Dr Catherine Donnelly FIA

I teach actuarial and financial mathematics.

The overall theme of my current research is the quantification of risk in actuarial applications. The aim is to help insurance and pensions firms manage their risks better.

More concretely, I have studied portfolio optimization problems, both from a mean-variance and a utility maximisation viewpoint. Recently, I have been looking at the pricing of maturity guarantees for life insurance contracts. I have also co-written a paper on the use of economic indicators to predict disability rates for insurance applications.

• Donnelly, C. (2011) Sufficient stochastic maximum principle in a regime-switching diffusion model. Applied Mathematics and Optimization.
• Donnelly, C., Embrechts, P. (2010) The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. ASTIN Bulletin 40(1), -33.

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.

Please visit my personal website for more information on my research and teaching.