Actuarial Mathematics Group
-
Department of Actuarial Mathematics and Statistics
Heriot-Watt University
Edinburgh EH14 4AS
UK
- tel: (+44) 131 451 3202
- fax: (+44) 131 451 3249
Funded PhD Studentship in Modelling Mortality, Morbidity,
Longevity and Critical Diseases
We invite applications for a 4 year PhD studentship to study stochastic models for Mortality, Morbidity, Longevity and Critical Diseases.
(Further information)
The outstanding international reputation of the Department was
acknowledged with the award of a grade 5
(within the subject area of Statistics and OR)
in the 2001 UK Research Assessment Exercise.
This places the Department amongst the leading centres of
research in the UK in the broad field of Statistics and Operational Research.
In Scotland only one statistics group achieved this grade with a larger
number of research active staff.
Of particular note, the 2001 award identified the group as the leading
centre of research in actuarial mathematics in the UK: no other
university department in the UK with an active actuarial research group
achieved such a high grade.
2005 saw the creation of the Maxwell Institute, a collaboration
between Heriot-Watt University and the University of Edinburgh
resulting in one of the largest grouping in mathematical sciences
in the UK. The 2008 Research Assessment Exercise confirmed
the excellence and volume of international-quality research.
Faculty
Former members include David Bowie, Mary Hardy, David Dickson,
John McCutcheon, Alfred Mueller, Tom Fischer,
John Pollock, Delme Pritchard, Ken Siu,
Cliff Speed, Chessman Wekwete, Mark Willder and Julia Wirch.
Genetics and insurance
Stochastic mortality models and longevity risk
- Stochastic mortality models
- Quantification of longevity risk in a pensions and life insurance context
- Evaluation of covariates affecting mortality
- Securitization of longevity risk
- Risk management strategies for longevity risk
- Parameter and model risk
Mortality and morbidity studies
- Survival analysis.
- Modelling and projection of mortality rates.
- Income protection insurance.
- Critical illness insurance.
Risk theory
- Ruin theory
- Optimal reinsurance.
- Optimal dividend strategies.
- General Levy driven insurance risk models.
- Asymptotic ruin problems.
Life insurance
- Asset-liability modelling for life insurance.
- Fair valuation of insurance liabilities.
- Life Office modelling.
- Solvency.
Stochastic asset models
- Term structure models for derivative pricing and long-term risk management.
- Multi-asset models for asset-liability management.
- Credit risk in Levy driven models.
- Parameter and model risk.
Finance and insurance
- Risk measures and capital adequacy.
- Financial risk management.
- Pricing and hedging for long-term financial guarantees: e.g.
guaranteed annuity options.
Pensionmetrics
- Asset-liability modelling for defined-contribution and defined-benefit
pension plans; risk analysis; design of optimal control strategies
for assets and contributions.
- Utility optimisation.
- Valuation and pricing methods.
The group has an active seminar series with a mixture of internal
and external speakers. This forms part of the larger
departmental
seminar programme.
David Wilkie and Andrew Cairns have built up a substantial database
for UK government bonds with financial support from
Institute of Actuaries. This includes prices, amounts in issue,
index values and details of each security in issue. The database will
be updated on a regular basis.
For recent papers please see the individual group members'
web pages.
Selected publications not online elsewhere are given below.
Wilkie, A.D. (1995) More on a stochastic asset model for
actuarial use. British Actuarial Journal, 1: 777-964.
(PDF - 7.8Mb !)
- Chatterjee, T. (2007)
An individual life history model for heart disease,
stroke and death: structure, parametrisation and applications.
PhD thesis, Heriot-Watt University.
- Willder, M. (2004)
An
Option Pricing Approach to Charging for Maturity Guarantees Given
Under Unitised With-Profits Policies,
PhD thesis, Heriot-Watt University.
- Tong, W.-Y. (2004)
Reserving
for Maturity Guarantees Under Unitised With-Profits Policies,
PhD thesis, Heriot-Watt University.
- Cardoso, R.M.R. (2004)
Numerical
Algorithms for the Calculation of
Finite Time Ruin Probabilities in Generalisations of the Classical Risk
Model, PhD thesis, Heriot-Watt University.
- Cairns, A.J.G., (2004) Interest Rate Models: An Introduction,
Princeton University Press.
- Lee, P.J., and Wilkie, A.D. (2000) A comparison of stochastic
asset models. Proceedings of the 10th AFIR Colloquium, Tromsoe, June, 2000,
pp 407-445.
(Request a reprint.)
(Word document.)
- Wilkie, A.D. (1999) Asset-liability modelling for pension schemes.
Proceedings of the 9th AFIR Colloquium, Tokyo, August, 1999,
joint ASTIN/AFIR volume, pp 169-186.
(Request a reprint.)
- Wilkie, A.D. (1998) Why the long-term reduces the risk of investing
in shares.
Proceedings of the 8th AFIR Colloquium, Cambridge, September 1998,
pp 525-538.
(Request a reprint.)
- Wilkie, A.D. (1998) Decomposing the returns on ordinary shares.
Transactions of the 26th In ternational Congress of Actuaries, Birmingham,
June, 1998, 7: 107-120.
(Request a reprint.)
- Wilkie, A.D. (1997) Why the Capital Asset Pricing Model fails
in a multi-currency world. Proceedings of the 7th AFIR Colloquium,
Cairns, August, 1997, 2: 951-960.
(Request a reprint.)
Page maintained by
Andrew Cairns, Department of Actuarial Mathematics and Statistics,
Heriot-Watt University, Edinburgh, EH14 4AS, UK
e-mail:
A. Cairns@ma.hw.ac.uk