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 a copula, as well as the application of stochastic differential equations in funds' strategic asset allocation.
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
Currently teaching Foundations of Economics (Micro & Macro), Forecasting & Time Series Modelling
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).