Dr Catherine Donnelly FIA
Department of Actuarial Mathematics and Statistics
School of Mathematical and Computer Sciences
Edinburgh EH14 4AS
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
Life-cycle investment (portfolio optimization).
Quantitative risk management.
Published / Accepted
Life annuities / pensions / investing for retirement
Implementing individual savings decisions for retirement with bounds on wealth.
with M. Guillén, J.P. Nielsen and A.M. Peréz-Marín. Accepted by ASTIN Bulletin.
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.
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.
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.
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Preprint.
with P. Embrechts. ASTIN Bulletin (2010), 40(1), pp1-33.
Dissertations and conference proceedings
2008 PhD in Mathematics. University of Waterloo, Canada.
2003 MSc in Mathematics and the Foundations of Computer Science. Keble College, University of Oxford, England.
1998 MA in Mathematics. Trinity College, University of Cambridge, England.
Invited talks and conference presentations
2017 Knowledge Sharing Scotland seminar, Institute and Faculty of Actuaries (Heriot-Watt University, UK).
2017 Australian National University seminar (Canberra, Australia).
2017 RSFAS ANU Summer Camp Keynote Actuarial talk (Murramarang, Australia).
2017 Melbourne University seminar (Melbourne, Australia).
2017 Applied Probability Section of the Royal Statistical Society (London, UK).
2017 Zurich-Hannover-Workshop (Hannover, Germany).
2017 Twenty First International Congress on Insurance: Mathematics and Economics (Vienna, Austria).
2016 IFoA Pensions, Risk and Investment Conference 2016 with AFIR/ERM (Edinburgh, UK).
2016 Current Issues in Life Assurance conference (London, UK).
2016 Actuarial Research Conference with the Central University of Finance and Economics (Beijing, China).
2015 University of Copenhagen, Denmark, seminar.
2015 Faculty of Actuaries Students' Society (Edinburgh, UK).
2014 Actuarial Teachers' and Researchers' Conference (University of Edinburgh, UK).
2014 University of Kent seminar (Canterbury, UK).
2014 Knowledge Sharing Scotland seminar, Institute and Faculty of Actuaries (Heriot-Watt University, UK).
2014 North British Probability seminar (University of Edinburgh, UK).
2013 Colloquium, Department of Statistical and Actuarial Sciences, Western University (née University of Western Ontario), Canada.
2013 Annual IFID Centre Conference (Toronto, Canada).
2013 Seventeenth International Congress on Insurance: Mathematics and Economics (Copenhagen, Denmark).
2013 IMA Conference on Mathematics in Finance (Heriot-Watt University, UK).
2012 Cass Business School, City University London, UK.
2012 Riskcenter IREA, University of Barcelona, Spain.
2012 Pensions Conference, The Actuarial Profession (Brighton, UK).
2012 Mathematical Finance Nomura Seminar, University of Oxford, UK.
2011 Finance and Stochastics Seminar, Imperial College London, UK.
2011 Actuarial Teachers' and Researchers' Conference (Oxford, UK).
2011 Actuarial and Financial Mathematics Conference (Brussels, Belgium).
2010 Sixth World Congress of the Bachelier Finance Society (Toronto, Canada).
2010 Fourteenth International Congress on Insurance: Mathematics and Economics (Toronto, Canada).
2009 Mathematical Institute, University of Cologne, Germany.
2008 Talks in Insurance and Financial Mathematics, ETH Zürich, Switzerland.
- The Bob Alting von Geusau Memorial Prize, jointly with Professor Paul Embrechts, for the best paper published in the ASTIN Bulletin on an AFIR/ERM-related topic in the years 2010-2011.
- The Empire Life Insurance Company Graduate Scholarship in 2005.
- Winner of Irish Invitational Mathematics Contest in 1995.
Lecturing at Heriot-Watt University
Actuarial and financial mathematics.
Interest rate models.
Other lecturing and teaching
Quantitative methods for enterprise risk management (for risk management professionals, 2011). SFRA Knowledge Transfer Programme, Scotland.
Quantitative risk management (graduate-level, 2010). ETH Zürich, Switzerland.
Tutor of general insurance for the Program for Improvement of the Actuarial Profession (March 2007). National Bank of Serbia, Belgrade.
Life insurance mathematics (undergraduate-level, 2005). University of Waterloo, Canada.
Teaching assistant on various courses on probability, statistics and actuarial science (2004-2008). University of Waterloo, Canada.
Awards for teaching
Heriot-Watt University Student Union Learning and Teaching Oscar (2013). The Refreshing Award - Most Innovative Lecturer.
Teaching-related qualifications and affiliations
Oct 2014 - Oct 2016. Director of Academic Quality for the School of Mathematics and Computer Sciences.
Sep 2014 - May 2015. Chair of School's Athena SWAN Self-Assessment Team, responsible for submitting a successful application for an Athena SWAN Bronze award.
Sep 2012 - Jan 2017. Undergraduate International Exchange Co-ordinator for the Department.
Sep 2013 - Jan 2017. Undergraduate Work Placement co-ordinator for the Department.
Aug 2014 - : Associate Professor. Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, Scotland.
Jan 2011 - Jul 2014: Lecturer. Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, Scotland.
Sep 2008 - Dec 2010: Postdoctoral research fellow. RiskLab, ETH Zürich, Switzerland.
Sep 2003 - Dec 2003: Investment and pensions actuarial consulting. Spence & Partners, Belfast, UK.
Oct 2000 - Jul 2002: Investment and pensions actuarial consulting. Lane Clark & Peacock, London, UK.
Sep 1998 - Aug 2000: Pensions actuarial consulting. Watson Wyatt Partners, Redhill, Surrey, UK.
Oct 2015 - Dec 2015: Product innovation and development. At Danica Pension, Lyngby, Denmark.
Last 8 January 2018.