Faculties and research

Speakers of Contributed Talks

A ArikAyse ARIK is a PhD student and research assistant in Hacettepe University, Ankara, Turkey. Her thesis is on pricing of pension bulk annuity deals. She is particularly interested in modelling and pricing of longevity, investment and credit risks under this context.

Séverine ARNOLD is Assistant Professor in Actuarial Science at the University of Lausanne, SwitzerlandArnold. Besides a PhD in Actuarial Science, she has a Certificate in Population Study from the University of Geneva, Switzerland. Her research focuses on longevity risk and mortality modeling, looking for more efficient models in mortality projections. In a six and another two months research visits at the University of New South Wales in Sydney, Australia, in 2009 and 2012 respectively, she has been investigating various causes of death across countries. Together with Corina Constantinescu (University of Liverpool, UK), she gives yearly short courses in actuarial science at the University of Sfax (Tunisia) and has recently organized the second edition of an International Winter School for young actuarial researchers, to be held every other year. In addition to teaching and research, she was involved in social security projects with the International Labour Organization, is a member of the International Actuarial Association Mortality Working Group and of the Social Security Sub-Committee of the AAE (Actuarial Association of Europe).

S BaxterSteven BAXTER leads the longevity research program at Hymans Robertson LLP, with particular focus on analysing later life mortality and longevity trends using Club Vita’s dataset of 1 in 7 of all UK pensioners. Steven works closely with a wide range of clients helping them to manage longevity risk, including insurers, banks and pension schemes. He was the lead longevity risk consultant for the Aviva Staff Pension Scheme on their £5bn indemnity swap, and was deeply involved in the development of the Deutsche-Börse Xpect_ClubVita indices.
Steven is proud to have co-authored a number of papers on longevity including “Longevity Basis Risk: A methodology for assessing basis risk”, “Grieving widows: Exploring excess mortality following bereavement” and “What longevity predictors should be allowed for when valuing pension scheme liabilities?”. His interests span all areas of mortality, morbidity and longevity – and their implications on both financial institutions and social policy.

BravoJorge Miguel BRAVO is Professor of Economics and Finance at Nova University of Lisbon - Information Management School (NOVAIMS) and invited Professor at Université Paris IX Dauphine in Paris. He holds a PhD in Economics from the University of Évora and a MSc in Monetary and Financial Economics from ISEG - Technical University of Lisbon. His research focuses on longevity risk and mortality modelling and applications within the life insurance and pension fund industry, looking for appropriate models in mortality projections for large and small populations. He coordinates ORBio, Observatory of Biometrical risks of the Portuguese Insured Population at the Portuguese Insurers Association and is a member of the BBVA Pensions Institute in Madrid. In addition to teaching and research, he has been involved with the Portuguese Social Security and Finance Ministries in preparing long-term projections on the sustainability of Portuguese public pension schemes, with Statistics Portugal in preparing period/cohort life tables for national and sub-national levels and population projections (as part of EUROPOP exercises). He is a member of the International Actuarial Association Mortality Working Group, of the International Actuarial Association and of the Portuguese Institute of Actuaries.

BruszasSandy BRUSZAS is a doctoral student at the Chair of Investment, Portfolio Management, and Pension Finance at Goethe University Frankfurt, Germany. In addition, she works as an actuary in a strategic unit at R+V Life Insurance. After finishing her diploma in Mathematics at the Technical University of Kaiserslautern with focus on Financial Mathematics (2011), she qualified as a member in the German Actuarial Society, DAV (2014). She has also been a visiting student at the Swiss Federal Institute of Technology in Zurich (ETHZ) majoring Actuarial Sciences. Her research interest focuses on longevity, financial and regulatory risks in the context of life insurance companies and policyholders.

BiessyGuillaume BIESSY graduated from the French engineering school Telecom Bretagne and actuarial school the EURIA i n 2013. Since then, he has been working as a PhD student at SCOR Global Life. His research is about developing new mathematical models for Long-Term Care Insurance, under the supervision of Vincent Lepez, chief pricing actuary at SCOR Global Life, and Catherine Matias, research director at the CNRS.

