20102019

Research output per year

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Personal profile

Research interests

Can we improve pensions savings outcomes for our society? Can a group of people be financially better off in retirement by pooling their savings together and sharing their risks, rather than individually investing their money? Can this be done in a transparent way, so that it is understood by the people in the group? My current interests are to propose and analyse ways in which a group of people can share their risks, with a focus on sharing their investment and mortality risks. Other interests of mine, which are closely related to this topic, are

  • Annuities.
  • Life insurance.
  • Pension funds.
  • Portfolio optimization.
  • Quantitative risk management.

Biography

After my undergraduate degree at the University of Cambridge, I worked for several years in the pensions industry in the U.K. in both pensions and investment consultancy roles. I returned to university to do a Masters degree at the University of Oxford, followed by a PhD at the University Of Waterloo, Canada. After a couple of years as a postdoctoral researcher at RiskLab, ETH Zurich, Switzerland, I took up a lecturing position at Heriot-Watt in 2011.

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Research Output

  • 17 Article
  • 1 Conference contribution
  • 1 Chapter (peer-reviewed)

Modern tontine with bequest: Innovation in pooled annuity products

Bernhardt, T. & Donnelly, C., May 2019, In : Insurance: Mathematics and Economics. 86, p. 168-188 21 p.

Research output: Contribution to journalArticle

  • Implementing individual savings decisions for retirement with bounds on wealth

    Donnelly, C., Guillen, M., Nielsen, J. P. & Pérez-Marín, A. M., Jan 2018, In : ASTIN Bulletin: The Journal of the IAA. 48, 1, p. 111-137

    Research output: Contribution to journalArticle

  • A discussion of a risk-sharing pension plan

    Donnelly, C., 14 Feb 2017, In : Risks. 5, 1, 12.

    Research output: Contribution to journalArticle

    Open Access
    File
  • 42 Downloads (Pure)

    Product options for enhanced retirement income

    Donnelly, C. & Young, J., 2017, In : British Actuarial Journal. 22, 3, p. 636-656 21 p.

    Research output: Contribution to journalArticle

    Open Access
    File
  • 21 Downloads (Pure)

    Fundamentals of cost and risk that matter to pension savers and life annuitants

    Donnelly, C., Guillen, M. & Nielsen, J. P., 2016, Retirement system risk management: Implications of the New Regulatory Order. Mitchell, O. S., Maurer, R. & Orszag, J. M. (eds.). 1 ed. Oxford University Press, p. 171-185 15 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

  • Prizes

    The Bob Alting von Geusau Memorial Prize

    Catherine Donnelly (Recipient), 2019

    Prize: Prize (including medals and awards)

  • The Bob Alting von Geusau Memorial Prize

    Catherine Donnelly (Recipient) & Paul Embrechts (Recipient), 2015

    Prize: Prize (including medals and awards)

  • Activities

    • 2 Editorial activity
    • 2 Other

    ASTIN Bulletin: The Journal of the IAA (Journal)

    Catherine Donnelly (Editorial board member)
    1 Jan 2019

    Activity: Publication peer-review and editorial workEditorial activity

    Insurance: Mathematics and Economics (Journal)

    Catherine Donnelly (Editorial board member)
    1 Mar 2019

    Activity: Publication peer-review and editorial workEditorial activity

    Pension decumulation strategies: a state-of-the-art report

    Catherine Donnelly (Contributor), Thomas Bernhardt (Contributor)
    30 Apr 2018

    Activity: Other

    Investment risk-sharing: a state-of-the-art report

    Catherine Donnelly (Contributor), Rami Chehab (Contributor)
    29 May 2018

    Activity: Other