This research consortium is made up of academics and industry experts from across the globe

Principal Investigator

  • Professor Andrew Cairns - Heriot-Watt University

Co-investigators

  • Torsten Kleinow - Heriot-Watt University
  • Angus Macdonald - Heriot-Watt University
  • George Streftaris - Heriot-Watt University
  • Erengul Dodd - Southampton University
  • David Blake - Cass Business School, City University London
  • Kevin Dowd - Retired Professor of Economics and Independent Consultant
  • Michel Vellekoop - Faculty of Economics and Business, University of Amsterdam 
  • Malene Kallestrup-Lamb - Department of Economics and Business Economics, Aarhus University, Denmark
  • Ian Duncan - University of California, Santa Barbara
  • Stephen Richards - Longevitas Ltd.
  • Liang Chen - University College Cork

Research Team Biographies

Andrew Cairns is Professor of Financial Mathematics at Heriot-Watt University. His research broadly concerns quantitative risk management of pension plans and life insurers including model and parameter risk. He has published extensively on asset strategies for pension plans, interest rate modelling and modelling and management of longevity risk, and many of his papers rank amongst the most highly cited in actuarial science. He is passionate about deriving industry impact from his research, and has a strong track record of impact as evidenced in Heriot-Watt’s 2013 Research Excellence Framework (REF) submission.

Torsten Kleinow is associate professor in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. His main research interests are stochastic mortality models and the valuation and management of long term saving products with embedded options. He has published a number of papers on With-Profits contracts and collective pension schemes including the risk management of annuities when interest rates and mortality rates are stochastic. He also developed a multi-population mortality model. He has supervised PhD students working on economic modelling, risk management and risk capital allocation as well as mortality modelling.

Angus Macdonald graduated in Mathematics from Glasgow University, subsequently qualifying as a Fellow of the Faculty of Actuaries in 1984. In 1989 he moved to Heriot-Watt University, obtaining a PhD in 1995 and being appointed Professor in 2000. He served on Faculty Council from 1998 to 2007. In 1999 he set up the Genetics and Insurance Research Centre, which has since produced most of the actuarial research on this subject, including two papers that won the David Garrick Halmstad prize in 2005. He was elected Fellow of the Royal Society of Edinburgh in 2006 and was awarded the Finlaison Medal by the actuarial profession in 2011. He has been actively involved with the UK Continuous Mortality Investigation from 1999 to 2015.

George Streftaris is Associate Professor in Statistics at Heriot-Watt University. His research focusses on Bayesian modelling and inference across the interface of statistics, actuarial science, epidemiology and life sciences. He has a strong interdisciplinary research record, reflected in his publications and involvement in cross-sectional projects concerning stochastic modelling in the areas of critical illness insurance, epidemiological resilience to disease outbreaks and flood risk. He has supervised a number of PhD students in these areas, and also in topics related to heart disease modelling, stochastic mortality and Bayesian model assessment.

Erengul (Ozkok) Dodd is a Lecturer in Actuarial Mathematics at the University of Southampton. Her research focusses on the application of statistical modelling, inference and prediction under model uncertainty to insurance claim and population mortality data. She has a number of publications on stochastic modelling and pricing of critical illness insurance and has recently worked with the Office for National Statistics to produce the latest official decennial life table, ELT17, and project the future mortality improvement rates in the UK.

David Blake is Professor of Pension Economics and Director of the Pensions Institute at Cass Business School, City University London. In 2011, he won the Robert I. Mehr award from the American Risk and Insurance Association for his seminal paper on mortality risk transfers. The paper is credited with developing a new global capital market in mortality risk transfers between pension funds, life assurers and capital market investors, leading to the world’s first pension buy-out in 2006 and the world’s first pension buy-in and first longevity swap in 2007. In 2013, he was selected as one of “The Professors: The Ten Most Influential Academics in Institutional Investing by aiCIO”. He organises the annual International Longevity Risk and Capital Market Solutions Conferences, a key component in the impact generation chain. He has published in leading international journals, such as Journal of Finance, Review of Finance (formerly European Finance Review), Journal of Econometrics, Economic Journal, Journal of Risk and Insurance and North American Actuarial Journal.

Kevin Dowd is Professor of Economics and Finance at Durham University Business School (part time) and Emeritus Professor of Financial Risk Management at Nottingham University Business School, where he worked at the Centre for Risk and Insurance Studies. He has written widely in the fields of financial and monetary economics, political economy, financial regulation, financial risk management, pensions and more recently, mortality modelling. His books include Competition and Finance: A New Interpretation of Financial and Monetary Economics (Macmillan, 1996), Beyond Value at Risk: The New Science of Risk Management (Wiley, 1998) and Measuring Market Risk (2nd ed, Wiley, 2005). He also has an affiliation with the Institute of Economic Affairs. He is also one of the co-authors of the Cairns-Blake-Dowd (CBD) mortality model.

