Prof. Andrew Cairns FFA

• I teach financial mathematics and enterprise risk management
• I am a member of the School Learning and Teaching Committee.

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 modeling and management of longevity risk and how this can be transferred to the capital markets.

• Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., and Khalaf-Allah, M. (2011) Bayesian Stochastic Mortality Modelling for Two Populations. To appear in ASTIN Bulletin.
• Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., and Khalaf-Allah, M. (2011) Mortality density forecasts: an analysis of six stochastic mortality models. Insurance: Mathematics and Economics, 48: 355-367.
• Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D., Epstein, D., and Khalaf-Allah, M. (2010) Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts. North American Actuarial Journal, 14: 281-298.
• MacDonald, B.-J. and Cairns, A.J.G., (2010) Three Retirement Models for Defined Contribution Pension Plan Members: A Simulation Study. Insurance: Mathematics and Economics, 48: 1-18.
• Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., Ong, A., and Balevich, I. (2009) A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. North American Actuarial Journal 13(1): 1-35.

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 his 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; since 1996 I have been editor 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 his paper Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk co-authored with David Blake and Kevin Dowd.

In 2004 I completed a textbook entitled 'Interest Rate Models: An Introduction' published by Princeton University Press.

• Editor in Chief of ASTIN Bulletin – The Journal of the International Actuarial Association
• Member of the J.P.Morgan LifeMetrics Advisory Board
• Adviser to the OECD Longevity Risk Project
• Current research grant: Mortality Models for Multiple Populations using Covariates with Dr Torsten Kleinow
• Enquiries from industry are always welcome concerning potential new joint projects on longevity risk, risk management or financial modeling
• Member of the Index Oversight Committee of the Life and Longevity Markets Association(LLMA).