Economics - Research Publications
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ItemHow to proxy the unmodellable: Analysing granular insurance claims in the presence of unobservable or complex drivers(Institute of Actuaries, Australia, 2018)The estimation of claim and premium liabilities is a key component of an actuary's role and plays a vital part of any insurance company’s operations. In practice, such calculations are complicated by the stochastic nature of the claims process as well as the impracticality of capturing all relevant and material drivers of the observed claims data. In the past, computational limitations have promoted the prevalence of simplified (but possibly sub-optimal) aggregate methodologies. However, in light of modern advances in processing power, it is viable to increase the granularity at which we analyse insurance data sets so that potentially useful information is not discarded. By utilising more granular and detailed data (that is usually readily available to insurers), model predictions may become more accurate and precise. Unfortunately, detailed analysis of large insurance data sets in this manner poses some unique challenges. Firstly, there is no standard framework to which practitioners can refer and it can be challenging to tractably integrate all modelled components into one comprehensive model. Secondly, analysis at greater granularity or level of detail requires more intense levels of scrutiny as complex trends and drivers that were previously masked by aggregation and discretisation assumptions may emerge. This is particularly an issue with claim drivers that are either unobservable to the modeller or very difficult/expensive to model. Finally, computation times are a material concern when processing such large volumes of data as model outputs need to be obtained in reasonable time-frames. Our proposed methodology overcomes the above problems by using a Markov-modulated non-homogeneous Poisson process framework. This extends the standard Poisson model by allowing for over-dispersion to be captured in an interpretable, structural manner. The approach implements a flexible exposure measure to explicitly allow for known/modelled claim drivers while the hidden component of the Hidden Markov model captures the impact of unobservable or practicably non-modellable information. Computational developments are made to drastically reduce calibration times. Theoretical findings are illustrated and validated in an empirical case study using Australian general insurance data in order to highlight the benefits of the proposed approach.
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ItemOn the Impact, Detection and Treatment of Outliers in Robust Loss Reserving(Actuaries Institute, 2016)The sensitivity of loss reserving techniques to outliers in the data or deviations from model assumptions is a well known challenge. For instance, it has been shown that the popular chain-ladder reserving approach is at significant risk to such aberrant observations in that reserve estimates can be significantly shifted in the presence of even one outlier. In this paper we firstly investigate the sensitivity of reserves and mean squared errors of prediction under Mack's Model. This is done through the derivation of impact functions which are calculated by taking the first derivative of the relevant statistic of interest with respect to an observation. We also provide and discuss the impact functions for quantiles when total reserves are assumed to be lognormally distributed. Additionally, comparisons are made between the impact functions for individual accident year reserves under Mack's Model and the Bornhuetter-Ferguson methodology. It is shown that the impact of incremental claims on these statistics of interest varies widely throughout a loss triangle and is heavily dependent on other cells in the triangle. We then put forward two alternative robust bivariate chain-ladder techniques (Verdonck and VanWouwe, 2011) based on Adjusted-Outlyingness (Hubert and Van der Veeken, 2008) and bagdistance (Hubert et al., 2016). These techniques provide a measure of outlyingness that is unique to each individual observation rather than largely relying on graphical representations as is done under the existing bagplot methodology. Furthermore the Adjusted Outlyingness approach explicitly incorporates a robust measure of skewness into the analysis whereas the bagplot captures the shape of the data only through a measure of rank. Results are illustrated on two sets of real bivariate data from general insurers.
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ItemExamining the oldest-old mortality in the U.S. A forecast reconciliation approach(Society of Actuaries, 2020)Understanding the heterogeneity in regional-level mortality experience is of fundamental importance. This paper analyzes the state-level mortality rates for 50 U.S. states as well as the District of Columbia at age 80 and above via a novel forecast reconciliation approach. Based on mortality data from 1990–2017, we project the 10-year-ahead mortality rates at national and state levels up to 2027. We find that the geographical heterogeneity in the old-age mortality experience is likely to continue and the mortality improvement rates will to slow in the next decade.
