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

  • SIAS Event: Navigating Organisational Politics Positively

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

    Spaces available

    The term 'office politics' usually has a lot of negative connotations and indeed an inability to be able to navigate an organisation's formal processes and interact effectively with others at work can have far reaching adverse consequences.

  • Spaces available

    Public scrutiny of what investment funds deliver for consumers continues to be high profile, with the FCA’s Asset Management Market Study requiring fund managers to make (and publish) an annual assessment of value for authorised funds from the end of 2019.

  • Reimagining ageing

    Staple Inn Hall, High Holborn London WC1V 7Q
    14 June 2019

    Spaces available

    Reimagining ageing, hosted by the Institute and Faculty of Actuaries, in partnership with the ILC

  • Spaces available

    Increasing global concern over the impact of climate change has recently led to public scrutiny over the adequacy of existing risk management practices by insurance firms and pension schemes in dealing with these challenges, that potentially impact both individual actuaries and the IFOA generally.

     

  • Pensions Conference 2019

    Bristol Marriott Hotel City Centre, 2 Lower Castle Street, Old Market, Bristol, BS1 3AD
    18-19 June 2019
    Spaces available

    Covering current topics and industry trends, the conference also includes a pre-conference evening dinner (18 June) giving you the opportunity to develop your network. 

  • KSS event – FinTech and The Actuarial Profession

    EY, Atria One, 144 Morrison Street, Edinburgh
    19 June 2019

    Spaces available

    This KSS talk from FinTech Scotland's CEO will explore the mission to create an integrated Fintech ecosystem through provision of funding, support, infrastructure and talent that recognises and responds to the needs of all stakeholders - and the overarching aim for Scotland to be one of the top 5 Fintech global leaders by 2020.

    To book your place, please email Barry_Shannon@standardlife.com 

  • Current Issues in General Insurance (CIGI) 2019

    Inmarsat, 99 City Road, London, EC1Y 1BJ
    19 June 2019

    Spaces available

    CIGI is a well-established one-day seminar designed to increase awareness and encourage discussion on a variety of topical issues across the general insurance industry. 

    There will be an excellent and diverse line-up of speakers to provide a variety of perspectives and challenge covering technical and professional areas. 

  • Cass Event – New Thinking about Deferred Annuities

    Cass Business School, Executive Education Facilities 200 Aldersgate St, London EC1A 4HD
    21 June 2019

    Spaces available

    Our motivation for discussing this important subject comes from some exciting recent research which has analysed the impact of behavioural factors on the decision to purchase an annuity. This work has shown that behavioural factors can explain the well-known low demand for immediate annuities but this research also identifies an important opportunity in relation to deferred annuities (DA). The research suggests that these factors lead to positive incentives to purchase a DA and that, for longer deferred periods, a DA could be an attractive product for both consumers and insurers.

  • IFoA/SAS Joint Professional Skills Training – Singapore

    Room 903, NTUC Centre, Level 9, One Marina Boulevard, Singapore 018989
    25 June 2019

    Spaces available

    The Institute and Faculty of Actuaries (IFoA) and Singapore Actuarial Society (SAS) are organising a joint Professional Skills Training (PST) in Singapore. This session is suitable for actuaries working in any area (i.e. it is not specifically aimed at Life, GI or any other technical discipline) and is interactive, so you should come along prepared to take part in the discussions.

  • AGM and Presidential Address 2019 + Volunteer and Member Drinks Reception

    The Hub  Castlehill Edinburgh EH1 2NE
    26 June 2019

    Spaces available

    Notice is hereby given that the ANNUAL GENERAL MEETING of the INSTITUTE AND FACULTY OF ACTUARIES will be held at The Hub, Edinburgh on Wednesday 26 June 2019 at 16.30 (Preceded by tea from 16.00) and followed by a PRESIDENTIAL ADDRESS given by John Taylor.

  • IFAM event - Actuarial Teachers’ & Researchers’ Conference 2019

    Institute for Financial and Actuarial Mathematics Department of Mathematical  Sciences The University of Liverpool Mathematical Sciences Building Peach Street Liverpool, L69 7ZL
    27 June 2019 - 29 June 2019

    Spaces available

    The Institute for Financial and Actuarial Mathematics (IFAM) at the University of Liverpool is pleased to host the 2019 Actuarial Teachers’ and Researchers’ Conference from 27-28 June 2019. This annual two-day event has been running annually now for many years, each time hosted by a different university, and provides all those interested in actuarial research and education a great opportunity to share their ideas and catch up on the latest developments.

  • IFoA/ASM Joint Professional Skills Training – Kuala Lumpur

    Menara AIA, Auditorium, 99 Jalan Ampang, 50450, Kuala Lumpur
    28 June 2019

    Spaces available

    The Institute and Faculty of Actuaries (IFoA) and Actuarial Society of Malaysia (ASM) are organising a joint Professional Skills Training (PST) in Kuala Lumpur. This session is suitable for actuaries working in any area (i.e. it is not specifically aimed at Life, GI or any other technical discipline) and is interactive, so you should come along prepared to take part in the discussions.

  • SIAS: The Impact of Air Pollution on Health and Life Expectancy

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    2 July 2019

    Spaces available

    Air pollution has gained increasing attention lately. Nicola Oliver, head of longevity and mortality research for Medical Intelligence, will discuss not only the impacts of air pollution on health and life expectancy but also how as an industry we should be addressing it.

  • GIRO Conference 2019

    EICC, The Exchange, 150 Morrison St, Edinburgh EH3 8EE
    24-26 September 2019
    Spaces available

    GIRO is attended annually by over 800 delegates and speakers who are keen to discuss key topics such as Pricing, Reserving, Modelling and the future of the insurance industry. GIRO 2018 was a huge success and we have opened bookings early for what we hope will be another brilliant conference at the EICC in Edinburgh this year.