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Find an ExpertProfiling the University of Melbourne's Researchers

PROF DANIEL DUFRESNE



Contact Details

Organization: Economics
Position: CHAIR IN ACTUARIAL STUDIES
Email:
Homepage: http://www.economics.unimelb.edu.au/who/profile.cfm?sid=15
Work: 8344 5324
Fax: 8344 6899
Room: 529
Level: 05
Building: Economics And Commerce
Campus: Parkville

Research Expertise and International Linkages

Research Expertise

Research Interest Country of Expertise
Financial mathematics, actuarial science, probability theory Australia

International Linkages

Country Establishment Collaboration
France Universite Pierre et Marie Curie (Paris VI) Research

Qualifications, Honours, Fellowships and Other Awards

Qualifications

Title Institution Date Awarded Abbreviation
Doctor of Philosophy City University 31-Dec-1986
Bachelor of Science Mathematics University of Montreal 31-Dec-1981

Memberships

Membership Type Membership Body Description Start Date End Date
Member Society of Actuaries Fellow (FSA) 05-Jan-2000

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
Understanding cycles in mineral commodity price, a market model with uncertainty Chief Investigator AUST RESEARCH COUNCIL,
BHP BILLITON NICKEL WEST		 Linkage Projects (AUST RESEARCH COUNCIL) 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

Conference Publications/Papers

  • Discounted Claims in a Renewal Risk Model
    Year: 2008
    Event name: Actuarial Research Conference
    Conference Publication: Actuarial Research Conference
    Page numbers: 1-6
    Publisher: Society of Actuaries
    Author(s):
  • Sums of Lognormals
    Year: 2008
    Event name: Actuarial Research Conference
    Conference Publication: Actuarial Research Conference
    Page numbers: 1-6
    Publisher: Society of Actuaries
    Author(s):

Publications in 2007

Journal Articles

  • Fitting combinations of exponentials to probability distributions
    Year: 2007
    Journal: Applied Stochastic Models in Business and Industry
    Volume: 23
    Issue: 1
    Page numbers: 23-48
    Author(s):
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  • Fourier inversion formulas in option pricing and insurance
    Year: 2007
    Journal: Methodology and Computing in Applied Probability
    Volume: 10
    Page numbers: 1-32
    Author(s):
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  • Stochastic Life Annuities
    Year: 2007
    Journal: North American Actuarial Journal
    Volume: 11
    Issue: 1
    Page numbers: 136-157
    Author(s):
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Reports

  • Beta products with complex parameters
    Year: 2007
    Report No:: 164
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:

Publications in 2005

Book Chapters

  • Bessel processes and Asian options
    Year: 2005
    Book: Numerical methods in finance
    Publisher: Springer(Philadelphia)
    Authors(s):

Reports

Publications in 2004

Journal Articles

  • The log-normal approximation in financial and other computations
    Year: 2004
    Journal: Advances in Applied Probability
    Volume: 36
    Issue: 3
    Page numbers: 747-773
    Publisher: Applied Probability Trust
    Author(s):
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Reports

Publications in 2002

Journal Articles

  • The stochastic-volatility American put option of banks' credit line commitments
    Year: 2002
    Journal: International Review of Financial Analysis
    Volume: 107
    Page numbers: 159-181
    Author(s):
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Conference Publications/Papers

  • Banks' regulatory capital requirement: pricing the credit risk of short-term loan commitments
    Year: 2002
    Event name: Regulation and Deregulation of Financial Markets Conference
    Conference Publication: Proceedings of the Symposium: Regulation and Deregulation of Financial Markets Conference
    Page numbers: 243-262
    Publisher: Springer Verlag
    Author(s):

Reports

Publications in 2001

Journal Articles

  • An affine property of the reciprocal Asian process
    Year: 2001
    Journal: Osaka Journal of Mathematics
    Volume: 38
    Page numbers: 379-381
    Author(s):
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  • On a general class of risk models
    Year: 2001
    Journal: Australian Actuarial Journal
    Volume: 7
    Page numbers: 755-791
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  • Pension funding with moving average rates of return
    Year: 2001
    Journal: Scandinavian Actuarial Journal
    Volume: 101
    Page numbers: 1-17
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  • Some thoughts on the pricing of insurance liabilities
    Year: 2001
    Journal: Magazine of the Actuarial Students' National Association
    Volume: 2001
    Page numbers: 12-14
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  • The integral of geometric Brownian motion
    Year: 2001
    Journal: Advances in Applied Probability
    Volume: 33
    Page numbers: 223-241
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