Michel Vellekoop is full professor in the Actuarial Sciences and Mathematical Finance group at the University of Amsterdam. His academic work in actuarial science focuses on longevity and interest rate risk and asset pricing in incomplete markets. He has published in all the top actuarial journals and as a member of the Dutch Committee on Mortality Research, he is responsible for the official mortality projections of the Dutch Actuarial Society (KAG). Michel was the project leader for two large Research Themes funded by Netspar, the Network for Studies on Pensions, Ageing and Retirement: Reconciling Short Term Risks and Long Term Goals for Retirement Provisions (2009-2012) and Risk Management for Funded Pension Systems (2013-2016).

Malene Kallestrup-Lamb is an Assistant Professor in the Department of Economics and Business Economics at Aarhus University. She is an active researcher in the fields of time series econometrics and micro econometrics, with particular emphasis on mortality, longevity, economics of ageing, retirement and health economics. In providing useful insight in explaining and identifying longevity trends she has contributed with new types of mortality data that allows both pension funds and governments the ability to account for characteristics such as marital status, education, financial indicators, social class, and region in the estimation and forecast of mortality.

Ian Duncan is Adjunct Professor of Actuarial Statistics at the University of California Santa Barbara. From 2010 to 2014 he served as Vice President, Clinical Outcomes, Analytics and Reporting at the Walgreens Company.  He founded Solucia Consulting (now SCIO Health Analytics), a provider of analytical and consulting services to the healthcare financing industry in 1998.  He is a post-graduate research student at Heriot-Watt University, Edinburgh. He is a fellow of the Society of Actuaries, the Institute of Actuaries (London), and the Canadian Institute of Actuaries, and a Member of the American Academy of Actuaries.  He is active in public policy and healthcare reform, and served on the board of directors of the Commonwealth of Massachusetts Health Insurance Connector Authority from 2007-2014. He was also a member of the board of the Society of Actuaries (2012-5).

Stephen Richards is managing director of Longevitas Ltd. He qualified as a Fellow of the Faculty of Actuaries in 1994 and holds a PhD from Heriot-Watt University. For a number of years he served on several CMI working parties relating to longevity and mortality. He has published a number of papers on the practical application of statistics to business and regulatory problems involving longevity risk.

Liang Chen is a lecturer in the Department of Statistics, the School of Mathematical Science at University College Cork, Ireland. His research interest is in modelling the longevity risk of small heterogeneous populations; critical illness and long-term care.

 

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Events calendar

  • Life Conference 2019

    The Convention Centre Dublin, Spencer Dock, North Wall Quay, Dublin 1
    20-22 November 2019
    Fully booked.

    The Life Conference is the premier event for professionals interested in life insurance.  Offering a wide range of workshops and plenary sessions it’s the perfect opportunity to discover what’s hot and current in life insurance ensuring you get up to date on the latest thinking and innovation whilst meeting and exchanging ideas with a broad range of professionals.

  • KSS event: Climate change, ESG and what it means for Insurers

    PwC Edinburgh, Atria 1, 144 Morrison St, Edinburgh
    2 December 2019

    Spaces available

    Speaker: Pallavi Konwar

    Pallavi has a background in banking and asset management as well as within government. She started her career at Wall Street in New York, where she worked for Citigroup on mortgage securitisations and collateral analysis. Before joining PwC, she worked within the Infrastructure UK team at HM Treasury. where she was responsible for contributing to the National Infrastructure Plan and reporting on the performance and delivery of nationally significant infrastructure projects.

  • Autumn Lecture 2019, London - Dr Kay Swinburne

    Lincoln's Inn The Treasury Office, London WC2A 3TL
    2 December 2019

    Spaces available

    We are delighted to announce that Dr Kay Swinburne will deliver this year’s lecture, "It’s not all about the numbers – regulatory challenges for UK financial services post-Brexit"

  • SIAS Event: Discount Rates are Flawed

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    3 December 2019

    Spaces available

    This talk will be given by Jon Spain who, as far back as 1983, has been working independently, trying to bring “long-term” back to UK actuarial thinking. His current focus is on discount rates (see discrate.com).

  • A Holistic Study into Cash flow Driven Investment

    Staple Inn, 4 High Holborn, Holborn, London WC1V 6DR, UK
    4 December 2019

    Spaces available

    Given that Cashflow Driven Investment strategy has attracted growing interests from pension funds and insurers at the backdrop of current market conditions and clients’ circumstances, the objective of this event is to gather thought leaders from asset managers, banks and insurers to offer attendees their perspectives and insights on main aspects of consideration when adopting this strategy.

