Every year, the IFoA recognises excellence in research through the award of prizes for exceptional research papers in actuarial science or related disciplines.
This year, the Geoffrey Heywood Prize, awarded for engagement with an actuarial audience who are not subject matter experts, was won by Ronald Richman and Mario Wüthrich for their paper ‘A neural network extension of the Lee-Carter model to multiple populations’ published in the Annals of Actuarial Science.
Paper author, Ronald Richman, said:
“We are honoured to receive the 2020 Geoffrey Heywood Prize for our paper. The paper shows how the structure of the Lee-Carter mortality forecasting model can be embedded into a deep neural network, making the model suitable for modelling and forecasting mortality for a large number of different populations simultaneously.
“The research is significant because it shows that some traditional mortality models are significantly outperformed by the neural network model and we hope that it will inspire other machine and deep learning based approaches for traditional actuarial problems.”
The 2020 Peter Clark Prize, awarded to the best paper written by members of the profession and intended for an actuarial audience, went to Silvana Pesenti, Pietro Millossovich and Andreas Tsanakas for their paper ‘Reverse Sensitivity Testing: what does it take to break the model?’, published in the European Journal of Operational Research.
Andreas Tsanakas said:
“We are enormously pleased and honoured for our work to be recognised through this prize.
“Sensitivity analysis of simulation models can be a cumbersome exercise. We developed a theoretically-grounded procedure that is highly efficient and produces transparent metrics.
“We have put a huge amount of collective effort into this work, in developing a rigorous mathematical framework, engaging with practitioners, and developing free software (the R package SWIM), to enable wider application of our framework.”
These prizes are funded by the IFoA Foundation and both have a value of £1,000 each.
Read more about the IFoA Best Paper Prizes and make a nomination for the 2021 prizes.