Portrait of Dr Jaap Spreeuw

Dr Jaap Spreeuw

Senior Lecturer in Actuarial Science

Bayes Business School, Faculty of Actuarial Science and Insurance

Contact

Visit Jaap Spreeuw

Room BR5072, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Jaap graduated with an MSc. in Actuarial Science at the University of Amsterdam in 1993. After an interlude of about two years (assistant pensions consultant followed by alternative national service) he started as a Ph.D student in Actuarial Science at the same University in 1995. He completed his Ph.D research in 1999 with a thesis entitled "Heterogeneity of Hazard Rates in Insurance". After that he became a postdoctoral researcher for one year. In November 2000 he joined the Department of Actuarial Science and Statistics at City University as a Lecturer in Actuarial Science. Jaap has been a full member of the Dutch Actuarial Association since his MSc. graduation in 1993. He became a Fellow of the Institute of Actuaries in the autumn of 2004.
He was promoted to Senior Lecturer in Actuarial Science in July 2007. Currently he is one of the Course Directors for BSc Actuarial Science.

Qualifications

MSc (Actuarial Science) and PhD (Actuarial Science).

Memberships of professional organisations

  • Fellow, Institute and Faculty of Actuaries, Dec 2004 – present
  • Full Member, Actuarieel Genootschap (Dutch Actuarial Association), Oct 1993 – present

Languages

Dutch; Flemish.

Expertise

Primary topics

  • Actuarial Science
  • Actuarial Statistics
  • Annuities
  • Econometric & Statistical Methods
  • Insurance
  • Risk Modelling

Additional topics

  • Econometrics
  • Life Insurance
  • Multivariate statistics
  • Stochastic Processes

Industries

  • insurance

Research

The following research topics have led to publications:

1) Investigating the broken-heart effect: a model for short-term dependence between the remaining lifetimes of joint lives (with I. Owadally)
2) Relationships between Archimedean copulas and utility functions.
3) A nonparametric visual test of mixed hazard models (with J.P. Nielsen and S.F. Jarner)

Research topics

Kernel hazard estimation

Evolution of coupled lives' dependency across generations and pricing impact

This project, together with Prof Elisa Luciano and Dr Elena Vigna from University of Turin, is a follow-up project of "Modelling stochastics dependence of coupled lives".

Archimedean copulas derived from utility functions

A Markov chain model of mortality projection calibrated to data

Publications

Chapters (3)

  1. Spreeuw, J. (2010). Copula theory and its applications. In Jaworski, P. (Ed.), Copula theory and its applications Springer Verlag. ISBN 978-3-642-12464-8.
  2. Spreeuw, J. (2007). Afhankelijkheden in het Markov model (Dependencies in the Markov model). In Van Heerwaarden, A., Willemse, W.J. and Leuven, G. (Eds.), Sensei in het actuariaat, Liber Amicorum voor prof.dr. Henk Wolthuis AAG (pp. 153–161). University of Amsterdam. ISBN 978-90-90-22007-9.
  3. Spreeuw, J. (1998). The impact of proportional mortality profit distribution on solidarity. (pp. 661–678).

Conference papers and proceedings (26)

