If you made any changes in Pure these will be visible here soon.

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.

Fingerprint Dive into the research topics where Andrew John George Cairns is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Vaccination Mathematics
Mortality Mathematics
Increasing Functions Mathematics
Frobenius Mathematics
Liquidity Mathematics
Hedging Mathematics
Birth-death Process Mathematics
Gravity Model Mathematics

Co Author Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 1989 2020

CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family

Dowd, K., Cairns, A. J. G. & Blake, D., 21 Jan 2020, (Accepted/In press) In : Annals of Actuarial Science.

Research output: Contribution to journalArticle

Mortality
Maximum likelihood
Identifiability
Accidents
Cohort effect
Mortality
Clustering Methods
Range of data
Forecast
Trends

Basis Risk in Index Based Longevity Hedges: A Guide For Longevity Hedgers

Cairns, A. J. G. & El Boukfaoui, G., 17 Dec 2019, In : North American Actuarial Journal.

Research output: Contribution to journalArticle

Value at Risk
Hedging
Hedge
Basis risk
Economics

Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model

Dowd, K., Cairns, A. J. G. & Blake, D., 20 Nov 2019, In : North American Actuarial Journal. 12 p.

Research output: Contribution to journalArticle

Gravity Model
Hedging
Population Model
Mortality Rate
Relative Risk
11 Downloads (Pure)

Modelling Socio-Economic Differences in Mortality Using a New Affluence Index

Cairns, A. J. G., Kallestrup, M., Rosenskjold, C., Blake, D. & Dowd, K., Sep 2019, In : ASTIN Bulletin: The Journal of the IAA. 49, 3, p. 555-590 36 p.

Research output: Contribution to journalArticle

Open Access
File
Modeling
Mortality
Socio-economics
Income
Data base

Prizes

Robert I. Mehr Award

Andrew John George Cairns (Recipient), 2016

Prize: Prize (including medals and awards)

Insurance

Activities 1998 2016

  • 30 Participation in conference
  • 10 Participation in workshop, seminar, course
  • 2 Invited talk

12th Longevity and Capital Markets conference

Andrew John George Cairns (Speaker)
30 Sep 2016

Activity: Participating in or organising an eventParticipation in conference

IAA-Life/PBSS Colloquium

Andrew John George Cairns (Speaker)
10 Jun 2015

Activity: Participating in or organising an eventParticipation in conference

11th International Longevity Risk and Capital Markets Solutions Conference

Andrew John George Cairns (Participant)
9 Sep 2015

Activity: Participating in or organising an eventParticipation in conference

Swiss Risk and Insurance Forum

Andrew John George Cairns (Invited speaker)
17 Nov 2015

Activity: Participating in or organising an eventParticipation in workshop, seminar, course

Risk Minds Insurance conference

Andrew John George Cairns (Contributor)
18 Mar 2015

Activity: Talk or presentationInvited talk

Press / Media

An Age-Old Debate

Andrew John George Cairns

2/03/12

1 item of Media coverage

Press/Media: Other