Completed research projects

brewerobstructionΤεχνίτη Νοημοσύνη και Ρομποτική

7 Νοε 2013 (πριν από 4 χρόνια και 8 μήνες)

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Completed research projects


Exploration of a novel bootstrap technique for estimating the distribution of
outstanding claims reserves in general insurance / Robert Cowell, 2009.

A non
parametric bootstrap method for claims reserving / Robert Cowell,
Presented to a talk at Cass Business School.

Applicant: Dr Robert Cowell

Cass Business School

Award: £14,600

Optimal premiums based on utility function and solvency / Yaniv Zaks, 2009.

Applicant: Dr Andreas Tsanakas

Cass Business School

Award: 23

Chain ladder as maximum likelihood revisited / Di Kuang, Bent Nilesen and Jens
Perch Nielsen, 2009.

Robust forecasting in the extended chain
ladder model / Di Kuang, Bent Nilesen and
Jens Perch Nielsen, 2009.

Forecasting with the are
cohort mod
el and the extended chain
ladder model /
Di Kuang, Bent Nilesen and Jens Perch Nielsen, 2008.

Applicant: Professor Jens Perch Nielsen

Cass Business School

Award: 7,600

Dependent competing risks: cause elimination and its impact on survival / Dimitrina
Dimitrova, Steven Haberman and Vladimir K Kaishev, 2009.

Applicant: Dr Vladimir Kaishev

Cass Business School

Award: £18,292

Adjusting the bias in mortality forecasts / Iain Currie, 2009. Presented to the
conference Joining forces on longevity and mortali
ty, October 2009.

Longevity risk and annuity pricing with the Lee
Carter model / Stephen Richards and
Iain Currie, 2009. Presented to the Faculty sessional meeting, February 2009.

Applicant: Dr Iain Currie

Watt University

Award: £13,081


A st
udy into the detrimental effects of obesity on life expectancy in the UK / Les
Mayhew, J Richardson and Ben Rickayzen, 2008

Applicant: Ben Rickayzen

Cass Business School

Award: £8,980

Smooth models of mortality with period shocks / J G Kirkby, Iain Curri
e, 2008

Smoothing over
parameterized regression models with applications to mortality data
/ Iain Currie, 2008

Mortality: the shocking truth / Iain Currie. Paper presented to the Actuarial Teaching
and Research Conference, 2008

Modelling shocks software. P
rogrammed in R. Zip file / Iain Currie. This software
was developed by the researchers, and they have sole responsibility for its content.

Applicant: Dr Iain Currie

Watt University

Award: £7,169

Including count data in claims reserving / Anders Je
ssen, Richard Verrall, Jens
Perch Nielsen, 2007

Claims reserving including count data / Anders Jessen, Richard Verrall, Jens Perch
Nielsen. Paper presented to the 2007 General Insurance Convention

Applicants: Professor Richard Verrall

Cass Business Schoo

Award: £18,000


How will Trastuzumab affect life insurance? / Angus Macdonald and Edward Roche,

The impact of medical advances and lifestyle on mortality / Tushar Chatterjee, Angus
Macdonald, Catriona Macdonald, Edward Roche and Howard Waters,

Applicants: Professor Angus Macdonald

Watt University

Award: £4,768

Intertemporal dynamic asset allocation for defined contribution pension schemes

Applicant: Douglas Wright Cass Business School

Award: £15,000

Modelling the short
term depende
nce between two remaining lifetimes of a couple /
Jaap Spreeuw and Xu Wang, 2008

Applicants: Dr Jaap Spreeuw

Cass Business School

Award: £9,941


Individual claim loss reserving conditioned by case estimates / Greg Taylor, Gráinne
McGuire and James S
ullivan, 2006

Applicants: Greg Taylor, Grainne McGuire, James Sullivan

Award: £15,000


Consumption processes and positively homogeneous projection properties / Tom
Fischer, 2007


Applicant: Tom Fischer Heriot
Watt University

Pricing and ca
pital requirements for with profit contracts: modelling considerations /
Laura Ballotta, 2006

Modelling the fair value of annuities contracts: the impact of interest rate risk and
mortality risk / Laura Ballotta, Giorgia Esposito and Steven Haberman, 2006.


Actuarial Research Paper No. 176

Applicants: Laura Ballotta

Award: £15,000

Minding the money: carers and the management of financial assets in later life.
Report of a scoping study / Hilary Arksey, Anne Corden, Caroline Glendinning and
Michael Hirst, 20


Applicants: Professor Caroline Glendinning, Dr Hilary Arksey, Dr Michael Hirst, Anne

Award: £14,998

Extensions to investigation of the influence of socio
economic status on morbidity
status for dread and chronic diseases

The chronic disea
se burden : An analysis of health risks and health care usage /
Joanne Alder, Leslie Mayhew, Simon Moody, Richard Morris and Rajeev Shah, 2005

Applicant: Les Mayhew

Award: £5,500

cycle saving models in DC pension plans: inferring attitudes to risk thr
behavioural finance

Intertemporal Dynamic Asset Allocation for Defined Contribution Pension Schemes /
David Blake, Douglas Wright and Yumeng Zhang, 2007.

