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Siti Norafidah Mohd Ramli

School of Mathematical Sciences, the National University of Malaysia

Research Experience & Interests

I am investigating the role of jump diffusion model in representing financial and mortality risks for a prudent pricing of financial contracts, insurance & pension reserves. 

My other research interests include modeling of aggregate discounted claims using copula, as well as interest rate modeling with stochastic differential equations.

Additionally, I am a currently a Level II CFA candidate.

Education

Feb 2011Aug 2014

Doctor of Philosophy, Applied Finance and Actuarial Studies

Macquarie University, Sydney

Thesis: Modeling Multivariate Dependence Structures in Insurance and Credit Risk via Copulas

Sep 2004Sep 2005

Master of Science, Risk and Stochastics

London School of Economics and Political Sciences, UK

Dissertation: An Application of Poisson Ornstein-Uhlenbeck Process in Pension Fund Risk Management

Sep 2000Jul 2004

Bachelor of Science, Actuarial Science (1st Class Hons.)

London School of Economics and Political Sciences, UK

6 papers (CT level) available for exemptions from the Faculty and Institute of Actuaries

Research Experience

  • Centre for Financial Risk, Macquarie University, Sydney (2014).
    Conducted quantitative research on the jump diffusion process in Markov chain environment with an application in life insurance and disability annuity.

Work History

Mar 2015Present

Senior Lecturer at the National University of Malaysia (NUM)

National University of Malaysia (NUM)
Sep 2014Dec 2014

Research Fellow at the Centre for Financial Risk, Macquarie University, Sydney, NSW

Centre for Financial Risk, Macquarie University, Sydney, NSW
Feb 2012Jun 2014

Casual Tutor at Faculty of Business and Economics, Macquarie University

Jun 2007Dec 2014

Lecturer (on study leave from Feb 2011 - Dec 2014) at NUM



Papers & Publications

  • Ali, M.N. & Mohd Ramli S.N., et al Estimating the Yield Curve for the Malaysian Bond Market Using Parsimony Method. Procedia Economics and Finance 12/2015; 31:194-198
  • Jang, J. & Mohd Ramli S.N., Jump diffusion intensities in life insurance and disability. Insurance: Mathematics and Economics 64 (2015), 440 - 451.
  • Mohd Ramli, S.N. & Jang, J., A multivariate jump diffusion process for counterparty risk in CDS rates. Journal of Korean Society for Industrial and Applied Mathematics (KSIAM) 2015, Vol 19(1), 23-45.
  • Mohd Ramli, S.N. & Jang, J., Neumann series on the recursive moments of copula dependent aggregate discounted claims; Published in special edition of Risks: "Application of Stochastic Processes in Insurance". Risks 2014, 2(2), 195-210.
  • Mohd Ramli, S.N. & Jang, J., Capturing Jump Sizes Dependence Structure with Copula – An Application in Corporate Bond Pricing. 2013. Conference Proceedings of the International Conference on Computing, Mathematics & Statistics, Malaysia.
  • Ali, M.N. & Mohd Ramli, S.N., Term Structure Estimation using the Parsimony Methods - the case of Malaysian Bond Market. 2011. Proceedings of the International Seminar on the Application of Science & Mathematics (ISASM).
  • Mohd Ramli, S.N. & Azman Aziz, Z.Z., Creating Optimum Portfolio With REIT: The Case of Malaysian Equity. 2008. Proceedings of 5th NUM-Riau University Bi-Annual Meeting.


University Teaching Experience

  • National University of Malaysia, School of Mathematical Sciences (2015-present)
    Instructor for the first year course Macroeconomics. Lecture, advise students and wrote exams. Also designed the course Stochastic Process for Postgraduate Level.
  • Macquarie University, Sydney, Faculty of Business and Economics (2012-2014)
    Units: Quantitative Asset & Liability Modelling; Microeconomics Analysis; Quantitative Methods for Business & Economics; Financial Techniques, Instruments & Markets. Involved in the preparation and presentation of tutorials, provided students’ consultation hours, invigilated mid semester examinations as well as marking assignments and exam scripts.
  • National University of Malaysia, School of Mathematical Sciences (2007-2010)
    Units taught: Stochastic Processes, Investment, Financial Mathematics, Microeconomics & Macroeconomics. Developed syllabus and the overall course structure, preparation and presentation of lectures. Supervised undergraduate and postgraduate final year projects.


supervisory experience

  • Masters Dissertation. Bond Pricing and Stochastic Yield Curve Generation with Nelsen-Siegel Model (2010). Mohammad Nazri bin Ali, MSc in Mathematics
  • Masters Dissertation. Pricing of Call Warrants in Malaysian Stock Exchange with Vasicek and CIR Short Rate Models (2009). Norul Fadhilah Ismail, MSc in Mathematics
  • Final year project. Demand-based Profit Maximization for Airplane Ticket (2009). Hafrina Hamdi


Awards, Grants and Training

  • Fundamental Research Grant Scheme (2016-2019). Project Leader. Amount: RM75,700. Project Title: Development of Catastrophe Insurance Model using Electromagnetic Fields Approach.
  • Young Researcher Incentive Grant (2016-2018).  Project Leader. Amount: RM45,000. Project Title: Jump Diffusion Model with Copula Dependence Structure in Corporate Bond Pricing.
  • Foundations in Learning and Teaching, Macquarie University (2014)
  • Teaching Induction Program, Macquarie University (2013)
  • MATLAB Fundamentals, Perth (2013)
  • NCI National Facility & INTERSECT: Introduction to National Facility (2012)
  • Merit-based full PhD scholarship by Malaysian Higher Education Ministry (2011 - 2014)
  • Fundamental Research Grant Scheme (2009-2011). Project Leader. Amount: RM30,000. Project Title: Stochastic Calibration and the Feasibility of One factor Short Rate Model in Malaysian Financial Market
  • Research University Operational Fund (2008-2009). Co-Researcher. Amount: RM 150,000
  • Merit-based full scholarship by Permodalan Nasional Berhad, Malaysia to progress through A-Levels, Undergraduate and Postgraduate studies (1998-2005)

Conferences, Invited Talks & Workshops

  • Workshop: Foundations in Teaching & Learning. Delivered to lecturers at UKM School of Mathematical Sciences (2016).
  • Quantitative Methods in Finance (2013). Presentation Title: Neumann Series on the Recursive Moments of Copula Dependent Aggregate Discounted Claims
  • 48th Actuarial Research Conference, Philadelphia, US (2013). Presentation Title: Copula-dependent collateral default intensity and its applications to CDS rate.
  • 7th Bachelier Finance Society World Congress, Sydney (2012). Presentation Title: Application of Mean Reverting Jump Diffusion model with Copula Dependence Structure in Corporate Bond Pricing
  • Higher Degree Research Expo 2011 - 2014, Faculty of Business and Economics, Macquarie University, Sydney
  • Workshop: Stochastic Generation of Yield Curves delivered to Malaysian actuarial practitioners working in Malaysia National Insurance corporation (2007).

Journals Refereed

  • Annals of Actuarial Studies, PLOS ONE, Journal of Quality Measurement and Analysis