Professor Catherine Donnelly FIA

Director of the Risk Insight Lab

Current 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

Papers

Published / Accepted (peer-reviewed)

Life annuities / pensions / investing for retirement

• Quantifying the trade-off between income stability and the number of members in a pooled annuity fund. Preprint.
with T. Bernhardt. ASTIN Bulletin (2020), 51(1), pp101-130.


• Modern tontine with bequest: Innovation in pooled annuity funds. Preprint.
with T. Bernhardt. Insurance: Mathematics and Economics (2019), 86, pp168-188.


• Implementing individual savings decisions for retirement with bounds on wealth.
with M. Guillén, J.P. Nielsen and A.M. Peréz-Marín. ASTIN Bulletin (2018), 48(1), pp111-137.


• Product options for enhanced retirement income.
with J. Young. British Actuarial Journal (2017), 22(3), pp636-656.


• A discussion of a risk-sharing pension plan.
Risks (2017), 5(1), pp49-74.


• Fundamentals of cost and risk that matter to pension savers and life annuitants.
with M. Guillén and J.P. Nielsen. In: Mitchell, O.S, Maurer, R. and Orszag, J.M. (Eds.) Retirement System Risk Management (2016, pp171-185), Oxford University Press.


• Less is more: Increasing retirement gains by using an upside terminal wealth constraint. Preprint.
with M. Guillén, R. Gerrard and J.P. Nielsen. Insurance: Mathematics and Economics (2015), 64, pp259-267.


• Actuarial fairness and solidarity in pooled annuity funds. Preprint.
ASTIN Bulletin (2015), 45(1), pp49-74.


• Bringing cost transparency to the life annuity market. Preprint.
with M. Guillén and J.P. Nielsen. Insurance: Mathematics and Economics (2014), 56, pp14-27.


• Exchanging uncertain mortality for a cost. Preprint.
with M. Guillén and J.P. Nielsen. Insurance: Mathematics and Economics (2013), 52(1), pp65-76.


• Quantifying mortality risk in small defined-benefit pension schemes. Preprint.
Scandinavian Actuarial Journal (2014), 2014(1), pp41-57.

Disability and critical illness insurance

• The impact of known breast cancer polygenes on critical illness insurance. Preprint.
with C. Adams and A.S. Macdonald. Scandinavian Actuarial Journal (2015), 2015(2), pp141-171.


• Bayesian prediction of disability insurance frequencies using economic indicators. Preprint.
with M.V. Wüthrich. Annals of Actuarial Science (2012), 6(2), pp381-400.

Non-life insurance

• The importance of the choice of test for finding evidence of asymmetric information. Preprint.
with M. Englund and J.P. Nielsen. ASTIN Bulletin. (2014), 44(2), pp173-195.


• Asymmetric information, self-selection and pricing of insurance contracts: the simple no-claims case. Preprint.
with M. Englund, J.P. Nielsen and C. Tanggaard. Journal of Risk and Insurance. (2014), 81(4), pp757-780.

Stochastic control

• Quadratic risk minimization in a regime-switching model with portfolio constraints. Preprint.
with A.J. Heunis. SIAM Journal on Control and Optimization (2012), 50(4), pp2431-2461.


• Good-deal bounds in a regime-switching diffusion market. Preprint.
Applied Mathematical Finance (2011), 18(6), pp491-515.


• Sufficient stochastic maximum principle in a regime-switching diffusion model. Preprint.
Applied Mathematics and Optimization (2011), 64(2), pp155-169.

Financial crisis

• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Preprint.
with P. Embrechts. ASTIN Bulletin (2010), 40(1), pp1-33.

Technical reports (not peer-reviewed)

• Investment risk-sharing: A State-of-the-Art Report.
with R. Chehab. Technical Report 2 (2018) Risk Insight Lab, Heriot-Watt University.


• Pension Decumulation Strategies: A State-of-the-Art Report.
with T. Bernhardt. Technical Report 1 (2018) Risk Insight Lab, Heriot-Watt University.

Other reports

• Report of the Joint Expert Panel, 13 September 2018, on the Universities Superannuation Scheme commissioned by the University and College Union and Universities UK.

Degrees

• PhD in Mathematics. University of Waterloo, Canada.
• MSc in Mathematics and the Foundations of Computer Science. Keble College, University of Oxford, England.
• MA in Mathematics. Trinity College, University of Cambridge, England. /li>

Professional affiliations

• Fellow of the Institute of Actuaries.
• Director of the Risk Insight Lab.
• Affiliate member of the Riskcenter, Institute of Applied Economics IREA, University of Barcelona, Spain.