BOUMEZOUEDAlexandre BOUMEZOUED is Phd student at Paris 6 University, in the Probability and Random Models Laboratory, supervised by Prof. Nicole El Karoui (Paris 6 Univ.) and co-supervised by Prof. Stéphane Loisel (Lyon 1 Univ.). Alexandre's research interests cover stochastic population dynamics and its use for pension and longevity risk purposes, including age pyramid dynamics and the impact of mortality heterogeneity. Alexandre is member of the French ANR project Dynamic models for longevity with lifestyle adjustments, Lolita (ANR-13-BS01-0011) and the French-Swiss  "Germaine de Staël" project Modelling population dynamics with causes-of-death mortality (Gds 2014-14). Alexandre graduated from the French engineering school Ecole Nationale des Ponts et Chaussées and holds an MSc degree in Probability Theory from Paris 6 University. Alexandre has also worked as a consultant in life and non-life insurance for Milliman France.

berkumFrank van BERKUM is a PhD student at the University of Amsterdam at the department of Actuarial Science. His research is on mortality modelling and his current project is on modelling portfolio specific mortality. Besides his research, Frank also works as an actuarial consultant for PwC. Experiences gained at PwC are used in his research to ensure practical relevance.

a cairnsAndrew CAIRNS is Professor of Financial Mathematics at Heriot-Watt University, Edinburgh, and Director of the Actuarial Research Centre supported by the Institute and Faculty of Actuaries.
He is well known both in the UK and internationally for his research in financial risk management for pension plans and life insurers. His research interests have centred around the development of new models for long-term risks including yield curve modelling and pricing of long-term interest-rate derivatives. More recently he has been working on the modelling of longevity risk: how this can be modelled, measured and priced, and how it can be transferred to the financial markets. Amongst his work in this field, he has developed a number of new and innovative stochastic mortality models.

He is an active member of the UK and international actuarial profession:he qualified as a Fellow of the Faculty of Actuaries in 1993; since 1996 he has been editor of the leading international actuarial journal ASTIN Bulletin - The Journal of the International Actuarial Association and has been editor-in-chief since 2005; and in 2005 he was elected as a corresponding member of the Swiss Association of Actuaries.

In 2008 he was awarded the Halmstad Prize for his paper Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk co-authored with David Blake and Kevin Dowd.

Najat ElMeddaouiNajat EL MEKKAOUI is a senior economist and professor in economics at the University Paris Dauphine (France). Her research focuses on the economics of aging, savings and households insurance in developed and developing countries. In 2011, she was nominated at the National Council of Human Rights in Morocco where she is on charge on the rights and social protection for older persons.  She is distinguished visiting research fellow at Oxford University (Smith school) and research fellow at the Economic Research Forum and NETSPAR. She collaborated with the World Bank concerning a project on the systems of retirement in Morocco and in the MENA region. She published and took part in the publication of several works, chapters or papers in her research fields, in particular social protection, retirement, pension and saving. Each year she also coordinates an International Workshop on Pension, Insurance and Saving which takes place at Paris Dauphine University. The 13th edition was organized in partnership with Harvard University

FliciFarid FLICI is a Researcher in the Centre of Research in Applied Economics for Development in Algiers (Algeria) since April 2012. He works as a demographer and Actuary in the Division of Human Development and Social Economics. He studied Statistics at the National Institute of Statistics and Applied Economics (Algiers)/specialty: Finance and Actuarial sciences and actually he is preparing his Ph.D thesis at the same institute on the theme “Optimization of a prospective mortality model for life-annuities reserving in Algeria”.  His research is principally focused on the Algerian population and the Algerian life-insurance market. The topics which he is working in are : mortality and longevity modeling, mortality forecasting, old-age mortality, closing-out the life tables and the construction of prospective life-tables and life annuities reserving.  Until now, he has some Working papers : “analysis of half-century of mortality changes in Algeria : 1962-2012” presented in MEEA 2014, “Estimation of the missing data in the Algerian mortality surface by using Lee-Carter model” presented in SMTDA 2014, “Life-annuities calculation in Algeria: continuous time approach” presented in RCEF 2014, “Using specific life-table for life annuities calculations: the case of Algeria” presented in the EAJ 2014, “Longevity and life annuities reserving in Algeria: the use of Lee-Carter model” presented in EAAC 2014 and “Mortality forecasting for the Algerian population with considering cohort effect” presented in IAAC-2015.