  1. Luciano, E., Spreeuw, J. and Vigna, E. (2011). Cross-generational comparison of stochastic mortality of coupled lives. Fifteenth International Congress on Insurance: Mathematics and Economics Trieste Italy.
  2. Jarner, S.F., Nielsen, J.P. and Spreeuw, J. (2010). Estimation and Nonparametric Testing of Heterogeneous Life Data Models. 45th Actuarial Research Conference Burnaby, BC, Canada.
  3. Spreeuw, J. (2010). Relationships between Archimedean copulas and Morgenstern utility functions. Copula Theory and Its Applications 25 Sep 2009 – 26 Sep 2009, Warsaw. doi:10.1007/978-3-642-12465-5_17
  4. Spreeuw, J. (2009). Relationships Between Archimedean Copulas and Morgenstern Utility Functions. Workshop on Copula Theory and Its Applications Workshop 25-26 September, Warsaw, Poland. doi:10.1007/978-3-642-12465-5_17
  5. Luciano, E., Spreeuw, J. and Vigna, E. (2008). Modelling stochastic mortality for dependent lives. AXA Workshop on prospective mortality tables, longevity risk and mortality linked securities Paris, France.
  6. Spreeuw, J. and Wang, X. (2008). Modelling the short-term dependence between two remaining lifetimes of a couple. Actuarial Teachers� and Researchers� Conference Canterbury, Kent, UK.
  7. Luciano, E., Spreeuw, J. and Vigna, E. (2007). Modelling stochastic mortality for dependent lives. AFIR Colloquium Stockholm, Sweden.
  8. Spreeuw, J. and Wang, X. (2007). Modelling the short-term dependence between two remaining lifetimes of a couple. Eleventh International Congress on Insurance: Mathematics and Economics Piraeus, Greece.
  9. Spreeuw, J. (2006). The Markov Chain Interest Model: Analysis of the Investment and Insurance Risk for Life Insurance Contracts. International Workshop on Applied Probability University of Connecticut, United States.
  10. Spreeuw, J. (2006). Modelling bivariate stochastic mortality. Tenth International Congress on Insurance: Mathematics and Economics Leuven, Belgium.
  11. Spreeuw, J. (2005). An application of comonotonicity in multiple state models. Applied Stochastic Models and Data Analysis Brest, France.
  12. Spreeuw, J. (2005). Analytical approximations of moments of discount factors in a time-continuous Markov chain interest model. Ninth International Congress on Insurance: Mathematics and Economics Quebec City, Canada.
  13. Spreeuw, J. (2004). Policy values of insurance contracts on two lives with dependent lifetimes. DeMoSTAFI Conference Quebec City, Canada.
  14. Spreeuw, J. (2004). Upper and lower bounds of present value distributions of life insurance contracts with disability related benefits. Eighth International Conference on Insurance: Mathematics and Economics Rome, Italy.
  15. Spreeuw, J. (2004). Upper and lower bounds of present value distributions of life insurance contracts with disability related benefits. Internal Seminar Faculty of Actuarial Science and Statistics Cass.
  16. Spreeuw, J. (2002). Dependency of Risks in the Individual Life Model. Workshop "Dependency of Risks" City University, London.
  17. Van Heerwaarden, A.E. and Spreeuw, J. (2001). The risky thing about dependent mortality,. Fifth International Congress on Insurance: Mathematics and Economics Penn State, United States.
  18. Spreeuw, J. (2001). Convex Order Applied to Income Protection Insurance. 30th Meeting of Steering Committee of Actuarial Research Centre City University, London.
  19. Spreeuw, J. (2000). Convex order and multistate life insurance contracts. Fourth International Congress on Insurance: Mathematics and Economics Barcelona, Spain.
  20. Spreeuw, J. (1999). A system of proportional mortality result sharing. Third International Congress on Insurance: Mathematics and Economics London, England, United Kingdom.
  21. Spreeuw, J. (1998). The probationary period as a screening instrument in a monopolistic term life insurance market. 26th International Congress of Actuaries 7-12 June, Birmingham, UK.
  22. Spreeuw, J. (1998). The impact of proportional mortality profit distribution on solidarity. General Insurance Convention & ASTIN Colloquium Glasgow, United Kingdom.
  23. Spreeuw, J. (1998). Majorization order applied to a system of mortality profit distribution. Second International Congress on Insurance: Mathematics and Economics Lausanne, Switzerland.
  24. Spreeuw, J. (1997). Prediction of claim numbers based on proportional hazard rates. First International Congress on Insurance: Mathematics and Economics Amsterdam, the Netherlands.
  25. Spreeuw, J. (1997). Unobserved heterogeneity; process and parameter effects in life insurance. XXVIII ASTIN Colloquium Cairns, Australia.
  26. Spreeuw, J. (1996). Solidarity in group life insurance. XXVII ASTIN Colloquium Copenhagen, Denmark.