  • Your Actuarial Career: Managing Career Breaks

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    5 December 2019

    Spaces available

    Maternity or paternity leave, sabbaticals to study or travel, managing care responsibilities or escaping unemployment – Join Chika Aghadiuno and a panel of IFoA guests including Liz Dimmock, Founder & CEO of Women Ahead (International), and Lee Faulkner, Financial Wellbeing Actuary, First Actuarial, to explore the issues around career breaks from the perspective of an employee and an employer.

  • Sessional Meeting - Silent Cyber Assessment Framework

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    9 December 2019

    Spaces available

    The (re)insurance industry is faced with a growing risk related to the development of information technology (IT). This growth is creating an increasingly digitally interconnected world with more and more dependence being placed on IT systems to manage processes. Note: Registration is from 17.30 in time for the sessional to begin at 18.00.

  • CPD Member Event in Shanghai, China

    Function Room, F39, S1 Fuson Group, the Bund Finance Centre, No.600 Zhongshang East 2nd Road, Huangpu District, Shanghai Chinese address:BFC外滩国际金融金融中心,S1复星集团,39层报告厅,上海中山东二路600号
    9 December 2019

    Spaces available

    The IFoA’s President-elect Tan Suee Chieh will visit Shanghai. We will host CPD and Awards Presenting event on Monday 9 December 2019. The event is part of Mr Tan’s first presidential trip to China.

  • Professional Skills Training - London (10 December 2019)

    Staple Inn, High Holborn, London WC1V 7QJ  
    10 December 2019

    Spaces available

    This event will be of interest to students and recently qualified actuaries.

    A 2 hour CPD event designed to meet the IFoA’s Stage 3 Professional Skills Training under the IFoA’s CPD Scheme 2019/2020.  The content and discussion at this session is particularly tailored to actuarial students and newly qualified actuaries working in any area and the format is interactive, so you should come along prepared to take part in the discussions with your peers.

  • IFoA Joint Member Event with the Sunshine Insurance Group, Beijing China

    Room TBC, Kuntai International Plaza, No.12, Chaowai Street, Chaoyang District, Beijing 地址:会议室待定,北京市朝阳区朝外大街乙12号1号楼昆泰国际大厦
    12 December 2019

    Spaces available

    The IFoA’s President-elect Tan Suee Chieh will visit Beijing. We will co-host CPD and Awards Presenting event with the Sunshine Insurance Group on Thursday 12 December 2019. The event is part of Mr Tan’s first presidential trip to China.

  • ARC Sessional Research Event: Drivers of Mortality - Risk Factors and Inequality

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    6 January 2020

    Spaces available

    The authors will focus on a large dataset obtained from the UK’s Office for National Statistics (ONS) and related sources. Data are available at the level of Lower Super Output Areas (LSOAs) – small geographical areas with, typically, 1000-2000 residents and include death counts, exposures and a significant number of socio-economic variables including the index of multiple deprivation (IMD).

  • SIAS Event: My Journey to Data Science, Big Data and AI

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    7 January 2020

    Spaces available

    Patrick Lee is an actuary who has made the transition to working in software architecture and artificial intelligence (AI). He holds Microsoft Professional qualifications in Data Science, Big Data and AI and is currently working towards a DevOps (the automation of software testing and deployment) qualification. He is a member of the IFoA Council and is also President of the Wessex Actuarial Society. He is also a member of the IFoA and the RSS's joint Data Science Focus Group and will talk on the ethical use of AI. 

  • Spaces available

    This presentation covers the detail for how the matching adjustment is calculated. A small simple example spreadsheet is provided and discussed in detail.

    For actuaries wanting to get more involved with the matching adjustment, this is the opportunity to get a detailed description of the mechanics involved. This includes cashflows derisking, PRA tests as well as hypothecation.

    The presentation is provided by James Sharpe who has worked on a number of matching adjustment calculations with several firms.

  • IFoA Volunteer Recognition Reception

    Staple Inn, 4 High Holborn, Holborn, London WC1V 6DR, UK
    15 January 2020

    Spaces available

    As a thank you to all our Institute and Faculty of Actuaries (IFoA) volunteers, you are invited to join us at Staple Inn Hall, for an evening of drinks, canapes and networking, in London.

    IFoA President, John Taylor, will be attending and will make a speech

    If you support the IFoA as a volunteer (member or non-member), or in any other role, and you are going to be in London on 15 January, please book your place and join us at this reception.