GENZMartin GENZ is a Ph.D. student at the Institute for Insurance Science at Ulm University (http://www.uni-ulm.de/en/mawi/institute-of-insurance-science.html). His research is on mortality modeling with a focus on the development of old age mortality. His latest research was on classification of observed mortality evolutions. Since 2013, Martin also works as a consultant at the Institute for Finance and Actuarial Sciences in Ulm, Germany (www.ifa-ulm.de). The focus of his consulting work is on the development and implementation of innovative life insurance products and on actuarial biometric models. He holds a Master of Science degree from Ulm University and is a junior member of the German Society for Actuarial and Financial Mathematics.

HillairetCaroline HILLAIRET worked for 10 years as assistant professor at Ecole polytechnique, in the financial group of the CMAP (Centre de Mathématiques Appliquées). She is a member of the ANR Lolita (Dynamic models for human Longevity with Lifestyle Adjustments) http://lolita.isfa.fr/. She is interested in the financial issues of longevity risk, such as long term interest rate risk and intergenerational risk. Since September 2015 she is Professor at ENSAE, in charge of the actuarial science program.

J HuangJerry HUANG (Hong-Chih Huang) is the professor of Risk Management and Insurance at the National Chengchi University in Taiwan. He is the director of Risk and Insurance Research Center at the National Chengchi University. He received his Ph.D. in actuarial mathematics at Heriot-Watt University in U.K. and his master degree in actuarial science at University of Iowa in the U.S. His research interests cover asset liability management, asset allocation, pricing and risk management for insurance and pension, mortality modeling, and longevity risk. His research appears in Insurance Mathematics and Economics, Journal of Risk and Insurance, Scandinavian Actuarial Journa and The Geneva Papers on Risk and Insurance. In addition to academic experience, Dr. Huang shares his knowledge with many actuarial practices, the reviewer of life insurance products for Taiwan Insurance Bureau of Financial Supervisory Commission; the Risk Management Committee member of Taiwan Post Office Company; the Consultant Member of Management Bord for Taiwan Public Service Pension Fund.

huntAndrew HUNT has recently completed a PhD in longevity modelling, projection and risk management at Cass Business School in London. He qualified as a Fellow of the Institute of Actuaries in 2009 and has focused on the development of stochastic mortality models and their application to longevity risk management and securitisation. Prior to this, Andrew has worked for five years as a pension consultant, helping to advise a number of companies on their funding and risk strategy regarding legacy defined benefit obligations and including assisting on the modelling of a large longevity swap transaction. He also has a Masters in Mathematics from the University of Cambridge, specialising in theoretical physics.

Min JI is an Assistant Professor in the department of Mathematics at Towson University. She holds a Ph.D. degree inMin Ji Actuarial Science in July 2011 from the University of Waterloo and is a Fellow of the Faculty and Institute of Actuaries and the Society of Actuaries. Her current research is in mortality and longevity risk models for insurance and financial products, especially annuities and reverse mortgages. She has published articles in North American Actuarial Journal and Annals of Actuarial Science.

leeYung-Tsung LEE is an Assistant Professor in the Department of Banking and Finance, National Chiayi University. Professor Lee earned his PhD degree from the Department of Risk Management and Insurance at National Chengchi University. Professor Lee’s research interests include asset liability management, actuarial science and pension.

Hong LI is an assistant professor in School of Finance at Nankai University, China. Hong received his PhD LIinEconometrics and Operations Research from Tilburg University, the Netherlands. Hong’s research focuses on mortality modeling and longevity risk management, including the pricing and hedging of annuities and longevity-linked derivative products.

