- Professor Andrew Cairns - Heriot-Watt University
- 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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Delivered by the IFRS 17 Contractual Service Margin working party.
The Certified Actuarial Analyst (CAA) qualification has rapidly established itself as adding real value, to insurers and consultancies, and to the clients of consultancies, around the World. CAAs work alongside actuaries and actuarial students, as well as other financial services professionals, in an increasingly broad range of roles and fields.
This session is a repeat of the one earlier today at 09:30
Many individuals and institutions have a long-term focus, and invest funds for the benefit of future generations. Their strategy should reflect their long horizon. University endowments are one of the oldest classes of institutional investor, and I will present the first study of the management of these endowments over the very long term.
This year's GIRO has been re-designed as a virtual conference to offer members and non-members the opportunity to get up to date content from leading experts in the general insurance field via online webinars. All sessions will be recorded and made available to purchase and re-watch post-event on the IFoA's GI Online Learning Resource area.
This year's Life Conference has been re-designed as a virtual conference to offer members and non-members the opportunity to get up to date content from leading experts in the life insurance field via online webinars. All sessions will be recorded and made available to purchase and re-watch post-event on the IFoA's website.
This webinar will provide an update on the emerging thinking around future regulation of DB schemes:
The webinar will discuss the challenges and opportunities schemes face in evaluating end game options, choosing a target state and understanding the impact this strategic decision could have on member outcomes long after the “end state” is reached. Adolfo, Kevin and Rhian bring over 60 years of experience in the industry and a variety of perspectives as scheme actuary, covenant adviser, trustee, de-risking adviser and insurer.
Cash-flow driven investing is a game-changer for DB pension funds navigating their end-game. Suitable for sponsors who want to reduce risks on their balance sheets. And for trustees, it shifts the focus to providing greater certainty of returns, managing funding level volatility and ensuring they have enough income to pay cash-flow requirements.
Patrick Kennedy, Partner at Gateley Legal and Founding Director of Entrust (a leading professional pensions trustee company), will be delivering an update on the latest legal developments during the course of 2020. With both a pensions legal perspective and over 25 years of trustee service, Patrick will seek to highlight how the letter of the law has continued to evolve against the backdrop of a difficult and challenging year
The talk will provide an understanding of the priorities and relationships between deficit reduction contributions, in the context of wider scheme funding, and different types of value outflow from the employer based on the working party’s recently published report.