- share risks between customers
- determine the trade-off between the performance and stability of pension income
- study how to incorporate and manage illiquid assets that can be used to hedge inflation
- establish a framework to analyse the trade-off between the performance and stability of pension income in the proposed products
- determine dynamic econometric models that are suitable for our long-term products
- and determine how the dynamic econometric models can be used to optimally time to buy and sell assets.
This multidisciplinary team is led by Professor Jens Perch Nielson (Cass Business School) and Dr Catherine Donnelly (Heriot-Watt University). The funding supports two PhD students in actuarial science.
Recent news and events
We are delighted to announce that the research team was recently awarded the Bob Alting von Geusau Prize for their paper 'Implementing Individual Savings Decisions for Retirement with Bounds on Wealth'. By Catherine Donnelly, Monserrat Guillen, Jens Perch Nielsen and Ana Maria Perez Marín.
In 2002, AFIR-ERM established The Bob Alting von Geusau Memorial Prize, in honour of its late and long-serving treasurer. The prize was awarded for the first time in 2003 in von Geusau’s home country at the 13th AFIR/ERM Colloquium in Maastricht (Netherlands).
All successful recipients of the Bob Alting von Geusau Prize are listed here.
IFoA Life Conference 2018: Key insights in decumulation strategies
In the confusing environment of pension freedom, the research team took us through the existing knowledge of decumulation strategies, presenting leading ideas and identifying promising areas for future research within the project. View their presentation here.
Thomas Bernhardt and Catherine Donnelly, Heriot-Watt University
ARC Webinar Series: Minimising Longevity and Investment Risk while Optimising Future Pension Plans
Wednesday 03 October 2018
Following the successful launch of last year’s webinar series, the Actuarial Research Centre (ARC) produced a further series of webinars in 2018 to showcase its largest cutting-edge research programmes, addressing some of the significant challenges in actuarial science.
The webinar is presented by one of the Principal Investigators of this research programme, Dr. Catherine Donnelly (Heriot-Watt). By watching this webinar you will learn about the objectives of this research programme and some of the early developments since its commencement in 2016.
Half-day workshop: Decumulation and Investment Return-Sharing: What is the Latest Research?
Thursday 13 September
This workshop covered two topics:
- How to invest your savings during retirement. Industry products are mostly restricted to either life annuity contracts or draw-down with a constant-mix investment strategy. However, many alternative approaches have been explored in scientific papers.
- Investment return-sharing structures in a pension-saving setting. There have been many structures examined in the academic literature. Some of them are stylisations of country-typical participating policies but others are quite unique. The structures and our understanding of them will be discussed.
The latest scientific research was covered for both topics, including new research for the ARC project.
ARC Sessional Research Event: Self-selection and risk sharing in a modern world of life-long annuities
Monday 14 May, Staple Inn Hall, London
In this sessional, Professor Jens Perch Nielsen and his co-authors (from Cass Business School) discussed new solutions to three of the most current and challenging problems in pension research. The three challenges that were addressed are:
1) To make the pension product so easy to understand that the pensioner can self-select the financial risk and design the financial investment strategy within minutes;
2) To design automatic and easy to understand mortality risk-sharing between customers;
3) To create automatic and easy to understand investment guarantee risk-sharing between customers, so that they do not have to pay for their investment guarantee and such that the pension company does not need to issue one.
If you want more information about our research programmes please contact the IFoA Actuarial Research Centre:
Filter or search events
The IFoA’s Actuarial Review Team has published its first thematic review, which looked at the actuarial advice given by scheme actuaries to UK pension scheme trustees on setting transfer values and commutation rates.
IFoA Immediate Past President John Taylor would like to invite you to the Institute and Faculty of Actuaries’ (IFoA) virtual India Town Hall 2021, hosted by John Taylor with IFoA Council Member Mahidhara Davangere and IFoA Chief Executive, Stephen Mann.
What are the options for the world economy looking ahead?
In this Thought Leadership Lecture, Economist, Vicky Pryce, will be discussing world economic trends, including the differences in geographical performance and how output is recovering and where.
Trust and Leadership for Actuaries
Led by Dr. Jim Baxter, University of Leeds, this webinar introduces some key ideas in the ethics of trust, with a particular focus on those in, or on the path to, leadership roles. Dr Baxter is joined by a panel of experienced leaders who will give their personal perspectives on how they understand the value of trust and how they seek to promote and inspire trust, drawing on their experiences of leadership. The panel includes:
In this webinar, we have two presentations showing the latest research on the implications for life and health insurers of two key issues: genomics and pandemic risk.
Dr Peter Joshi and Paul Timmers will share their research on how well-established underwriting processes can allow for genomics in predicting expected mortality and morbidity. They will then discuss the potential for stratified screening and personalised medicine to improve health and reduce claim costs.
As the world’s attention begins to turn to COP26 later this year in Glasgow, Sarah Gordon (Chief Executive, Impact Investing Institute) will share her vision for how the financial services industry can deliver for people and the planet, as well as how to encourage more investment with the intention to generate positive, measurable social and environmental impact alongside a financial return.
IFoA Immediate Past President John Taylor would like to invite you to the Institute and Faculty of Actuaries’ (IFoA) virtual SSA Town Hall 2021, hosted by John Taylor with IFoA Council Members Mukami Njeru, Prosper Matiashe and IFoA Chief Executive, Stephen Mann.
IFoA Immediate Past President John Taylor would like to invite you to the Institute and Faculty of Actuaries’ (IFoA) virtual MENAP Town Hall 2021, hosted by John Taylor and IFoA Chief Executive, Stephen Mann.