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Personal profile

Research interests

I am passionate about risk management in general and specifically the impact that it can have on the successful running of pension plans and life insurers. Much of my current research focuses on the modelling and management of longevity risk and how this can be transferred to the capital markets.

Biography

I am well known both in the UK and internationally for my research in financial risk management for pension plans and life insurers. These interests in the assessment of financial risk have led to further research in the field of financial mathematics. Within this field I have developed a new model for bond-price dynamics for use in the measurement and management of long-term interest-rate risks in pensions and life insurance.

More recently I have 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 my work in this field, I have developed a number of new and innovative stochastic mortality models.

I am an active member of the UK and international actuarial profession in both research and education: I qualified as a Fellow of the Faculty of Actuaries in 1993; from 2007 to 2017 I was editor-in-chief of the leading international actuarial journal ASTIN Bulletin; and in 2005 I was elected as a corresponding member of the Swiss Association of Actuaries. In 2008 I was awarded the Halmstad Prize for the paper Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk co-authored with David Blake and Kevin Dowd. In 2016 I was awarded the Robert I. Mehr award for the best paper published in 2006 in the Journal of Risk and Insurance.

In 2017 I was elected a Fellow of the Royal Society of Edinburgh - Scotland's national academy of science and letters.

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