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ItemMicroblogging and Life Changes: An Ethnographic and Statistical Analysis of Young Adults(The International Academic Forum (IAFOR), 2014)Microblogging has revolutionized people's interaction on the web. This paper investigates the changes in the microblogging practices of young adults after they have experienced life changing events associated with studying and working overseas. To test for the presence of significant changes in microblogging behaviour the empirical analysis focusses on young Chinese adults who have moved to Australia to study and/or work. The data consists of a three-tier approach, with the first tier being based on questionnaires; the second tier consists of formal in-depth interviews; while the third tier involves an ethnographic analysis of online and offline participant behaviour as well as information collected from two focus groups. The behavioural changes of the participants are analysed using a range of statistical models which take into account microblogging practices relating to social media platform choices, behavioural strategies and frequency. Formally this involves using panel ordered probit models to identify potential significant changes in social media practices. In specifying the empirical models, key demographic attributes characterizing the participants are also incorporated into the analysis, including gender, age, location, duration, education, enrolment status and work status. The empirical results reveal evidence of significant changes in key social media practices of Chinese young adults in moving from China to Australia. Keywords: social media, study overseas, work overseas, three-tier approach. Official conference proceedings published by IAFOR are available at: http://iafor.org/issn-2186-5906-the-asian-conference-on-media-mass-communication-2014-official-conference-proceedings/
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ItemGlobal challenges for land administration and sustainable development( 2006)An important government activity of all nation states is building and maintaining a land administration system (LAS) with the primary objective of supporting an efficient and effective land market. This includes cadastral surveys to identify and subdivide land, land registry systems to support simple land trading (buying, selling, mortgaging and leasing land) and land information systems to facilitate access to the relevant information, increasingly through an Internet enabled e-government environment. For most countries a cadastre is at the core of the LAS providing spatial integrity and unique land parcel identification in support of security of tenure and effective land trading. For many cadastral and land administration officials and for much of society, these are the primary, and in many cases the only roles of the cadastre and LAS. However the role, and particularly the potential of LAS and their core cadastres, have rapidly expanded over the last couple of decades and will continue to change in the future. But what is a land market in a modern economy? Since our LAS were developed, land commodities and trading patterns have undergone substantial changes: they have become complex, corporatised and international. Are our current LAS designed to support a modern land market that trades in complex commodities such as mortgage backed certificates, water rights, land information, time shares, unit and property trusts, resource rights, financial instruments, insurance products, options, corporate development instruments and vertical villages? Modern land markets involve a complex and dynamic range of activities, processes and opportunities, and are impacted upon by a wide range of restrictions and responsibilities imposed on land especially since WW II. These restrictions are continually evolving, primarily in response to economic, energy and sustainable development objectives. They are equally being driven by developments in information and communications techn
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ItemCreating a culture of human rights from a Muslim perspective(Multi-Faith Centre, Griffith University, Brisbane, Queensland, Australia, 2006)In the twentieth and twenty-first centuries, issues of human rights have drawn an increasing amount of international attention. Some people view traditional understandings of Islamic law, particularly in areas such as gender rights and freedom of religion, as contradicting values accepted by many today as universal human rights. In response to this view, Abdullah Saeed examines the ideas of human dignity and the importance of context in understanding Islamic law as it relates to the creation of a culture of human rights from a Muslim perspective. This paper, presented in 2005 at the international symposium Cultivating Wisdom, Harvesting Peace at Griffith University, Brisbane, argues that it is necessary to recognize and highlight the fact that many human rights, which are seen today as universal, may well be supported by the foundation texts of Islam. Saeed explores the importance of contextualizing Islamic laws in order to understand their intended meaning; the need to reinterpret traditional understandings which appear to conflict with today’s human rights; and the interpretative and practical possibilities found in foundational texts and the tradition of Islamic thought which can be drawn on to formulate a philosophy of human rights in the modern period.
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ItemBefore citizenship: liberalism's colonial subjects(Canberra: Asian Studies Association of Australia (ASAA) & Research School of Pacific and Asian Studies (RSPAS), The Australian National University, 2006)This paper is concerned with the way colonial states established limited forms of access to civic and political life for their subjects. The issue of how colonial subjects were constructed as political and civil subjects is not well understood and one aim of this paper is to propose a new and hopefully more productive way of understanding the relationship between colonial subjects and their colonizers. This might be understood as a new lens through which colonial debates around native participation may be read and understood, or a new ear to some of the nuances of colonial language and concern. At the same time as saying this it must be recognized that the colonial state, and those subject to it, were not homogeneous. Marked differences existed between the early and late periods of colonial rule in British India, just as also between British colonialism in India and Africa, or British colonial rule in India and that practiced by, say, the French in Algeria. The case study for this research has been British rule in India in the second part of the nineteenth century. This should be borne in mind when considering conclusions drawn here and the extent to which they might reasonably be generalized to other colonial contexts. The paper is divided into three sections. Section I provides a brief sketch of nineteenth century British liberal political thought in respect of colonialism and the projection of British rule offshore. Its aim is not to provide a comprehensive review of this topic but rather to indicate some of the broader views and assumptions that animated colonial administration from the latter part of the nineteenth century forward (for a more comprehensive review, see Moore, 1966; Sullivan, 1983). Key amongst these was the idea that liberty rights and political participation were the preserve of societies that had reached a mature level of civilization; for those that had not, despotic government was not only preferable but indeed desirable. Postcolonial the