Yjia LIN is an Associate Professor of Finance at the University of Nebraska - Lincoln. She earned BA degree in insurance and MA lindegree in finance and insurance both at Beijing Technology and Business University. Dr. Lin earned her Ph.D. in Risk Management and Insurance at Georgia State University. She is also a Chartered Financial Analyst (CFA®) Charterholder. Dr. Lin’s research interests are in insurance securitization, enterprise risk management and actuarial science.She has published papers in the Journal of Risk and Insurance, the North American Actuarial Journal, the Insurance: Mathematics and Economics, the Geneva Papers on Risk and Insurance, the Variance and others. She is also an Associate Editor of the Journal of Risk and Insurance and the North American Actuarial Journal. Dr. Lin won the Harold D. Skipper Best Paper Award from the Asia-Pacific Risk and Insurance Association in 2006, the Ernst Meyer Prize for University Research Work from the Geneva Association in 2007, the Annual Prize for the Best Paper Published in 2007 from the North American Actuarial Journal in 2009, the Brockett-Shapiro Actuarial Journal Award from the American Risk and Insurance Association in 2014, and the Robert I. Mehr Award from the American Risk and Insurance Association in 2015.

LIUI-Chien LIU is an Assistant Professor of the Department of Insurance and Finance at National Taichung University of Science and Technology in Taiwan. He received his PhD at the Department of Risk Management and Insurance at National Chengchi University in Taiwan. His research areas cover embedded option for insurance products, reverse mortgage, mortality modelling and longevity risk. He has published articles in the Journal of Risk and Insurance, the Geneva Papers on Risk and Insurance-Issues and Practice.

y liuYanxin LIU is currently a Ph.D. candidate in Actuarial Science at the University of Waterloo. He received his Master of Mathematics degree from the University of Waterloo. His research interests include mortality modeling and mortality/longevity risk pricing and hedging.

Y LUYang LU is a researcher at Scor, the global reinsurer. Starting this fall he will be a postdoctoral fellow at Aix-Marseille School of Economics. Yang completed his PhD in Statistics in June 2015 from CREST (Center of Research in Economics and Statistics) and Paris-Dauphine University, supervised by Christian Gourieroux (CREST and University of Toronto). His research interests are multivariate survival analysis motivated by insurance applications including joint annuities, long-term care, longevity etc. He has published in Insurance: Mathematics and Economics. Yang is an associate of the French Institute of Actuaries and has been working part-time at Scor during his PhD studies. Before that, he graduated from Ecole Normale Superieure, Paris in 2012, with a Master in Statistics. More details can be found on his homepage: https://sites.google.com/site/luyangensae/home

MedfordAnthony MEDFORD  has over 8 years experience in actuarial roles such as pensions valuation and  life retrocession pricing and most recently worked in insurance regulation. He holds an MSc in Statistics from the University of Warwick and is currently engaged in doctoral research at the Max Planck Odense Centre on the Biodemography of Aging at the University of Southern Denmark. His research interests include mortality modelling and forecasting, particularly at the highest ages and applications of extreme value theory to the study of longevity.


millossovichPietro MILLOSSOVICH is a Senior Lecturer in Actuarial Science at the Faculty of Actuarial Science and Insurance, Cass Business School, City University London since January 2012. Previously he has been a Lecturer at the University of Trieste, Italy.  Pietro holds a B.Sc. in Statistics and Actuarial Science from the University of Trieste, a D.E.A. (Master) in Probability and Finance from the University of Paris VI and a Ph.D. in Mathematics Applied to Decisions in Economics and Finance from the University of Trieste.  Pietro's research includes the modelling and forecasting of mortality, the valuation of guarantees in life insurance, the sensitivity of risk measures and optimal insurance. 