Journal articles (18)

  1. Spreeuw, J. (2022). The Copula Derived from the SAHARA Utility Function. Risks, 10(7), pp. 133–133. doi:10.3390/risks10070133.

    [publisher’s website]

  2. Spreeuw, J., Owadally, I. and Kashif, M. (2022). Projecting Mortality Rates Using a Markov Chain. Mathematics, 10(7), pp. 1162–1162. doi:10.3390/math10071162.

    [publisher’s website]

  3. (2021). The effect of boosting polyphenol intake for women’s cancer survivors on arthralgia, mood and hot flushes - a pilot real World evaluation. Journal of Nursing and Women's Health. doi:10.29011/2577-1450.100068.

    [publisher’s website]

  4. Luciano, E., Spreeuw, J. and Vigna, E. (2016). Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities. Risks, 4(2), pp. 16–16. doi:10.3390/risks4020016.
  5. Hiabu, M., Martínez-Miranda, M.D., Nielsen, J.P., Spreeuw, J., Tanggaard, C. and Villegas, A.M. (2015). Global Polynomial Kernel Hazard Estimation. Revista Colombiana de Estadística, 38(2), pp. 399–411. doi:10.15446/rce.v38n2.51668.

    [publisher’s website]

  6. Spreeuw, J. (2014). Archimedean copulas derived from utility functions. Insurance: Mathematics and Economics, 59, pp. 235–242. doi:10.1016/j.insmatheco.2014.10.002.
  7. Spreeuw, J. and Owadally, I. (2013). Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives. Annals of Actuarial Science, 7(2), pp. 236–257. doi:10.1017/s1748499512000292.

    [publisher’s website]

  8. Spreeuw, J., Nielsen, J.P. and Jarner, S.F. (2013). A nonparametric visual test of mixed hazard models. SORT, 37(2), pp. 153–174.
  9. Spreeuw, J. and Karlsson, M. (2009). Time deductibles as screening devices: Competitive markets. Journal of Risk and Insurance, 76(2), pp. 261–278. doi:10.1111/j.1539-6975.2009.01298.x.
  10. Luciano, E., Spreeuw, J. and Vigna, E. (2008). Modelling stochastic mortality for dependent lives. Insurance: Mathematics and Economics, 43(2), pp. 234–244. doi:10.1016/j.insmatheco.2008.06.005.
  11. Spreeuw, J. (2006). Two approximations of the present value distribution of a disability annuity. Journal of Computational and Applied Mathematics, 186(1 SPEC. ISS.), pp. 217–231. doi:10.1016/j.cam.2005.03.071.
  12. Spreeuw, J. (2006). Types of dependence and time-dependent association between two lifetimes in single parameter models. Scandinavian Actuarial Journal, 2006(5), pp. 286–309.
  13. Spreeuw, J. (2005). The probationary period as a screening device: The monopolistic insurer. GENEVA Risk and Insurance Review, 30(1), pp. 5–14. doi:10.1007/s10836-005-1104-5.
  14. Spreeuw, J. (2005). Analytical approximations of moments of discount factors in a time-continuous Markov chain interest model. INSURANCE MATHEMATICS & ECONOMICS, 37(2), pp. 393–393.
  15. Spreeuw, J. (2005). Upper and lower bounds of present value distributions of life insurance contracts with disability related benefits. Tijdschrift voor Economie en Management, 50(1), pp. 115–160.
  16. Spreeuw, J. and Wolthuis, H. (2000). Actuarial Models for Disability Insurance. Insurance: Mathematics and Economics, 27(3), pp. 397–398. doi:10.1016/s0167-6687(00)00061-5.

    [publisher’s website]

  17. Spreeuw, J. and Goovaerts, M. (1998). Prediction of claim numbers based on hazard rates. Insurance: Mathematics and Economics, 23(1), pp. 59–69. doi:10.1016/S0167-6687(98)00022-5.
  18. Spreeuw, J. (1996). Solidarity in group life insurance. Blätter der DGVFM, 22(4), pp. 817–827. doi:10.1007/BF02808409.

