2008

Smooth models of mortality with period shocks / J G Kirkby, I D Currie, 2008
Smoothing over-parameterized regression models with applications to mortality data / I D Currie, 2008-10-17
Mortality: the shocking truth / I D Currie. Paper presented to the Actuarial Teaching and Research Conference, 2008
Modelling shocks software. Programmed in R. Zip file / I D Currie. This software was developed by the researchers, and they have sole responsibility for its content.

Applicant: Dr Iain Currie - Heriot-Watt University
Award: £7,169

Including count data in claims reserving / Anders Jessen, Richard Verrall, Jens Perch Nielsen, 2007
Claims reserving including count data / Anders Jessen, Richard Verrall, Jens Perch Nielsen. Paper presented to the 2007 General Insurance Convention
Applicants: Professor Richard Verrall - Cass Business School
Award: £18,000

2007

The impact of medical advances and lifestyle on mortality / Tushar Chatterjee, Angus Macdonald, Catriona Macdonald, Edward Roche and Howard Waters. Paper presented to the Faculty of Actuaries, 14 January 2008
Applicants: Professor Angus Macdonald - Heriot-Watt University
Award: £4,768

Modelling the short-term dependence between two remaining lifetimes of a couple / Jaap Spreeuw and Xu Wang, 2008
Applicants: Dr Jaap Spreeuw - Cass Business School
Award: £9,941

2006

Individual claim loss reserving conditioned by case estimates / Greg Taylor, Gráinne McGuire and James Sullivan, 2006
Applicants: Greg Taylor, Grainne McGuire, James Sullivan
Award: £15,000

2005

Consumption processes and positively homogeneous projection properties / Tom Fischer, 2007
Presentation
Applicant: Tom Fischer – Heriot-Watt University

Pricing and capital requirements for with profit contracts: modelling considerations / Laura Ballotta, 2006
Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk / Laura Ballotta, Giorgia Esposito and Steven Haberman, 2006. - Actuarial Research Paper No. 176
Applicants: Laura Ballotta
Award: £15,000

Minding the money: carers and the management of financial assets in later life. Report of a scoping study / Hilary Arksey, Anne Corden, Caroline Glendinning and Michael Hirst, 2006
Summary
Applicants: Professor Caroline Glendinning, Dr Hilary Arksey, Dr Michael Hirst, Anne Corden
Award: £14,998

Extensions to investigation of the influence of socio-economic status on morbidity status for dread and chronic diseases
The chronic disease burden : An analysis of health risks and health care usage / Joanne Alder, Leslie Mayhew, Simon Moody, Richard Morris and Rajeev Shah, 2005
Applicant: Les Mayhew
Award: £5,500

Life-cycle saving models in DC pension plans: inferring attitudes to risk through behavioural finance
Intertemporal Dynamic Asset Allocation for Defined Contribution Pension Schemes / David Blake, Douglas Wright and Yumeng Zhang, 2007. - Actuarial Research Paper No. 183
Applicant: Douglas Wright
Award: £15,000

2004

Employee Saving and Investment Decisions in Defined Contribution Pension Plans: Survey Evidence from the UK / Alistair Byrne
Applicant: Alistair Byrne
Award: £4,500

Analysis of the costs of medical interventions in Alzheimer's Disease as they affect Long-Term Care / Gareth Colgan, 2006
Alzheimer's Disease and Long Term Care: a case study
Presentation
Applicants: Gareth Colgan, Angus Macdonald and Delme Pritchard
Award: £5,000

An investigative study on current practice of estimating the loss of earnings in personal injury claims in England and Wales. The Ogden Tables and contingencies other than mortality / Richard Verrall, Steven Haberman and Zoltan Butt, 2005
Presentation
Applicants: Richard Verrall and Steven Haberman
Award: £10,000

The chronic disease burden - an analysis of health risks and health care usage / J Alder, L Mayhew, . Moody, R Morris, R Shah, 2005
Applicants: Les Mayhew and Richard Verrall
Award: £14,000

The importance of year of birth in two-dimensional mortality data / S J Richards, J G Kirkby and I D Currie. - Presented to the Institute of Actuaries on 24 October 2005.
CMI Working Paper 15 Projecting future mortality: Towards a proposal for a stochastic methodology
Generalized linear array models with applications to multidimensional smoothing / I D Currie, M Durban, P H C Eilers
Applicant: Iain Currie
Award: £2,500