PascariuMarius PASCARIU is a Ph.D. candidate at University of Southern Denmark (SDU) with particular interests in life expectancy forecasting, mortality modeling and actuarial science. Prior to enrolling at SDU, he participated in the European Doctoral School of Demography programme and was affiliated with Max-Planck Institute for Demographic Research. He worked for 5 years as a Life Actuary for companies like Allianz and Generali. He holds a master’s degree in cybernetics and quantitative economics from Bucharest Academy of Economic Studies.

pietrzykRadosław PIETRZYK an Assistant Professor at Wroclaw University of Economics, Department of Financial Investments and Risk Management. In 2000 he graduated from Wroclaw Academy of Economics with a master degree. His master thesis addressed the problem of empirical verification of popular option pricing models. The subject of his doctoral thesis, defended in 2007, was extreme value theory and its applications in financial risk analysis. His main areas of interest are risk management, portfolio management and portfolio performance evaluation. Currently, his interest is focused on life-cycle-spanning integrated model of household risk. Within the research he develops the building blocks of the model that are connected with household financial goals and their financing, investment portfolio of the household, its performance evaluation and risk control in the financial plan.

regisLuca REGIS is Assistant Professor at IMT Institute for Advanced Studies, Lucca. He holds a M.A. in Finance and a Ph.D. in Applied Mathematics from the University of Torino. His research interests lie at the interplay between finance and insurance, focusing on longevity risk modelling and hedging, insurance risk management and individuals’ investment and retirement decisions under life-time uncertainty.

RISKJimmy RISK is a PhD candidate at University of California Santa Barbara studying longevity risk and stochastic mortality modelling under Michael Ludkovski.  Specific interests as of late include applying statistical emulators to life insurance problems, and also forward mortality models.  He has a masters degree in statistics from Michigan State University.

rokitaPaweł ROKITA is an Assistant Professor at Wroclaw University of Economics, Department of Financial Investments and Risk Management. In 1999 he graduated from Wroclaw Academy of Economics with a master degree. His master thesis addressed the problem of stock market efficiency. In 2004 he defended his doctoral thesis on Value at Risk models in banking. For several years his research was focused on the area of market risk measurement and dependence measurement, including dependence between extreme values. Currently his scientific interests encompass stability of financial system, systemic approach to financial markets and personal finance. In the field of personal finance he is a member of a research team developing a life-cycle-spanning integrated model of household risk. Within the project he is responsible for risk identification and measurement with regard to various types of risk faced by households, as well as integrating results of the research in this field with a model of household life-long financial plan

SCHUPPJohannes SCHUPP (M.Sc.) is a consultant at the Institut für Finanz- und Aktuarwissenschaften (ifa), an actuarial consulting firm based in Ulm, Germany (www.ifa-ulm.de). The focus of his consulting work is on the development and implementation of innovative life insurance products and actuarial biometric models. Johannes is a Ph.D. student in actuarial science at the institute of insurance science at Ulm University (http://www.uni-ulm.de/en/mawi/institute-of-insurance-science.html). His research topics focus on mortality modeling and the identification of long-term mortality trends. He holds a Master of Science degree from Ulm University and is a junior member of the German Society of Actuarial and Financial Mathematics (DGVFM).

ShaoAdam SHAO is a Research Fellow at ARC Centre of Excellence in Population Ageing Research (CEPAR) UNSW node. He holds a PhD degree from the school of Risk and Actuarial Studies, UNSW. Adam’s research interests include idiosyncratic house price modelling, longevity risk, solvency capital requirements, and pricing and risk analysis of post retirement financing products such as equity release products and long-term care insurance. More recently, Adam has been investigating the dynamics of population health and their impact on the demand for post-retirement financing products under a life-cycle model framework.

SmithDavid SMITH is a Senior Lecturer in Actuarial Science at the Faculty of Actuarial Science and Insurance, Cass Business School, City University London as well as being a co-course director for the BSc (Hons) Actuarial Science degree.  David has worked with Professor Les Mayhew in developing new methods of projecting populations as well as investigating new ways that the increasing costs of pensions and long-term care in the UK could be funded. 

TEPPAFederica TEPPA is a researcher at the Economics and Research Division of the Dutch central bank. She is affiliated to the Network for Studies on Pensions, Aging and Retirement (Nestpar). She is part of the Eurosystem Household Finance and Consumption Network at European Central Bank. She earned her PhD in Economics at Tilburg University and worked at the University of Turin and Erasmus University Rotterdam. Her research interests include longevity and pensions, individual financial decision making, household finance.