Reports (5)

  1. Spreeuw, J. and Wang, X. (2008). Modelling the short-term dependence between two remaining lifetimes..
  2. Spreeuw, J. (2004). Upper and lower bounds of present value distributions of life insurance contracts with disability related benefits. Faculty of Actuarial Science & Insurance, City University London.
  3. Spreeuw, J. (2000). Convex order and multistate life insurance contracts. Faculty of Actuarial Science & Insurance, City University London.
  4. Spreeuw, J. (2000). The probationary period as a screening device. London: Faculty of Actuarial Science & Insurance, Cass Business School, City University London.
  5. Spreeuw, J. and Wolthuis, H. (1997). Unobserved heterogeneity; process and parameter effects in life insurance. Amsterdam, Netherlands: Tinbergen Institute.

Scholarly editions (3)

  1. Luciano, E., Spreeuw, J. and Vigna, E. (2012). Evolution of coupled lives' dependency across generations and pricing impact.
  2. Luciano, E., Spreeuw, J. and Vigna, E. (2007). Modelling stochastic mortality for dependent lives.
  3. Spreeuw, J. and Karlsson, M. Time Deductibles as Screening Devices: Competitive Markets.

Working papers (5)

  1. Spreeuw, J. (2012). Archimedean copulas derived from Morgenstern utility functions. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  2. Luciano, E., Spreeuw, J. and Vigna, E. (2012). Evolution of coupled lives' dependency across generations and pricing impact. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  3. Luciano, E., Spreeuw, J. and Vigna, E. (2006). Modelling stochastic bivariate mortality. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  4. Spreeuw, J. (2006). Types of dependence and time-dependent association between two lifetimes in single parameter copula models. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  5. Spreeuw, J. and Karlsson, M. (2006). The probationary period as a screening device: competitive markets. London, UK: Faculty of Actuarial Science & Insurance, City University London.

Education

Course Directorship

- 2006 - present, BSc Actuarial Science, Director
- 2004 - 2006, BSc Actuarial Science, Assistant Director
- 2014 - 2015, BSc Foundation Actuarial Science, Director

Professional activities

Editorial activity (9)

  1. North American Actuarial Journal, Referee, 2015 – present.
  2. Asia-Pacific Journal of Operational Research, Referee, 2014 – present.
  3. Annals of Actuarial Science, Referee, 2013 – present.
  4. ASTIN Bulletin: The Journal of the International Actuarial Association, Referee, 2013 – present.
  5. Decisions in Economics and Finance, Referee, 2012 – 2014.
  6. Journal of Multivariate Analysis, Referee, 2012.
  7. Mathematical and Computer Modelling, Referee, 2011 – 2012.
  8. Scandinavian Actuarial Journal, Referee, 2004 – present.
  9. Insurance: Mathematics and Economics, Referee, 2003 – present.

Events/conferences (32)