Healthy Life Expectancy Measurement in Scotland / Angus Macdonald, Jennifer Straughn and Matt Sutton
Applicant: Angus Macdonald
Award: £15,000

2003

Consumer understanding of risk research project - second phase / Ivaylo Vlaev and Nick Chater
Applicant: Nick Chater
Award: £15,000

Modelling and forecasting of mortality rates - Workshop
(See 2004 results also)
Applicant: Iain Currie
Award: £2,500

New roles and relationships between actuaries and auditors in UK insurance supervision.
Paper to be published in International Journal of Public Policy, late 2008/early 2009.
Applicant: Ian Dewing
Award: £3,500

International comparative study of mortality tables for pension fund retirees
Mortality assumptions used in the calculation of company pension liabilities in the EU
Applicant: Steven Haberman
Award: £7,500

How long do people expect to live? Results and implications / Chris O'Brien, Paul Fenn and Stephen Diacon. - CRIS research report 2005-1, 2005
Summary
Applicant: Chris O'Brien
Award: £15,000

Investigating the Market Potential for Customised Long-Term Care Insurance Products / Martin Karlsson, Les Mayhew and Ben Rickayzen. - Actuarial Research Paper no 174, 2006
Applicant: Ben Rickayzen
Award: £15,000

Prepared for Retirement? The Adequacy and Distribution of Retirement Resources in England / James Banks, Carl Emmerson, Zoe Oldfield and Gemma Tetlow, 2005
Applicant: J Banks
Award: £10,000

2002

Coherent risk measures: context and applications [available for loan, please contact the library, quoting ref. RKN 33382]
Applicant: Evangelia Desli
Award: £9,400

An international comparison of long-term care arrangements / Martin Karlsson, Les Mayhew, Robert Plumb, Ben Rickayzen. - Actuarial Research Paper no 156, 2004
Applicant: Les Mayhew
Award: £13,000

Ex-post analysis of reserving decisions in UK general insurance businesses:
How accurate are the disclosed pensions of UK General Insurance? / SR Diacon, PT Fenn, C O'Brien, 2003
Applicant: Chris O'Brien
Award: £6,880

The estimation of risks of investment of company's pension fund in its own securities / Semyen Spivak and Ravil Akhtyamov, 2003
Applicant: Semyen Spivak
Award: £10,200

Consumer risk
Applicant: N Chater
Award: £20,000

Actuarial curve fitting
Applicant: Richard Verrall
Award: £12,650

2001

Lease terms, option pricing and the financial characteristics of property / AT Adams, PM Booth, BD MacGregor, BAJ Vol. 9, part 3 (2003), p 619-635
[requires member login]
Applicant: Philip Booth
Award: £11,500

Risk equalisation in Irish private health insurance
Applicant: Gareth Colgan
Award: £5,000

New approaches to annuitisation: optimal asset allocation strategies in defined contribution pensions post-retirement and comparisons with investment-linked annuities
The management of decumulation risks in a defined contribution pension plan / Russel Gerrard, Steve Haberman, Elena Vigna. - NAAJ Vol. 10 (1) 2006, p 84-110
Optimal investment choices post-retirement in a defined contribution pension scheme / Russel Gerrard, Steve Haberman, Elena Vigna. - Insurance: Mathematics & Economics Vol. 35(2) 2004, p. 321-342 [available for loan, please contact the library, quoting ref. RKN34734]
Applicant: Steven Haberman
Award: £7,500

Incorporating risk in the analysis of PFI/PPP projects
Applicant: W Rodney
Award: £12,500

Compilation of a database of UK gilt prices
Database
Applicant: David Wilkie
Award: £4,350

2000

Bayesian networks for classification in insurance
[Since more extensive research was published before publication, an article was not produced.]
Presentation
Summary
Applicant: Robert Cowell
Award: £11,000

Modelling risk by postcode area in general insurance: further research including the consideration of extreme events
Applicants: M J Dixon and Richard Verrall
Award: £11,500

Penalised goodness of fit functions for inference
Local versus global models for classification problems: fitting models where it matters / David Hand and Veronica Vinciotti, 2003
Choosing k for two-class nearest neighbour classifiers with unbalanced classes / David Hand and Veronica Vinciotti, 2002
Applicants: David Hand and V Vinciotti
Award: £6,500

