News from Cass Business School

Professor David Blake Awarded Prestigious Prize

Thursday, 23 April, 2009

David Blake, Professor of Pensions Economics and Director of the Pensions Institute, has been awarded one of the most prestigious prizes in actuarial science.  The David Garrick Halmstad Prize is awarded annually by the Society of Actuaries for the best publication in actuarial science in a given year. The Prize is in memory of David Garrick Halmstad, an Associate of the Society of Actuaries which represents the Actuarial Profession in the US.

The 2008 Prize was awarded to David Blake and his co-authors Andrew Cairns and Kevin Dowd for their publication: "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," by Andrew J. Cairns, David Blake and Kevin Dowd, Astin Bulletin, vol. 36, no 1, 2006, pp. 79-120.
David Blake on receiving the prize said, It is very gratifying to be awarded this prestigious prize for a number of reasons. First, it recognizes the contribution Andrew, Kevin and I are making towards the development of the Life Market, the new global capital market that trades mortality-linked assets and liabilities.
Second, it is an award from the Actuarial Profession and so recognises the multi-disciplinary nature of our research collaboration Andrew is an actuary, but Kevin and I are economists. Third, the prize was awarded by the US Actuarial Profession and hence recognises the global significance of this new capital market.
Professor Steve Haberman congratulated David on receiving this prize, saying, This is the most prestigious prize in actuarial research and is well deserved.  It reflects the body of research that David has produced in collaboration with other respected academics and reinforces Cass's role as a leader in actuarial research.
The paper makes use of the similarities between the forces of mortality and interest rates to examine how to model mortality risks and price mortality-related instruments using adaptations of the arbitrage-free pricing frameworks that have been developed for interest-rate derivatives.
The paper pulls together a range of arbitrage-free or risk-neutral frameworks for pricing and hedging mortality risk that allow for both interest and mortality factors to be stochastic.
The different frameworks described short-rate models, forward-mortality models, positive-mortality models and mortality market models are all based on positive interest-rate modelling frameworks, since the force of mortality can be treated in a similar way to the short-term risk-free rate of interest.  These frameworks can be applied to the pricing of a great variety of mortality-related instruments, from vanilla longevity bonds to exotic mortality derivatives.

Permanent link to this story: https://www.cass.city.ac.uk/news-and-events/news/2009/april2/professor-david-blake-awarded-prestigious-prize

Professor David Blake - winner of the David Garrick Halmstad Prize

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