     

  • Professional Skills Training - London (16 January 2020)

    Staple Inn, High Holborn, London WC1V 7QJ
    16 January 2020

    Spaces available

    A Trusted Profession

    A 2 hour CPD event designed to meet the IFoA’s Stage 3 Professional Skills Training under the IFoA’s CPD Scheme 2019/2020This session is suitable for actuaries working in any area (i.e. it is not specifically aimed at Pensions, GI or any other technical discipline) and is interactive, so you should come along prepared to take part in the discussions.

  • Sessional Meeting - Operational Risk Dependencies

    Royal College of Physicians of Edinburgh 9 Queen St Edinburgh EH2 1JQ
    20 January 2020

    Spaces available

    The Operational Risk Working Party aims to assist actuaries and others in the modelling and management of operational risk. One of the key challenges in modelling operational risk is the modelling of dependencies between operational risks, and between operational and non-operational risks such as market, credit and insurance risk. Their paper seeks to assist in this regard, and help develop good practice in setting assumptions and modelling operational risk dependencies. 

  • Professional Skills Training - Edinburgh (23 January 2020)

    IFoA (Edinburgh), Level 2, Exchange Crescent 7 Conference Square Edinburgh EH3 8RA
    23 January 2020

    Spaces available

    A Trusted Profession

    A 2 hour CPD event designed to meet the IFoA’s Stage 3 Professional Skills Training under the IFoA’s CPD Scheme 2019/2020This session is suitable for actuaries working in any area (i.e. it is not specifically aimed at Pensions, GI or any other technical discipline) and is interactive, so you should come along prepared to take part in the discussions.

  • KSS event in Glasgow: Public Sector Pensions

    Hymans Robertson, Glasgow 20 Waterloo St, Glasgow
    30 January 2020

    Spaces available

    – the unappreciated key assumption, the resulting unsustainable promises, the unmanaged risk and the unrecognised debt? 

    Speaker: Allan Martin

    Come to your local KSS meeting to discover your future tax paying liability, the massive intergenerational transfer you are making and consider your professional public interest undertaking.

  • ARC Sessional Research Event

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    3 February 2020

    Spaces available

    This sessional will be delivered by members of the research team working on the ARC “Big Health & Actuarial Data’ research programme, led by Professor Elena Kulinskaya (University of East Anglia).

  • Professional Skills Training - London (11 February 2020)

    Staple Inn, High Holborn, London WC1V 7QJ         
    11 February 2020

    Spaces available

    A Trusted Profession

    A 2 hour CPD event designed to meet the IFoA’s Stage 3 Professional Skills Training under the IFoA’s CPD Scheme 2019/2020This session is suitable for actuaries working in any area (i.e. it is not specifically aimed at Pensions, GI or any other technical discipline) and is interactive, so you should come along prepared to take part in the discussions.

  • Sessional: Impact of E-cigarettes Working Party

    Royal College of Physicians, 9 Queen St, Edinburgh EH2 1JQ
    24 February 2020

    Spaces available

    This sessional meeting will be of direct interest to actuaries and others working in the in the Health and Care, Life or Pensions sectors or indeed actuaries with an interest in morbidity or mortality. Note: Registration is from 17.30 in time for the sessional to begin at 18.00.

  • Professional Skills Training - Edinburgh (25 February 2020)

    IFoA (Edinburgh), Level 2, Exchange Crescent 7 Conference Square Edinburgh EH3 8RA
    25 February 2020

    Spaces available

    A Trusted Profession

    A 2 hour CPD event designed to meet the IFoA’s Stage 3 Professional Skills Training under the IFoA’s CPD Scheme 2019/2020This session is suitable for actuaries working in any area (i.e. it is not specifically aimed at Pensions, GI or any other technical discipline) and is interactive, so you should come along prepared to take part in the discussions.

  • IFoA Asia Conference 2020, Kuala Lumpur

    CCEC Nexus, 7, Jalan Kerinchi, Bangsar South, 59200 Kuala Lumpur, Wilayah Persekutuan Kuala Lumpur, Malaysia
    24-25 June 2020
    Spaces available

    The sixth annual Asia Conference once again offers a prestigious line-up of home and international speakers discussing the insurance and financial industry’s innovation and change in Asia. This year's conference in Kuala Lumpur will be hosted by Tan Suee Chieh, IFoA’s first Asian President. He will also make his Presidential address at this conference and will expand on the important elements of IFoA’s new strategy. 

    Additionally, this landmark conference will showcase how the IFoA is reinventing itself to support its members to succeed and thrive in a digital age, within traditional businesses and beyond, as a global organisation. 

    No tot be missed by international industry players, opinion formers, academic and industry leaders, actuaries and non-actuaries.