University research

This page gives:

• An overview of some projects that have received funding
• University research contacts

Projects awarded funding (up to 2008):

Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view - grant awarded of £12,575 - On-going (grant awarded 2008)

Membership
Chair: Professor Vytaras Brazauskas - University of Wisconsin-Milwaukee

Aims and objectives
The aim of the project is to develop modern methodological tools for fitting of the Generalized Pareto Distribution (GPD), a widely applicable model, and investigate the impact of the fits on risk measuring and risk modelling applications. In particular, the effects on estimation of such risk measures as Value-at-Risk and Conditional Tail Expectations will be examined theoretically, via Monte Carlo simulations, and via real-data investigations.

Expected outcome
Expected outcomes are:
(a) to present results at two actuarial conferences (e.g., IME Congress, ASTIN Colloquium),
(b) to publish two papers in leading actuarial journals (e.g., Annals of Actuarial Science, IME).

IFS Retirement Saving Consortium - grant awarded of £25,000 - On-going (grant awarded 2008)

Membership
Chair: Carl Emmerson - Deputy Director, The Institute for Fiscal Studies
Other members:
Paul Johnson - FSA, Professor James Banks - Deputy Research Director - The Institute for Fiscal Studies

Aims and objectives
A consortium of organisations including the Institute of Actuaries funded a programme of work on pensions at the IFS over the period January 2004 to December 2006. Since then the policy agenda has moved on considerably but there are still considerable gaps in what is known about levels of saving and retirement provision across the life cycle. More recently data resources are becoming available which, taken together, will allow us to answer important questions about the nature of both pension and non-pension saving across all stages of the lifecycle. Example questions to be researched are:
How do saving rates and wealth accumulation change over the lifecycle, and how have these patterns changed in recent years?
What is the relationship between peoples lifetime earnings and their retirement incomes and what factors are associated with high ratios of the latter to the former?
How many people might be affected by the move to Personal Accounts, and what are the characteristics of both them and their employers?
How have recent trends in the overall value of pension provision differed between public and private sectors and how might such differences be expected to impact on retirement and savings outcomes?

Expected outcome
The Actuarial Profession is continuing its membership of the consortium to fund and guide IFS research focussing on addressing the above four questions with an aim for output in 2010 and to gain:
Chance to influence the work of this leading team of researchers
Access to early results from a highly important work programme
The chance to reflect on policy implications with other senior industry and government officials.

RAMP - Social/environmental aspects of major projects –Ongoing (project started September 2008)

Contact: Alison Brown, Institute of Civil Engineers 

Aims and objectives :  

(a)   To identify and understand current practice regarding the methods used to take social and environmental considerations into account when appraising major projects in the UK and overseas;

(b)   To identify and develop a “best practice appraisal framework” which incorporates the financial results and the social/environmental costs and benefits (taking account of risk).

One of the inputs will be the valuable work which has been undertaken by Engineers against Poverty, an organisation which has studied these matters in relation to projects round the world.   Actuaries will be able to make an important contribution, applying their skills on risk and finance to develop the methodology. A key part of the work will be to find suitable ways of expressing social and environmental considerations and risks in financial terms, so that they can be taken into account in investment models. Some social/environmental considerations may be capable of evaluation in fairly precise terms, in which case the resulting hypothetical cash flows could be fed into a “net present value” model in the normal way (possibly with an adjustment to the discount rate), whereas other considerations may be much less certain and require vision and the analysis of alternative possible scenarios. For some risks the degree of uncertainty and the possible adverse consequences may be so great that the risks need to be managed in accordance with the precautionary principle. It will also be necessary to consider the possible development of principles for dealing with conflicts of interest.     

Expected Outcome 

There will be three principal outputs from the research:

• A published select bibliography
• A report on the views of the interviewees
• Additions to the RAMP framework, showing how social/environmental considerations can be taken into account in project appraisal and risk management, including in particular the quantification of such considerations in financial terms where appropriate.

The overall budget is £50,000, to be financed equally by the Institution of Civil Engineers (ICE) and the actuarial profession, i.e. £25,000 each.    

University Research  Contacts  

Details of actuarial research activities in the following universities can be obtained from the addresses given.

Dr Vladimir Kaishev
Faculty of Actuarial Science and Insurance, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ
v.kaishev@city.ac.uk
The Faculty's research interests include: Dynamic Mortality Modelling, Lee-Carter Modelling; Mortality Projection and Related Studies; Ogden Tables and Personal Injury Compensation Modelling; Competing Risk Models in Life Insurance; Health Insurance and Health Care Systems; Dependence Modelling in Life Insurance; Copulas and other Dependent Risk Models; Stochastic Reserving in General Insurance; Risk and Ruin Theory; Solvency, Risk Measures and Capital Allocation; Operational Risk Modelling; Optimal Reinsurance; Spline-Functions in Actuarial Science and Statistics; Stochastic Pension Fund Modelling; Option Pricing Methods in Finance and Life Insurance; Optimal Control of DC and DB Pension Plans; Pricing of General Insurance in Competitive Markets; Probabilistic Networks in Forensic Science, DNA Mixture Separation Models.