Actuarial Research Paper
No. 183

Applicant: Douglas Wright

Award: £15,000


Employee Saving

and Investment Decisions in Defined Contribution Pension Plans:
Survey Evidence from the UK / Alistair Byrne

Applicant: Alistair Byrne

Award: £4,500

Analysis of the costs of medical interventions in Alzheimer's Disease as they affect
Term Care / Gare
th Colgan, 2006

Alzheimer's Disease and Long Term Care: a case study


Applicants: Gareth Colgan, Angus Macdonald and Delme Pritchard

Award: £5,000

An investigative study on current practice of estimating the loss of earnings in
personal injury
claims in England and Wales. The Ogden Tables and contingencies
other than mortality / Richard Verrall, Steven Haberman and Zoltan Butt, 2005


Applicants: Richard Verrall and Steven Haberman

Award: £10,000

The chronic disease burden

an analys
is of health risks and health care usage / J
Alder, L Mayhew, . Moody, R Morris, R Shah, 2005

Applicants: Les Mayhew and Richard Verrall

Award: £14,000

The importance of year of birth in two
dimensional mortality data / S J Richards, J G
Kirkby and I D Cur

Presented to the Institute of Actuaries on 24 October 2005.

CMI Working Paper 15 Projecting future mortality: Towards a proposal for a
stochastic methodology

Generalized linear array models with applications to multidimensional smoothing / I
D Curri
e, M Durban, P H C Eilers

Applicant: Iain Currie

Award: £2,500

Healthy Life Expectancy Measurement in Scotland / Angus Macdonald, Jennifer
Straughn and Matt Sutton

Applicant: Angus Macdonald

Award: £15,000


Consumer understanding of risk research proj

second phase / Ivaylo Vlaev and
Nick Chater

Applicant: Nick Chater

Award: £15,000

Modelling and forecasting of mortality rates


(See 2004 results also)

Applicant: Iain Currie

Award: £2,500

New roles and relationships between actuaries and a
uditors in UK insurance

Paper to be published in International Journal of Public Policy, late 2008/early 2009.

Applicant: Ian Dewing

Award: £3,500

International comparative study of mortality tables for pension fund retirees

Mortality assumpti
ons used in the calculation of company pension liabilities in the EU

Applicant: Steven Haberman

Award: £7,500

How long do people expect to live? Results and implications / Chris O'Brien, Paul
Fenn and Stephen Diacon.

CRIS research report 2005
1, 2005


Applicant: Chris O'Brien

Award: £15,000

Investigating the Market Potential for Customised Long
Term Care Insurance
Products / Martin Karlsson, Les Mayhew and Ben Rickayzen.

Actuarial Research
Paper no 174, 2006

Applicant: Ben Rickayzen

Award: £15,00

Prepared for Retirement? The Adequacy and Distribution of Retirement Resources
in England / James Banks, Carl Emmerson, Zoe Oldfield and Gemma Tetlow, 2005

Applicant: J Banks

Award: £10,000


Coherent risk measures: context and applications [availabl
e for loan, please contact
the library, quoting ref. RKN 33382]

Applicant: Evangelia Desli

Award: £9,400

An international comparison of long
term care arrangements / Martin Karlsson, Les
Mayhew, Robert Plumb, Ben Rickayzen.

Actuarial Research Paper no 15
6, 2004

Applicant: Les Mayhew

Award: £13,000

post analysis of reserving decisions in UK general insurance businesses:

How accurate are the disclosed pensions of UK General Insurance? / SR Diacon, PT
Fenn, C O'Brien, 2003

Applicant: Chris O'Brien


The estimation of risks of investment of company's pension fund in its own securities
/ Semyen Spivak and Ravil Akhtyamov, 2003

Applicant: Semyen Spivak

Award: £10,200

Consumer risk

Applicant: N Chater

Award: £20,000

Actuarial curve fitting

t: Richard Verrall

Award: £12,650


Lease terms, option pricing and the financial characteristics of property / AT Adams,
PM Booth, BD MacGregor, BAJ Vol. 9, part 3 (2003), p 619

[requires member login]

Applicant: Philip Booth

Award: £11,500

Risk e
qualisation in Irish private health insurance

Applicant: Gareth Colgan

Award: £5,000

New approaches to annuitisation: optimal asset allocation strategies in defined
contribution pensions post
retirement and comparisons with investment

management of decumulation risks in a defined contribution pension plan /
Russel Gerrard, Steve Haberman, Elena Vigna.

NAAJ Vol. 10 (1) 2006, p 84

Optimal investment choices post
retirement in a defined contribution pension
scheme / Russel Gerrard, S
teve Haberman, Elena Vigna.