TomasJulien TOMAS holds a Ph.D in Business Economics from the University of Amsterdam (Netherlands). He also holds a master degree in Econometrics from the University of Paris 1 Panthéon-Sorbonne and a Masters in Health Economics from the Faculty of Medicine Paris XI. He is currently a postdoctoral fellow at the laboratory of Financial and Actuarial Sciences, ISFA - University of Lyon 1.

Pierre VALADE has been a senior reinsurance broker for Aon Benfield since June 2015. His expertise is on Life valadeReinsurance. Pierre has been working as an actuary for 14 years, and recent previous positions include Head of Studies and Analysis of Insurance Market for ACPR (French supervisor) and Head of Risk Policy and Business Monitoring for BNP Paribas Cardif.  He is and Chartered Enterprise Risk Actuary since 2010 and his expertise include : ORSA, Risk Analysis, Risk Strategy setting …

VillegasAndrés VILLEGAS is a researcher in the Faculty of Actuarial Science and Insurance at Cass Business School focusing on the modelling and projection of mortality. He carried out his doctoral studies at Cass, holds an MSc degree in Industrial Engineering from Universidad de Los Andes (Colombia) and worked previously as a risk analyst at one of the biggest Colombian life insurance companies. Andrés research interests include mortality modelling, longevity risk management and the application of optimisation techniques in actuarial science and finance.   

Hsin Kevin WangHsin-Chung WANG had 8 years work experience at Cathay Life Insurance Co. in Taiwan. He received his Ph.D. degree from National Chengchi University in Taiwan, He accepted an offer from Department of Finance and Actuarial Science, Aletheia University, as an assistant professor and now also serve as director in Chung Hua Senior High School. His major research fields are statistics and actuarial science.

YangSharon YANG is a professor of department of Finance at the National Central University in Taiwan. She received her Ph.D. in actuarial mathematics at Heriot-Watt University in U.K. and her master degree in actuarial science at University of Iowa in the U.S. Her research interests cover pricing and financial risk management for insurance and pension, mortality modeling, hedging longevity risk. Her research appears in Insurance Mathematics and Economics, Journal of Risk and Insurance, Austin Bulletin, The Geneva Papers on Risk and Insurance and Quantitative Finance.  Dr. Yang’s research has examined issues including pricing embedded guarantees with variable annuities and pension planes, pricing and risk management for reverse mortgages, pricing survivor derivatives and securitization, mortality modeling and longevity risk management. In addition to academic experience, Dr. Yang shares her knowledge with many actuarial practices, solvency committee of Taiwan Insurance Guarantee Fund, a reviewer of life insurance products for Insurance Bureau of Financial Supervisory Commission, a reviewer of structure notes issued with insurance products for Taiwan Financial Service Roundtable and a member of the discipline committee for Actuarial Institute of Republic of China.

YueChing-Syang Jack YUE is a consultant and actuary, as well as a professor of Statistics Department at College of Commerce, National Chengchi University.  In 1997, Jack formed the Statistical Consulting Center at College of Commerce, National Chengchi University.  He served as the Chair of Statistics Department in 2003-05 and the director of Survey Center in 2008-10, at the College of Commerce, National Chengchi University. Jack has been a consultant and advisor in life table construction for the Taiwan government (Ministry of Interior) and Taiwan Insurance Institute.  He was also a reviewer of the Review Committee of Life insurance Products of Financial Supervisory Commission, Taiwan government.  Right now, Jack focuses his research on the longevity study, especially on the mortality models and its impact on retirements.

zhouKenneth Q. ZHOU is a graduate student in the Department of Statistics and Actuarial Science at the University of Waterloo under the supervision of Professor Johnny Li. He also received his Bachelor of Mathematics in Ac-
tuarial Science from the University of Waterloo. His research interests focus on longevity risk management and stochastic mortality modelling. Kenneth is a Society of Actuaries' (SOA) James C. Hickman Scholar and a recipient of the Queen Elizabeth II Graduate Scholarships in Science and Technology (QEII-GSST).