by studying the interactions between the government, companies and investors. Expected outcomes include novel solution concepts for stochastic games with heterogeneous beliefs, asymmetric information, and model uncertainty, as well as optimal investment and production strategies under climate driven economic transitions. Results will be used to validate and improve the recently launched Australian based climate transition index. The project should yield significant benefits for the financial industry and investors by providing novel insights into financial risks during the transition to a low emissions economy.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200100896
Funder
Australian Research Council
Funding Amount
$427,008.00
Summary
How to beat model uncertainty with more information. Experience of the 2008 financial crisis exposed a weakness in our over-reliance on mathematical models. The main aim of this project is to develop mathematical tools to investigate the role of information in reducing model uncertainty. The project will undertake pressing research in robust finance, which is now one of the most active and dynamic topics in financial mathematics. It expects to quantify the value of information under uncertainty ....How to beat model uncertainty with more information. Experience of the 2008 financial crisis exposed a weakness in our over-reliance on mathematical models. The main aim of this project is to develop mathematical tools to investigate the role of information in reducing model uncertainty. The project will undertake pressing research in robust finance, which is now one of the most active and dynamic topics in financial mathematics. It expects to quantify the value of information under uncertainty in mathematical modelling. It will generate new knowledge in probability theory and stochastic processes providing a significant mathematical contribution in its own right.Read moreRead less
Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and ....Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and the economy. This project expects to bring about long-term impact on quantitative finance and related applications through providing a deep understanding of, and a new perspective for, the design, risk and fairness of the finance, property and insurance markets.Read moreRead less