Insurance: Mathematics
& Economics Vol. 35(2) 2004, p. 321
342 [available for loan, please contact the
library, quoting ref. RKN34734]

Applicant: Steven Haberman

Award: £7,500

Incorporating risk in the analysis of PFI/PPP proj

Applicant: W Rodney

Award: £12,500

Compilation of a database of UK gilt prices


Applicant: David Wilkie

Award: £4,350


Bayesian networks for classification in insurance

[Since more extensive research was published before publication, an
article was not



Applicant: Robert Cowell

Award: £11,000

Modelling risk by postcode area in general insurance: further research including the
consideration of extreme events

Applicants: M J Dixon and Richard Verrall

Award: £1

Penalised goodness of fit functions for inference

Local versus global models for classification problems: fitting models where it
matters / David Hand and Veronica Vinciotti, 2003

Choosing k for two
class nearest neighbour classifiers with unbalanced

classes /
David Hand and Veronica Vinciotti, 2002

Applicants: David Hand and V Vinciotti

Award: £6,500

A stochastic approach to risk management and decision making in defined benefit
pension schemes / Steve Haberman et al.

BAJ Vol 9 part 3 (2003), p. 49

[requires member login]

Applicant: Steven Haberman

Award: £7,440

Interest rate modelling using genetic programming

[paper not completed yet]

Applicant: Gerard Kennedy

Award: £10,000

liability matching in complete and incomplete market situation

Applicant: Rajas K Parchure

Award: £5,000

Reserving, pricing and hedging for policies with guaranteed annuity options / A D
Wilkie, H R Waters and S Yang.

BAJ 9 (2) 2003, p. 263

Applicants: Sheauwen Yang, Howard Waters and David Wilkie

Award: £8,18

General Insurance Working Parties

Applicant: General Insurance Board

Award: £1,000


The regulation of Occupational pension schemes in the EU and USA / Deborah

Applicant: Deborah Cooper

Award: £11,400

Rating by Postcode Area in General Insuran

Applicants: M J Dixon and Richard Verrall

Award: £11,400

An assessment of the suitability of the MFR using deterministic and stochastic
scenario testing techniques

Applicants: Ian Wright, Steven Haberman and Zaki Khorasanee

Award: £11,400

Financial comp
anies in the stock market, 1825
1962: a quantitative study

Applicants: C Green and P Maggioni

Award: £4,000

An integrated approach to aspects of the Wilkie Model

Applicants: David Wilkie, M Omram and Angus Macdonald

Award: £10,000

Charting the frontier bet
ween actuarial science and mathematical finance / Saul
Jacka, J E Kennedy and Henry Wynn.

Warwick : University of Warwick, Risk
Initiative and statistical consultancy group, 2000

Applicants: Saul Jacka, J E Kennedy and Henry Wynn

Award: £9,202

General I
nsurance Working Parties

Applicant: General Insurance Board

Award: £2,000


Frailty models and the age and time dynamics of mortality

Applicant: Steven Haberman

Award: £9,000

An investigation of the solvency risks of insurers with health insurance liab
specifically PHI using a stochastic simulation approach

Applicants: Robert Chadburn, Ben Rickayzen and Steven Haberman

Award: £9,000

Development of market valuation techniques for pension funds

Applicant: Andrew Cairns

Award: £9,000

Actuarial appli
cations of econometric tools

Applicant: Shane Whelan

Award: £4,000

General Insurance Working Parties

Applicant: General Insurance Board

Award: £1,000


Underwriting and Alzheimers disease

Applicants: Angus Macdonald and Howard Waters

Award: £10,000

Designing a practical model to examine long
term costs in Great Britain

Applicants: Ben Rickayzen, Steven Haberman and Philip Booth

Award: £8,000

Applying actuarial techniques to the valuation of implicit options in freehold property

Applicants: Philip Boo
th and Russell Gerrard

Award: £8,500

Testing the sensitivity of model life office simulation results to variations in asset
model structure

Applicants: Robert Chadburn and Paul Huber

Award: £7,000

Improvements in mortality at higher ages: prospects and fin
ancial implications

Applicants: Guy Thomas, Judith Presnell and N G Rhodes

This project did not progress to a paper. Preliminary thoughts are published in The
limits of human longevity. The Actuary, July 1997, p. 20

Award: £5,000

To investigate the anal
ysis of claims on an individual claim basis, using Bayesian

Applicant: Richard Verrall

Award: £5,500

The construction of international bond yield indices

Applicant: Andrew Cairns

Award: £6,000


Investment strategy for defined contribution pens
ion schemes

Applicant: Zaki Khorasanee

Award: £10,000

Optimal funding of defined benefit pension schemes

Applicant: Steven Haberman

Award: £10,000

linear time series models for actuarial use

Applicants: Guy Thomas and Howell Tong

Award: £7,480

cal analysis of individual offices PHI data and some financial consequences of
these analyses

Applicants: Howard Waters, Athol Korabinski and Ian Currie

Award: £7,000

The management of risks in banking / JN Allan, PM Booth, RJ Verrall, DEP Walsh.

BAJ 4 (
1998) part 4, p 707

Applicants: Philip Booth, Richard Verrall and Ian Allan

Award: £7,000


Investigation of models for the term structure of interest rates

Published in: A multifactor, equilibrium model for the term structure and inflation [pdf]

pplicant: Andrew Cairns

Award: £6,000

Reducing the resilience reserve of a life office

Applicants: Gerard Kennedy and M Kerr

Award: £3,000