Prof Andrew J.G. Cairns FRSE
Maxwell Institute, Edinburgh, and
Department of Actuarial Mathematics and Statistics
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
tel: (+44) 131 451 3245
fax: (+44) 131 451 3249
e-mail: A.J.G.Cairns@hw.ac.uk
Andrew Cairns is Director of the Actuarial Research Centre (ARC),
the Institute and Faculty of Actuaries' network of actuarial researchers around the world.
Latest research, papers and presentations from the Modelling Measurement and Management of Longevity and Morbidity Risk research programme funded by the ARC.
Modelling, Measurement and Management of Longevity Risk
Andrew Cairns is co-inventor of the
CBD stochastic mortality models
and author of the LifeMetrics open source R code
for fitting stochastic mortality models that can be used for
modelling, measurement and management of longevity risk.
Short biography:
bio
Consultancy and Sponsored Research:
There are possibilities to hire me on a
consultancy basis
and to sponsor major new research projects.
Recent papers, talks and other news:
-
Blake, D., Cairns, A.J.G., Dowd, K., and Kessler, A.R.
Still living with mortality: the longevity risk transfer market after one decade
(PDF file)
Presented at a Sessional Research Meeting of the Institute and Faculty of Actuaries,
Edinburgh, 29 January, 2018.
-
Cairns, A.J.G., and El Boukfaoui, G. (2017) (Revised)
Basis Risk in Index Based Longevity Hedges:
A Guide For Longevity Hedgers
(PDF file)
To appear in North American Actuarial Journal.
- Cairns, A.J.G., Kallestrup-Lamb, M., Rosenskjold, C.P.T., Blake, D., and Dowd, K., (2016)
(Revised)
Modelling Socio-Economic Differences in the Mortality of Danish Males
Using a New Affluence Index.
(PDF file)
Working paper, Heriot-Watt University.
- Cairns, A.J.G., and El Boukfaoui, G. (2016)
The Impact of Longevity Risk Hedging on
Economic Capital (Conference presentation)
(PDF file - Slides 2016).
Longevity 12 Colloquium, Chicago, 2016
-
Cairns, A.J.G., Blake, D., Dowd, K., and Kessler, A.R. (2016)
Phantoms Never Die: Living with Unreliable Population Data
Journal of the Royal Statistical Society, Series A, 179: 975-1005.
(Journal PDF file)
Wiley/JRSS-A Journal Website.
- Earlier working paper, Heriot-Watt University (2014)
(PDF file).
-
Enchev, V., Kleinow, T., and Cairns, A.J.G. (2017)
Multi-population mortality models: Fitting, Forecasting and Comparisons.
Scandinavian Actuarial Journal,
2017: 319-342.
(Postprint: PDF file)
DOI: 10.1080/03461238.2015.1133450
List of recent publications.
Download recent presentations.
Teaching
F71AH Financial Economics 1
F71PT Portfolio Theory
F71EM: Enterprise Risk Management II - module home page.
Gilts Database: (UK government bonds data: prices, amounts,
indices)
Book: Interest Rate Models: An Introduction, published
by Princeton University Press.
Research: Principal research interests are:
- modelling, measurement and management of longevity risk;
- stochastic mortality modelling;
- securitisation of mortality risk;
- enterprise risk management;
- models for the term structure of interest rates;
- liquidity risk on corporate bonds;
- asset/liability modelling for pension funds.
Professional:
How to find the Department of Actuarial Mathematics and Statistics:
Campus Map: The Colin Maclaurin building is
number 1 on the map.
MSc in Financial Maths home page
MSc in Actuarial Science home page
MSc in Actuarial Management home page
News and
selected financial links.
E-mail: A.J.G.Cairns@hw.ac.uk