Dr Shane Whelan
Department of Statistics and Actuarial Science, University College Dublin, Belfield, Dublin 4, Ireland
shane.whelan@ucd.ie
The Department's research interests are capital market asset pricing, pension fund investment strategy, mortality and morbidity, and actuarial science in general.

Professor Andrew Cairns
Department of Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences, Colin Maclaurin Building, Heriot-Watt University, Riccarton, Edinburgh EH14 4AS
A.Cairns@ma.hw.ac.uk
The School's research activities include: Quantitative Risk Management, Copulas, Credit Risk, Modelling and Management of Longevity Risk, Life Assurance Solvency, Life Office Modelling, Genetics and Insurance, Stochastic Pension Fund Modelling, Income Protection Insurance, Risk Theory, Model Uncertainty, Financial Risk Management, Derivative Pricing and Hedging, Asset Liability Modelling, Interest Rate Modelling, Finance and Insurance Interface.

Dr Nick Heard
Department of Mathematics, Huxley Building, Imperial College London, 180 Queen's Gate, London SW7 2BZ
n.heard@imperial.ac.uk
The Department's research contribution is mainly under Professor David Hand. He has been collaborating with Dr Chris Holmes and Dr Alex Pintore of Oxford, on a project with the overall title of "Modern statistical approaches to increment/decrement models" funded by the EPSRC and the Institute of Actuaries under the "Quantitative Finance, 3rd Round: Analytic tools for the actuary of the future initiative". This work has led to several significant extensions to the Lee-Carter approach to modelling and forecasting mortality. Several papers are currently in preparation.
Professor Hand received a joint grant from the EPSRC, the ESRC, and the Institute of Actuaries to run the "Quantitative Financial Risk Management Centre" from Imperial College's new Institute for Mathematical Sciences. The Centre is a consortium involving Imperial College, Southampton University, and Edinburgh University, and is focussed on risk management in the personal financial services sector. Centre website

Christopher O'Brien
Director, Centre for Risk and Insurance Studies, Nottingham University Business School, Jubilee Campus, Wollaton Road, Nottingham NG8 1BB
Christopher.O'brien@nottingham.ac.uk
The Centre undertakes research on life and non-life insurance, pensions and risk management.
In particular, they do research on the economics of insurance and the operation of insurance markets; risk and risk management generally; financial regulation; risk in financial institutions; pensions; risk and accounting. They run the UK Insurance Economists' conference around Easter and hold a seminar in London in the autumn.
For further information about activities see:
CRIS Homepage
CRIS Discussion Papers Series
CRIS Research reports and other papers

Professor Michael Sherris
School of Actuarial Studies, Faculty of Business (incorporating AGSM), The University of New South Wales, UNSW, Sydney, 2052, Australia
m.sherris@unsw.edu.au
The Faculty's research interests are in the areas of risk management and modelling including optimal control, pricing, capital, investment strategy, incomplete markets, frictional costs, insurance market model assumptions, dependence, economic models (supply/demand), risk management, economic valuation, credit risk, and retirement and health including de-cumulation, product design.
Research working papers
Annual UNSW Actuarial Research Symposium, 31 October 2008

Professor Rob Thomson
School of Statistics and Actuarial Science, University of the Witwatersrand, Private Bag 3, WITS 2050, SOUTH AFRICA
rthomson@icon.co.za
My current research interests are: the pricing of liabilities of long-term financial institutions; the stochastic modelling of the assets and liabilities of such institutions; and burial societies in South Africa.

Dr Susan Pitts
Statistical Laboratory, Centre for Mathematical Sciences, University of Cambridge, Wilberforce Road, Cambridge CB3 0WB
S.Pitts@statslab.cam.ac.uk

Professor Ken Shackleton
Department of Accounting & Finance, 65-73 Southpark Avenue, University of Glasgow, Glasgow G12 8LE
K.Shackleton@accfin.gla.ac.uk

Andrew James
Institute of Mathematics, Statistics and Actuarial Science, Cornwallis Building, University of Kent, Canterbury, Kent CT2 7NF
a.james@kent.ac.uk

Professor Lane Hughston
Department of Mathematics, King's College London, The Strand, London WC2R 2LS
lane.hughston@kcl.ac.uk

Dr Pauline Barrieu/Dr Angelos Dassios
London School of Economics and Political Science, Houghton Street, London WC2A 2AE
P.M.Barrieu@lse.ac.uk
A.Dassios@lse.ac.uk

Dr Mary Lunn/Dr Matthias Winkel
Department of Statistics, University of Oxford, 1 South Parks Road, Oxford OX1 3TG
mlunn@stats.ox.ac.uk winkel@stats.ox.ac.uk

Dr Douglas Andrews
School of Mathematics, University of Southampton, Southampton SO17 1BJ
da1s07@soton.ac.uk

Professor Mary Hardy
Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario N2L 3G1, CANADA
mrhardy@uwaterloo.ca