  1. Third European Actuarial Journal Conference. (Conference) Lyons, France (2016).
    Paper: Fitting Archimedean copula models based on distance between generators
    Author: Spreeuw, J.
  2. 18th International Congress on Insurance: Mathematics and Economics. (Conference) Liverpool, UK (2015).
    Paper: Projecting mortality rates by a Markov chain
    Author: Spreeuw J
    Co-authors: Iqbal Owadally
  3. Second European Actuarial Journal Conference. (Conference) Vienna, Austria (2014).
    Paper: Projecting mortality rates by a Markov chain
    Author: Spreeuw J
    Co-authors: I. Owadally
  4. 17th International Congress on Insurance: Mathematics and Economics. (Conference) Copenhagen, Denmark (2013).
    Paper: Evolution of coupled lives' dependency across generations and pricing impact
    Author: Luciano E.
    Co-authors: J. Spreeuw and E. Vigna
  5. 17th International Congress on Insurance: Mathematics and Economics. (Conference) Copenhagen, Denmark (2013).
    Paper: A Markov chain model of mortality projection calibrated to data
    Author: Spreeuw J.
    Co-authors: M.I. Owadally
  6. 7th Conference in Actuarial Science and Finance. (Conference) Samos, Greece (2012).
    Paper: Archimedean copulas derived from utility functions
    Author: Spreeuw J
  7. Fifteenth International Congress on Insurance: Mathematics and Economics. (Conference) Trieste, Italy (2011).
    Paper: A Nonparametric Visual Test of Mixed Hazard Models
    Author: Spreeuw J.
    Co-authors: J.P. Nielsen, S.F. Jarner
  8. Fifteenth International Congress on Insurance: Mathematics and Economics. (Conference) Trieste Italy (2011).
    Paper: Cross-generational comparison of stochastic mortality of coupled lives
    Author: Luciano E.
    Co-authors: J. Spreeuw, E. Vigna
  9. 45th Actuarial Research Conference. (Conference) Burnaby, BC, Canada (2010).
    Paper: Estimation and Nonparametric Testing of Heterogeneous Life Data Models
    Author: Jarner S.F.
    Co-authors: Nielsen, J.P.; Spreeuw, J.
  10. Workshop on Copula Theory and Its Applications. (Workshop) Warsaw, Poland (2009).
    Paper: Archimedean copulas derived from utility functions
    Author: Spreeuw J
  11. AXA Workshop on prospective mortality tables, longevity risk and mortality linked securities. (Workshop) Paris, France (2008). Invited speaker.
    Paper: Modelling stochastic mortality for dependent lives
    Author: Luciano E.
    Co-authors: J. Spreeuw, E. Vigna
  12. Actuarial Teachers’ and Researchers’ Conference. (Conference) Canterbury, Kent, UK (2008). Invited speaker.
    Paper: Modelling the short-term dependence between two remaining lifetimes of a couple
    Author: Spreeuw J
    Co-authors: X. Wang
  13. Eleventh International Congress on Insurance: Mathematics and Economics. (Conference) Piraeus, Greece (2007).
    Paper: • Modelling the short-term dependence between two remaining lifetimes of a couple
    Author: Spreeuw J
    Co-authors: X. Wang
  14. AFIR Colloquium. (Conference) Stockholm, Sweden (2007).
    Paper: Modelling stochastic mortality for dependent lives
    Author: Luciano E
    Co-authors: J. Spreeuw and E. Vigna
  15. Tenth International Congress on Insurance: Mathematics and Economics. Leuven, Belgium (2006).
    Paper: Modelling bivariate stochastic mortality
  16. International Workshop on Applied Probability. (Workshop) University of Connecticut, United States (2006).
    Paper: The Markov Chain Interest Model: Analysis of the Investment and Insurance Risk for Life Insurance Contracts
  17. Ninth International Congress on Insurance: Mathematics and Economics. Quebec City, Canada (2005).
    Paper: Analytical approximations of moments of discount factors in a time-continuous Markov chain interest model
  18. Applied Stochastic Models and Data Analysis. Brest, France (2005).
    Paper: An application of comonotonicity in multiple state models
  19. Internal Seminar Faculty of Actuarial Science and Statistics. (Seminar) Cass (2004).
    Paper: Upper and lower bounds of present value distributions of life insurance contracts with disability related benefits
  20. Eighth International Conference on Insurance: Mathematics and Economics. (Conference) Rome, Italy (2004).
    Paper: Upper and lower bounds of present value distributions of life insurance contracts with disability related benefits
  21. DeMoSTAFI Conference. (Conference) Quebec City, Canada (2004).
    Paper: Policy values of insurance contracts on two lives with dependent lifetimes
  22. Dependency of Risks. (Workshop) City University, London (2002).
    Paper: Dependency of Risks in the Individual Life Model
    Author: Spreeuw
  23. Fifth International Congress on Insurance: Mathematics and Economics. Penn State, United States (2001).
    Paper: The risky thing about dependent mortality,
    Co-authors: A. E. Van Heerwaarden
  24. 30th Meeting of Steering Committee of Actuarial Research Centre. City University, London (2001).
    Paper: Convex Order Applied to Income Protection Insurance
    Author: Spreeuw
  25. Fourth International Congress on Insurance: Mathematics and Economics. Barcelona, Spain (2000).
    Paper: Convex order and multistate life insurance contracts
  26. Third International Congress on Insurance: Mathematics and Economics. London, England, United Kingdom (1999).
    Paper: A system of proportional mortality result sharing
  27. Second International Congress on Insurance: Mathematics and Economics. Lausanne, Switzerland (1998).
    Paper: Majorization order applied to a system of mortality profit distribution
  28. General Insurance Convention & ASTIN Colloquium. Glasgow, United Kingdom (1998).
    Paper: The impact of proportional mortality profit distribution on solidarity
  29. 26th International Congress of Actuaries. Birmingham, United Kingdom (1998).
    Paper: The probationary period as a screening instrument in a monopolistic term life insurance market
  30. XXVIII ASTIN Colloquium. Cairns, Australia (1997).
    Paper: Unobserved heterogeneity; process and parameter effects in life insurance
  31. First International Congress on Insurance: Mathematics and Economics. Amsterdam, the Netherlands (1997).
    Paper: Prediction of claim numbers based on proportional hazard rates
  32. XXVII ASTIN Colloquium. Copenhagen, Denmark (1996).
    Paper: Solidarity in group life insurance

