Business School experts scoop research prize

Two academics from the Business School (formerly Cass) have been awarded the 2020 Peter Clark Prize from the Institute and Faculty of Actuaries (IFoA).

Dr Pietro Millossovich, Senior Lecturer in Actuarial Science and Professor Andreas Tsanakas, Professor of Risk Management, along with Dr Silvana Pesenti, Assistant Professor at the University of Toronto and PhD graduate of the Business School, have been recognised for their paper ‘Reverse Sensitivity Testing: What Does It Take to Break the Model?’, which proposes a transparent framework for insurers to help facilitate an easier and more flexible analysis of the models they use to calculate their risks.

The research, published in the European Journal of Operational Research in 2019, simplifies complex procedures often involved in sensitivity analysis, and was nominated and selected by academic and industry peers in the field.

The Peter Clark Prize, named after the former IFoA President, is awarded annually to the best paper presented or published for an actuarial audience. Professor Tsanakas said the award was excellent recognition for the work that went into the research.

“We are enormously pleased and honoured to achieve this prize,” Professor Tsanakas said.

“We have put a huge amount of collective effort into this work, both in developing a rigorous mathematical framework and in engaging with practitioners with a view to industry application.

“Sensitivity analysis used in insurance can be a cumbersome exercise, often involving multiple time-consuming model runs and lacking a structured way of assigning relative importance to particular variables or parts of the model. With our methods, we address these issues and present a theoretically-grounded procedure that is highly efficient and produces transparent metrics.”

The paper forms the theoretical background for the Scenario Weights for Importance Measurement (SWIM) framework – an open source tool for sensitivity analysis, which is used to analyse the simulation output of models used by insurers.

Dr Millossovich said the prize reflected the high quality of research from the Faculty of Actuarial Science and Insurance.

“It is wonderful to receive such recognition for our work,” Dr Millossovich said.

“The paper was written by three of our own academics at the time, so in many ways it is a great success for the Business School and our Faculty.

“Our sensitivity analysis framework allows flexibility and customisation, and the open source SWIM software allows users to design and implement their specific stress scenarios on a case-by-case basis.”

Read ‘Reverse Sensitivity Testing: What Does It Take to Break the Model?’ published in the European Journal of Operational Research.

Find out more about the PhD in Actuarial Science at the Business School (formerly Cass).