Dr Catherine Donnelly FIA

Lecturer

• E-mail: C.Donnelly(at)hw.ac.uk
• Phone: +44 131 451 3251
• Fax: +44 131 451 3249

Research Interests

The overall theme of my current research is the quantification of risk in actuarial applications. The aim is to help insurance companies and pension funds manage their risks better.

My research in this broad area began with the study of portfolio optimization problems, both from a mean-variance and a utility maximisation viewpoint. Recently, I have been considering applications to actuarial problems. I have considered the pricing of maturity guarantees for life insurance contracts within a model suitable for the long-term nature of these guarantees. In non-life insurance, I examined with my co-author Mario Wüthrich the use of economic indicators to predict disability rates in an insurance portfolio. In pensions, I looked at the problem of quantifying mortality risk in pension schemes.

Currently, I am considering some problems related to pensions and life insurance. One of the problems is to find ways that people can maximise their income in retirement.

Papers

Published / Accepted

• Donnelly, C., Wüthrich, M. V. Bayesian prediction of disability insurance frequencies using economic indicators. Accepted by Annals of Actuarial Science. Preprint
• Donnelly, C. Quantifying mortality risk in small defined-benefit pension schemes. Accepted by Scandinavian Actuarial Journal. Preprint
• 2011 Donnelly, C. Good-deal bounds in a regime-switching diffusion market. Applied Mathematical Finance 18(6), 491-515. Preprint
• 2011 Donnelly, C. Sufficient stochastic maximum principle in a regime-switching diffusion model. Applied Mathematics and Optimization 64(2), 155-169. Preprint
• 2010 Donnelly, C., Embrechts, P. The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. ASTIN Bulletin 40(1), 1-33. Preprint

Submitted

• Donnelly, C., Heunis, A. J. Quadratic risk minimization in a regime-switching model with portfolio constraints.

Dissertations and conference proceedings

• Pricing maturity guarantees in a regime-switching diffusion market. SA0 dissertation, The Actuarial Profession. PDF
• Convex duality in constrained mean-variance portfolio optimization under a regime-switching model. PhD thesis, University of Waterloo, Canada.

Degrees

2008 PhD in Mathematics University of Waterloo, Canada.
2003 MSc in Mathematics and the Foundations of Computer Science Keble College, University of Oxford, England.
1998 MA in Mathematics Trinity College, University of Cambridge, England.

Professional affiliations

Fellow of the Institute of Actuaries.

Teaching

Lecturing at Heriot-Watt University

• Actuarial and financial mathematics.
• Financial economics.

Other lecturing and teaching

• Quantitative methods for enterprise risk management (for risk management professionals, 2011) SFRA Knowledge Transfer Programme, Scotland.
• Quantitative risk management (graduate-level, 2010) ETH Zürich, Switzerland.
• Tutor of general insurance for the Program for Improvement of the Actuarial Profession (March 2007) National Bank of Serbia, Belgrade.
• Life insurance mathematics (undergraduate-level, 2005) University of Waterloo, Canada.
• Teaching assistant on various courses on probability, statistics and actuarial science (2004-2008) University of Waterloo, Canada.

Employment

Academic

• Jan 2010 -  : Lecturer Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, Scotland.
• Sep 2008 - Dec 2010: Postdoctoral research fellow RiskLab, ETH Zürich, Switzerland.

Industry

• Sep 2003 - Dec 2003: Investment and pensions actuarial consulting Spence & Partners, Belfast, UK.
• Oct 2000 - Jul 2002: Investment and pensions actuarial consulting Lane Clark & Peacock, London, UK.
• Sep 1998 - Aug 2000: Pensions actuarial consulting Watson Wyatt Partners, Redhill, Surrey, UK.

Talks and conference presentations

2012 Mathematical Finance Nomura Seminar, University of Oxford, UK.
2011 Finance and Stochastics Seminar, Imperial College London, UK.
2011 Actuarial Teachers' and Researchers' Conference (Oxford, UK).
2011 Actuarial and Financial Mathematics Conference (Brussels, Belgium).
2010 Sixth World Congress of the Bachelier Finance Society (Toronto, Canada).
2010 Fourteenth International Congress on Insurance: Mathematics and Economics (Toronto, Canada).
2009 Mathematical Institute, University of Cologne, Germany.
2008 Talks in Insurance and Financial Mathematics, ETH Zürich, Switzerland.