Media appearances (30)

  1. Kemp brothers' mother dies of broken heart. (2009) Daily Mail (newspaper).
  2. Men are more likely to die from a broken heart after the bereavement of loved partner. (2008) Shaanxi Daily (newspaper).
  3. Widowed man is more likely to be sad than widowed lady. (2008) Yanzhao Metropolis Daily (newspaper).
  4. Men are more likely to die from a broken heart after the bereavement of loved partner. (2008) Jinan Daily (newspaper).
  5. Men are more likely to die from a broken heart. (2008) Southeast China Morning Post (newspaper).
  6. Widowed men are more likely to die from a broken heart than women. (2008) Xinmin Evening News (newspaper).
  7. Men are more likely to die from a broken heart than a woman. (2008) Henan Daily (newspaper).
  8. Men are more likely to die from a broken heart. (2008) Southern Metropolis Daily (newspaper).
  9. Men are more likely to die than women from a broken heart. (2008) Hebei Daily (newspaper).
  10. Men are more likely to die from a broken heart after the bereavement of loved partner. (2008) Jinan Times (newspaper).
  11. Husband is more likely to die from a broken heart than wife. (2008) www.sina.com (website).
  12. Men are more likely to die from a broken heart. (2008) www.sohu.com (website).
  13. Till death us do part. (2008).
  14. Broken hearts. (2008) www.mingpaony.com (website).
  15. Study finds achy, breaky heart may indeed lead to death. (2008) www.businessinsurance.com (website).
  16. Irrational fears fuel stifling regulations. (2008) www.fundstrategy.co.uk (website).
  17. Spouses really can die from a broken heart. (2008) Shanghai Daily (newspaper).
  18. Widowed men are more likely to die from a broken heart than women. (2008) Guangzhou Daily (newspaper).
  19. Grave warning. (2008) Professional Pensions.
  20. Konnen wir an gebrochenem Herzen sterben? (2008) www.offenes-Presseportal.de (website).
  21. Cass: An gebrochenem Herzen sterben? (2008) www.handelsblatt.com (website).
  22. Men six times 'more likely to die of broken heart' than women. (2008) www.internationalreporter.com (website).
  23. Losing your wife can be deadly. (2008) www.theaustralian.news.com.au (website).
  24. Men beware, a broken heart could be fatal! (2008) www.financialexpress.com (website).
  25. Men are more likely to die of broken heart. (2008) www.telegraph.co.uk (website).
  26. Men Really Can Die of a Broken Heart. (2008) http://www.news.sky.com (website).
  27. Men are six times as likely to die of a broken heart in the first hear of being widowed. (2008) www.dailymail.co.uk (website).
  28. You can die of a broken heart (and men face the biggest risk). (2008) Daily Mail (newspaper).
  29. Men 'more likely to die of a broken heart'. (2008) www.thehindu.com (website).
  30. Men more likely to die of a broken heart than women. (2008) www.newkerala.com (website).