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PROF DAVID DICKSON



Contact Details

Organization: Economics
Position: PROFESSOR
Email:
Homepage: http://www.economics.unimelb.edu.au/who/profile.cfm?sid=56
Work: 03 8344 4727
Mobile: 0438 542 844
Fax: 03 8344 6899
Room: 528
Level: 05
Building: Economics And Commerce
Campus: Parkville

Research Expertise and International Linkages

Research Expertise

Research Interest Country of Expertise
Recursive methods in risk theory, Renewal risk processes, Ruin theory Scotland

International Linkages

Country Establishment Collaboration
Canada University of Waterloo Research
United Kingdom Heriot-Watt University, Edinburgh Research

Qualifications, Honours, Fellowships and Other Awards

Qualifications

Title Institution Date Awarded Abbreviation
Bachelor of Science Heriot-Watt University, Edinburgh 31-Dec-1980
Doctor of Philosophy Heriot-Watt University, Edinburgh 31-Dec-1983

Fellowships

Fellowship Date Awarded
Fellow of the Faculty of Actuaries (FFA) 31-Dec-1987
Fellow of the Institute of Actuaries of Australia (FIAA) 31-Dec-1996

Other Awards

Award Type Awarding Body Comments Date Awarded
Prize Institute of Actuaries of Australia H M Jackson Prize 26-Oct-1998
Prize Institute of Actuaries of Australia H M Jackson Prize 27-Feb-2007
Prize Institute of Actuaries Reserach Prize 08-Dec-2003

Government Research Classifications

Research Fields, Courses and Discipline Classifications

Socio-Economic Objective Classifications

Grants and Contracts

Research Grants, Contracts and Consultancies awarded to the University of Melbourne as the administering institution (since 2003) as recorded in Themis Agreements.

Grants

Title Role Funding Source Scheme Award Date
The pricing and risk management of reverse mortgages in the Australian market. Chief Investigator AUST RESEARCH COUNCIL Discovery Projects 01/01/2008

Publications

Publications produced at the University of Melbourne and reported in the Annual Publications Collection and 'Research Report' since 2001. The Themis Publications module, released in November 2006, allows additional publications from previous institutions and publications from past years to be entered.

Publications in 2008

Journal Articles

  • Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
    Year: 2008
    Journal: North American Actuarial Journal
    Volume: 12
    Issue: 3
    Page numbers: 299 - 318
    Author(s):
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  • On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
    Year: 2008
    Journal: Insurance: Mathematics & Economics
    Volume: 42
    Issue: 3
    Page numbers: 1104-1108
    Author(s):
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  • Optimal dividends under reinsurance
    Year: 2008
    Journal: Bulletin of the Swiss Association of Actuaries
    Issue: 2
    Page numbers: 149-166
    Author(s):
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  • Some explicit solutions for the joint density of the time of ruin and the deficit at ruin
    Year: 2008
    Journal: Astin Bulletin
    Volume: 38
    Issue: 1
    Page numbers: 259 - 276
    Author(s):
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Reports

  • Finite time ruin problems for the Erlang(2) risk model
    Year: 2008
    Report No:: 168
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:

Publications in 2007

Journal Articles

  • Discussion of 'On the class of Erlang mixtures with risk theoretic applications'
    Year: 2007
    Journal: North American Actuarial Journal
    Volume: 11
    Issue: 2
    Page numbers: 115-117
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  • Some finite time ruin problems
    Year: 2007
    Journal: Annals of Actuarial Science
    Volume: 2
    Issue: II
    Page numbers: 259-274
    Author(s):
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Reports

  • Some finite time ruin problems

     


    Year: 2007
    Report No:: 153
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model
    Year: 2007
    Report No:: 157
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Optimal dividends under reinsurance
    Year: 2007
    Report No:: 154
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Some explicit solutions for the joint density of the time of ruin and the deficit at ruin
    Year: 2007
    Report No:: 150
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:

