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
NOTE: This web page might not be updated on a regular basis during lockdown.
Covid-19
- Cairns, A.J.G., Blake, D., Kessler, A.R., and Kessler, M. (2020)
The Impact of Covid-19 on Future Higher-Age Mortality.
Working paper, Heriot-Watt University.
Full PDF available on ResearchGate.
Webinar (MP4 file)
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:
-
Redondo Loures, C., and Cairns, A.J.G. (2019)
Cause of Death Specific Cohort Effects in U.S. Mortality .
(Working paper)
-
Redondo Loures, C., and Cairns, A.J.G. (2019)
Mortality In The US By Education Level.
Annals of Actuarial Science. (PDF postprint)
(Cambridge First View)
- Wen, J., Kleinow, T., and Cairns, A.J.G. (2020)
Trends in Canadian Mortality By Pension Level: Evidence From the CPP and QPP.
(PDF file)
North American Actuarial Journal.
Journal version.
- Wen, J., Kleinow, T., and Cairns, A.J.G. (2020)
Trends in Canadian Mortality By Pension Level: Evidence From the CPP and QPP.
(PDF file)
(This is the original, longer and more detailed version of Wen, Kleinow and Cairns (2019B).)
Wen, J., Cairns, A.J.G., and Kleinow, T., (2019)
Fitting Multi-Population Mortality Models to Socio-Economic Groups
Working paper.
(PDF file)
Cairns, A.J.G., Kallestrup-Lamb, M., Rosenskjold, C.P.T., Blake, D., and Dowd, K., (2019)
Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index.
ASTIN Bulletin 49: 555-590.
(Postprint PDF file)
Blake, D., Cairns, A.J.G., Dowd, K., and Kessler, A.R. (2019)
Still living with mortality: the longevity risk transfer market after one decade
Presented at a Sessional Research Meeting of the Institute and Faculty of Actuaries,
Edinburgh, 29 January, 2018.
British Actuarial Journal, 24: 1-80.
(PDF file)
Cairns, A.J.G., and El Boukfaoui, G. (2017)
Basis Risk in Index Based Longevity Hedges:
A Guide For Longevity Hedgers
(PDF file: postprint)
North American Actuarial Journal
DOI: 10.1080/10920277.2019.1651658
List of recent publications.
Download recent presentations.
Teaching
F71TT: Risk Management Techniques and Tools - 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