1. Professor Stefan Trueck
Centre for Financial Risks
Faculty of Business and Economics,
Sydney NSW 2109, Australia
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 the application of stochastic differential equations in funds' strategic asset allocation.
Additionally, I am currently a Level II CFA candidate.
Thesis: Modeling Multivariate Dependence Structures in Insurance and Credit Risk via Copulas
Dissertation: An Application of Poisson Ornstein-Uhlenbeck Process in Pension Fund Risk Management
6 papers (CT level) available for exemptions from the Faculty and Institute of Actuaries
Jang, J. & Mohd Ramli S.N., Hierarchical Markov model in life insurance and social benefit scheme. Risks 2018, 6(3), 63.
Mohd Ramli S.N., Mohamed Rozali N.A., Syed Yusoff Alhabshi S.F. Hashim, I. Laplace transform on the recursive moments of copula-dependent aggregate discounted claims. 2018. Proceeding of the 25th National Symposium on Mathematical Sciences (SKSM25).
Workshop: Stochastic Generation of Yield Curves delivered to Malaysian actuarial practitioners working in Malaysia National Insurance corporation (2007).