Publications in 2006

Journal Articles

  • Discussion of Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under the Sparee Anderson model
    Year: 2006
    Journal: North American Actuarial Journal
    Volume: 10
    Issue: 1
    Page numbers: 111-112
    Author(s):
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  • Optimal dividends under a ruin probability constraint
    Year: 2006
    Journal: Annals of Actuarial Science
    Volume: 1
    Issue: 2
    Page numbers: 291-306
    Author(s):
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  • Optimal dynamic reinsurance
    Year: 2006
    Journal: Astin Bulletin
    Volume: 36
    Issue: 2
    Page numbers: 415-432
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  • Premiums and reserves for life insurance products
    Year: 2006
    Journal: Australian Actuarial Journal
    Volume: 12
    Issue: 2
    Page numbers: 259 - 279
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  • The maximum surplus before ruin in an Erlang(n) risk process and related problems
    Year: 2006
    Journal: Insurance: Mathematics & Economics
    Volume: 38
    Issue: 3
    Page numbers: 529 - 539
    Author(s):
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Reports

  • Optimal dynamic reinsurance
    Year: 2006
    Report No:: 129
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:

Publications in 2005

Books

  • Insurance risk and ruin
    Translator(s):
    Publisher: Cambridge University Press(Cambridge)

Journal Articles

  • On the distribution of the deficit at ruin when claims are phase-type
    Year: 2005
    Journal: Scandinavian Actuarial Journal
    Volume: 2004
    Issue: 2
    Page numbers: 105-120
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  • The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
    Year: 2005
    Journal: Scandinavian Actuarial Journal
    Volume: 2005
    Issue: 5
    Page numbers: 358-376
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  • The density of the time to ruin in the classical Poisson risk model
    Year: 2005
    Journal: Astin Bulletin
    Volume: 35
    Issue: 1
    Page numbers: 45-60
    Publisher: Peeters
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Reports

Publications in 2004

Books

  • Insurance risk and ruin
    Year: 2004
    Publisher: Cambridge University Press(Cambridge)
    Authors(s):

Journal Articles

  • On the distribution of the deficit at ruin when claims are phase-type
    Year: 2004
    Journal: Scandinavian Actuarial Journal
    Volume: 2004
    Issue: 2
    Page numbers: 105-120
    Publisher: Taylor & Francis Ltd
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  • Ruin probabilities with a Markov chain interest model
    Year: 2004
    Journal: Insurance: Mathematics & Economics
    Volume: 35
    Issue: 3
    Page numbers: 513-525
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  • Some optimal dividends problems
    Year: 2004
    Journal: Astin Bulletin
    Volume: 34
    Issue: 1
    Page numbers: 49-74
    Publisher: Peeters
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  • The deficit at ruin in the stationary renewal risk model
    Year: 2004
    Journal: Scandinavian Actuarial Journal
    Volume: 2004
    Issue: 4
    Page numbers: 241-255
    Publisher: Taylor & Francis Ltd
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  • The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models
    Year: 2004
    Journal: Insurance: Mathematics & Economics
    Volume: 34
    Issue: 1
    Page numbers: 97-107
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Major Reference Works

  • Encyclopedia of actuarial science:Dividends
    Year: 2004
    Reference Work Title: Encyclopedia of actuarial science
    Publisher: John Wiley & Sons(Chichester)
    Author(s):
  • Encyclopedia of actuarial science:Proportional reinsurance
    Year: 2004
    Reference Work Title: Encyclopedia of actuarial science
    Publisher: John Wiley & Sons(Chichester)
    Author(s):
  • Encyclopedia of actuarial science:Quota-share reinsurance
    Year: 2004
    Reference Work Title: Encyclopedia of actuarial science
    Publisher: John Wiley & Sons(Chichester)
    Author(s):
  • Encyclopedia of actuarial science:Risk process
    Year: 2004
    Reference Work Title: Encyclopedia of actuarial science
    Publisher: John Wiley & Sons(Chichester)
    Author(s):