A stochastic approach to risk management and decision making in defined benefit pension schemes / Steve Haberman et al. - BAJ Vol 9 part 3 (2003), p. 493-586
[requires member login]
Applicant: Steven Haberman
Award: £7,440

Interest rate modelling using genetic programming
[paper not completed yet]
Applicant: Gerard Kennedy
Award: £10,000

Asset-liability matching in complete and incomplete market situations
Applicant: Rajas K Parchure
Award: £5,000

Reserving, pricing and hedging for policies with guaranteed annuity options / A D Wilkie, H R Waters and S Yang. - BAJ 9 (2) 2003, p. 263-425
Applicants: Sheauwen Yang, Howard Waters and David Wilkie
Award: £8,180

General Insurance Working Parties
Applicant: General Insurance Board
Award: £1,000

1999

The regulation of Occupational pension schemes in the EU and USA / Deborah Cooper
Applicant: Deborah Cooper
Award: £11,400

Rating by Postcode Area in General Insurance
Applicants: M J Dixon and Richard Verrall
Award: £11,400

An assessment of the suitability of the MFR using deterministic and stochastic scenario testing techniques
Applicants: Ian Wright, Steven Haberman and Zaki Khorasanee
Award: £11,400

Financial companies in the stock market, 1825-1962: a quantitative study
Applicants: C Green and P Maggioni
Award: £4,000

An integrated approach to aspects of the Wilkie Model
Applicants: David Wilkie, M Omram and Angus Macdonald
Award: £10,000

Charting the frontier between actuarial science and mathematical finance [available for loan, please contact the library, quoting ref. RKN38664]
Applicants: Saul Jacka, J E Kennedy and Henry Wynn
Award: £9,202

General Insurance Working Parties
Applicant: General Insurance Board
Award: £2,000

1998

Frailty models and the age and time dynamics of mortality
Applicant: Steven Haberman
Award: £9,000

An investigation of the solvency risks of insurers with health insurance liabilities specifically PHI using a stochastic simulation approach
Applicants: Robert Chadburn, Ben Rickayzen and Steven Haberman
Award: £9,000

Development of market valuation techniques for pension funds
Applicant: Andrew Cairns
Award: £9,000

Actuarial applications of econometric tools
Applicant: Shane Whelan
Award: £4,000

General Insurance Working Parties
Applicant: General Insurance Board
Award: £1,000

1997

Underwriting and Alzheimer’s disease
Applicants: Angus Macdonald and Howard Waters
Award: £10,000

Designing a practical model to examine long-term costs in Great Britain
Applicants: Ben Rickayzen, Steven Haberman and Philip Booth
Award: £8,000

Applying actuarial techniques to the valuation of implicit options in freehold property
Applicants: Philip Booth and Russell Gerrard
Award: £8,500

Testing the sensitivity of model life office simulation results to variations in asset model structure
Applicants: Robert Chadburn and Paul Huber
Award: £7,000

Improvements in mortality at higher ages: prospects and financial implications
Applicants: Guy Thomas, Judith Presnell and N G Rhodes
This project did not progress to a paper. Preliminary thoughts are published in The limits of human longevity. The Actuary, July 1997, p. 20-21
Award: £5,000

To investigate the analysis of claims on an individual claim basis, using Bayesian methods
Applicant: Richard Verrall
Award: £5,500

The construction of international bond yield indices
Applicant: Andrew Cairns
Award: £6,000

1996

Investment strategy for defined contribution pension schemes
Applicant: Zaki Khorasanee
Award: £10,000

Optimal funding of defined benefit pension schemes
Applicant: Steven Haberman
Award: £10,000

Non-linear time series models for actuarial use
Applicants: Guy Thomas and Howell Tong
Award: £7,480

Statistical analysis of individual offices PHI data and some financial consequences of these analyses
Applicants: Howard Waters, Athol Korabinski and Ian Currie
Award: £7,000

The management of risks in banking / JN Allan, PM Booth, RJ Verrall, DEP Walsh. - BAJ 4 (1998) part 4, p 707-802
Applicants: Philip Booth, Richard Verrall and Ian Allan
Award: £7,000

1995

Investigation of models for the term structure of interest rates
Published in: A multifactor, equilibrium model for the term structure and inflation [pdf]
Applicant: Andrew Cairns
Award: £6,000

Reducing the resilience reserve of a life office
Applicants: Gerard Kennedy and M Kerr
Award: £3,000