Reports

Publications in 2003

Journal Articles

  • Initial capital and margins required to secure a Japanese life insurance policy portfolio under variable interest rates
    Year: 2003
    Journal: Australian Actuarial Journal
    Volume: 9
    Issue: 2
    Page numbers: 251-289
    Publisher: The Institute of Actuaries of Australia(Sydney)
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  • The Gerber-Shiu discounted penalty function in the stationary renewal risk model
    Year: 2003
    Journal: Insurance: Mathematics & Economics
    Volume: 32
    Issue: 3
    Page numbers: 403-411
    Publisher: Elsevier Science(Amsterdam)
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  • Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest
    Year: 2003
    Journal: Insurance: Mathematics & Economics
    Volume: 32
    Issue: 1
    Page numbers: 61-71
    Publisher: Elsevier Science(Amsterdam)
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Reports

Publications in 2002

Journal Articles

  • A note on the maximum severity of ruin and related problems
    Year: 2002
    Journal: Australian Actuarial Journal
    Volume: 8
    Issue: 2
    Page numbers: 239-260
    Publisher: The Institute of Actuaries of Australia(Sydney)
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  • On the expected discounted penalty function at ruin of a surplus process with interest
    Year: 2002
    Journal: Insurance: Mathematics & Economics
    Volume: 30
    Issue: 3
    Page numbers: 389-404
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  • Review of introductory statistics with applications in general insurance
    Year: 2002
    Journal: British Actuarial Journal
    Volume: 8
    Issue: 1
    Page numbers: 195
    Publisher: Institute of Actuaries
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  • The distribution of the time to ruin in the classical risk model
    Year: 2002
    Journal: Astin Bulletin
    Volume: 32
    Issue: 2
    Page numbers: 299-313
    Publisher: Peeters
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Reports

  • A note on the maximum severity of ruin and related problems
    Year: 2002
    Report No:: 96
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
    URL - open access http://eprints.infodiv.unimelb.edu.au/archive/00000105/
  • Initial capital and margins required to secure a Japanese life insurance portfolio under variable interest rates
    Year: 2002
    Customer:
    Report No:: 103
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Ruin probabilities with a Markov chain interest model
    Year: 2002
    Report No:: 101
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
    URL - open access http://eprints.infodiv.unimelb.edu.au/archive/00000151/
  • The Gerber-Shiu discounted penalty function in the stationary renewal risk model
    Year: 2002
    Customer:
    Report No:: 102
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • The deficit at ruin in the stationary renewal risk model
    Year: 2002
    Customer:
    Report No:: 99
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • The distribution of time to ruin in the classical risk model
    Year: 2002
    Customer:
    Report No:: 95
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Upper bounds for ultimate ruin probabilities in a Sparre Anderson model with interest
    Year: 2002
    Report No:: 97
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
    URL - open access http://eprints.infodiv.unimelb.edu.au/archive/00000153/

Publications in 2001

Journal Articles

  • Comparison of methods for evaluation of the convolution of two compound R1 distributions
    Year: 2001
    Journal: Scandinavian Actuarial Journal
    Volume: 2001
    Issue: 1
    Page numbers: 40-54
    Publisher: Taylor & Francis Ltd
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  • Modern landmarks in actuarial science
    Year: 2001
    Journal: Australian Actuarial Journal
    Volume: 7
    Issue: 1
    Page numbers: 217-245
    Publisher: The Institute of Actuaries of Australia(Sydney)
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  • On the time to ruin for Erlang(2) risk processes
    Year: 2001
    Journal: Insurance: Mathematics & Economics
    Volume: 29
    Issue: 3
    Page numbers: 333-344
    Publisher: Elsevier Science(Amsterdam)
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Reports

  • On the distribution of the deficit at ruin when claims are phase-type.
    Year: 2001
    Customer: Centre for Actuarial Studies, The University of Melbourne
    Report No:: 89
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • On the expected discounted penalty function at ruin of a surplus process with interest.
    Year: 2001
    Customer: Centre for Actuarial Studies, The University of Melbourne
    Report No:: 91
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
    URL - open access http://eprints.infodiv.unimelb.edu.au/archive/00000156/
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